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Originator-Name: webmaster@www.sec.gov
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<SEC-DOCUMENT>0000928816-10-001069.txt : 20100827
<SEC-HEADER>0000928816-10-001069.hdr.sgml : 20100827
<ACCEPTANCE-DATETIME>20100827141622
ACCESSION NUMBER:		0000928816-10-001069
CONFORMED SUBMISSION TYPE:	N-Q
PUBLIC DOCUMENT COUNT:		2
CONFORMED PERIOD OF REPORT:	20100630
FILED AS OF DATE:		20100827
DATE AS OF CHANGE:		20100827
EFFECTIVENESS DATE:		20100827

FILER:

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

	FILING VALUES:
		FORM TYPE:		N-Q
		SEC ACT:		1940 Act
		SEC FILE NUMBER:	811-05498
		FILM NUMBER:		101043301

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

	MAIL ADDRESS:	
		STREET 1:		ONE POST OFFICE SQ
		CITY:			BOSTON
		STATE:			MA
		ZIP:			02109
</SEC-HEADER>
<DOCUMENT>
<TYPE>N-Q
<SEQUENCE>1
<FILENAME>a_masterintinctrst.htm
<DESCRIPTION>PUTNAM MASTER INTERMEDIATE INCOME TRUST
<TEXT>
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     <TD colSpan=4 noWrap align=center><FONT size=2 face=sans-serif>UNITED STATES</FONT></TD></TR>
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     <TD colSpan=4 noWrap align=center><FONT size=2 face=sans-serif>SECURITIES AND EXCHANGE COMMISSION</FONT></TD></TR>
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     <TD colSpan=4 noWrap align=center><FONT size=2 face=sans-serif>Washington, D.C. 20549</FONT></TD></TR>
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     <TD colSpan=4 noWrap align=center><B><FONT size=2 face=sans-serif>FORM N-Q</FONT></B></TD></TR>
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     <TD colSpan=4 noWrap align=center><B><FONT size=2 face=sans-serif>&nbsp;</FONT></B></TD></TR>
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     <TD colSpan=4 noWrap align=center><B><FONT size=2 face=sans-serif>QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT</FONT></B></TD></TR>
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     <TD colSpan=4 noWrap align=center><B><FONT size=2 face=sans-serif>INVESTMENT COMPANY</FONT></B></TD></TR>
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     <TD colSpan=4 noWrap align=center><B><FONT size=2 face=sans-serif>&nbsp;</FONT></B></TD></TR>
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     <TD colSpan=3 noWrap align=left><FONT size=2 face=sans-serif>Investment Company Act file number: (811-</FONT><FONT size=2 face=sans-serif>05498</FONT><FONT size=2 face=sans-serif>)</FONT></TD>
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     <TD colSpan=2 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 colSpan=2 noWrap align=left><FONT size=2 face=sans-serif>&nbsp;</FONT></TD>
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     <TD colSpan=4 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 noWrap align=left>&nbsp;</TD>
     <TD colSpan=2 noWrap align=left><FONT size=2 face=sans-serif>Beth S. Mazor, Vice President</FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 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 colSpan=2 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 colSpan=2 noWrap align=left>&nbsp;</TD>
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     <TD style="TEXT-INDENT: 150px" noWrap align=center><FONT size=2 face=sans-serif>Copy to:</FONT></TD>
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     <TD colSpan=2 noWrap align=left><FONT size=2 face=sans-serif>John W. Gerstmayr, Esq.</FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 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 colSpan=2 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 colSpan=2 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 colSpan=3 noWrap align=left><FONT size=2 face=sans-serif>Registrant&#146;s telephone number, including area code:</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>(617) 292-1000</FONT></TD></TR>
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     <TD colSpan=3 noWrap align=left><FONT size=2 face=sans-serif>&nbsp;</FONT></TD>
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     <TD colSpan=2 noWrap align=left><FONT size=2 face=sans-serif>Date of fiscal year end: </FONT><FONT size=2 face=sans-serif>September 30 2010</FONT></TD>
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     <TD width="25%" colSpan=2 noWrap align=left><FONT size=2 face=sans-serif>Date of reporting period: June 30, 2010</FONT></TD>
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<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><U><FONT size=2 face=sans-serif>Item 1. Schedule of Investments:</FONT></U></P>
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     <TD noWrap align=left><FONT size=5 face=sans-serif>Putnam Master Intermediate Income Trust</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
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     <TD noWrap align=left><FONT size=3 face=sans-serif>The fund's portfolio</FONT>&nbsp;</TD>
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     <TD noWrap align=left><FONT size=2 face=sans-serif>6/30/10 (Unaudited)</FONT>&nbsp;</TD>
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     <TD noWrap align=left><B><FONT size=2 face=sans-serif>MORTGAGE-BACKED SECURITIES (46.7%)(a)</FONT></B>&nbsp;</TD>
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     <TD noWrap align=right><FONT size=2 face=sans-serif>Principal amount</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Value</FONT>&nbsp;</TD></TR>
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</TD></TR>
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     <TD noWrap align=left><FONT size=2 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>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Class A2, 5.707s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$4,010,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$2,867,150</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Banc of America Commercial Mortgage, Inc.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 07-3, Class A3, 5.837s, 2049</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>168,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>178,840</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 07-5, Class XW, IO, 0.6s, 2051</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>111,724,753</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,366,777</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 01-1, Class J, 6 1/8s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>163,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>122,332</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 01-1, Class K, 6 1/8s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>367,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>255,233</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Class 6A1, 5.659s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,504,947</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,634,478</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Class K, 2.35s, 2022</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>645,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>317,093</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Bayview Commercial Asset Trust 144A</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 07-5A, IO, 3.047s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>909,270</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>96,746</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 07-1, Class S, IO, 2.637s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>3,400,836</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>281,249</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Bear Stearns Alternate Trust</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 06-5, Class 2A2, 6.213s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,920,178</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,180,909</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 05-10, Class 25A1, 5.736s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,172,580</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>709,411</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 07-1, Class 21A1, 5.451s, 2047</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,308,893</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>870,414</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Class 1AE4, 5.882s, 2046</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>5,049,889</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>3,282,428</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Class 1A1, 5.735s, 2047</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>7,384,973</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>4,592,819</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Bear Stearns Asset Backed Securities Trust FRB Ser.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&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>07-AC4, Class A1, 0.647s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,474,142</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>751,812</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Bear Stearns Commercial Mortgage Securities, Inc. 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=2 face=sans-serif>Ser. 00-WF2, Class F, 8.517s, 2032</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>410,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>347,161</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Bear Stearns Commercial Mortgage Securities, Inc. 144A</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 07-PW18, Class X1, IO, 0.145s, 2050</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>61,925,530</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>460,881</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>FRB Ser. 06-AR5, Class 2A5A, 5.808s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,223,302</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>685,878</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 05-10, Class 1A5A, 5.668s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>322,469</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>212,023</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 05-10, Class 1A4A, 5.452s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,201,093</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>753,686</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 06-AR7, Class 2A2A, 5.475s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>900,905</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>531,534</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Citigroup/Deutsche Bank Commercial Mortgage Trust 144A</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 07-CD5, Class XS, IO, 0.146s, 2044</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>36,310,631</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>224,311</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Commercial Mortgage Pass-Through Certificates 144A FRB</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 05-F10A, Class A1, 0.450s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>88,646</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>88,539</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Cornerstone Titan PLC 144A</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 05-CT1A, Class D, 1.964s, 2014 (United</FONT>&nbsp;</TD>
     <TD noWrap align=left>&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>Kingdom)</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>GBP</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>444,023</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>411,772</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 05-CT2A, Class E, 1.703s, 2014 (United</FONT>&nbsp;</TD>
     <TD noWrap align=left>&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>Kingdom)</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>GBP</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>226,682</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>247,513</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Countrywide Alternative Loan Trust</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 07-16CB, Class 3A1, 6 3/4s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$954,833</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>530,887</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 06-45T1, Class 2A2, 6s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,573,488</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,747,764</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 06-45T1, Class 2A5, 6s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>518,521</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>352,594</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 06-J8, Class A4, 6s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,969,875</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,191,774</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 06-40T1, Class 1A11, 6s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>749,653</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>533,903</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 06-41CB, Class 1A7, 6s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>562,349</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>388,021</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 05-80CB, Class 2A1, 6s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,652,260</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,203,568</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 07-HY4, Class 4A1, 5.719s, 2047</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,087,958</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>743,796</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 07-HY4, Class 3A1, 5.638s, 2047</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>807,319</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>539,692</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 07-HY5R, Class 2A1A, 5.544s, 2047</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,299,790</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,165,292</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 07-8CB, Class A1, 5 1/2s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>821,372</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>604,222</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 06-18CB, Class A7, 0.697s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,573,869</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>912,844</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 06-24CB, Class A13, 0.697s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>670,672</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>413,092</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 06-23CBC, Class 2A5, 0.747s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,747,713</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,346,379</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 06-OC10, Class 2A2A, 0.527s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,885,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>877,432</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Countrywide Home Loans</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 05-HYB7, Class 6A1, 5.542s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>39,829</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>29,075</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 05-HYB4, Class 2A1, 3.59s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>3,791,397</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,644,499</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Countrywide Home Loans 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=2 face=sans-serif>IFB Ser. 05-R1, Class 1AS, IO, 5.564s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>6,877,549</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>937,045</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 06-R1, Class AS, IO, 5.537s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,474,974</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>159,482</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 05-R3, Class AS, IO, 5.464s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>495,158</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>55,086</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 06-R2, Class AS, IO, 5.397s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,151,071</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>220,485</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 05-R2, Class 1AS, IO, 5.214s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>755,616</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>94,512</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 04-R2, Class 1AF1, 0.767s, 2034</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>593,856</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>478,054</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Credit Suisse Mortgage Capital Certificates</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 06-C3, Class A3, 6.019s, 2038</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,589,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,660,880</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 07-1, Class 1A1A, 5.942s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>426,574</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>247,413</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 07-3, Class 1A1A, 5.837s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>879,099</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>518,668</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 07-C5, Class A3, 5.694s, 2040</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>5,670,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>5,754,052</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 06-C4, Class A3, 5.467s, 2039</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,316,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,293,229</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>CRESI Finance Limited Partnership 144A FRB Ser. 06-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=2 face=sans-serif>Class C, 0.947s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>251,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>130,520</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>CS First Boston Mortgage Securities Corp. 144A</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 98-C1, Class F, 6s, 2040</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>966,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,028,766</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 02-CP5, Class M, 5 1/4s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>354,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>41,270</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 05-TFLA, Class L, 1.665s, 2020</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>699,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>531,240</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Deutsche Alternative Securities, Inc. FRB Ser. 06-AR3,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&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>Class A1, 0.537s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,317,574</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>644,582</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Deutsche Mortgage &amp; Asset Receiving Corp. Ser. 98-C1,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Class X, IO, 0.79s, 2031</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,442,530</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>46,994</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>DLJ Commercial Mortgage Corp. Ser. 98-CF2, Class B4,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>6.04s, 2031</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>286,492</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>246,383</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>European Prime Real Estate PLC 144A FRB Ser. 1-A,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Class D, 1.514s, 2014 (United Kingdom) (F)</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>GBP</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>270,567</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>141,462</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Fannie Mae</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 06-62, Class PS, 37.817s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$510,164</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>893,551</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
</DIV>
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<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>
<TR>
     <TD width="70%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 06-115, Class ES, 25.171s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>379,573</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>564,337</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 05-99, Class SA, 23.294s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>400,972</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>572,204</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 05-74, Class DM, 23.11s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>685,225</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,018,350</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 08-24, Class SP, 22.01s, 2038</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>241,682</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>350,433</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 05-95, Class OP, 19.283s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>286,439</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>405,842</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 05-83, Class QP, 16.491s, 2034</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>325,115</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>430,952</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 03-W6, Class 4S, IO, 7.253s, 2042</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,576,012</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>470,431</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 06-24, Class QS, IO, 6.853s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>3,678,434</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>660,978</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 04-89, Class EI, IO, 6.803s, 2034</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>3,344,050</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>533,570</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 04-24, Class CS, IO, 6.803s, 2034</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>276,694</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>48,278</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 03-130, Class BS, IO, 6.703s, 2033</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,683,891</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>227,430</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 03-34, Class WS, IO, 6.653s, 2029</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,275,497</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>249,624</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 05-48, Class SM, IO, 6.453s, 2034</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>705,859</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>93,371</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 05-7, Class SC, IO, 6.353s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>239,934</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>26,002</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 07-54, Class CI, IO, 6.413s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>809,661</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>121,899</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 07-28, Class SE, IO, 6.403s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>166,666</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>24,982</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 07-24, Class SD, IO, 6.403s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>630,588</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>85,565</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 05-90, Class GS, IO, 6.403s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>116,137</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>17,662</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 05-90, Class SP, IO, 6.403s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>428,369</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>58,326</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 05-18, Class SK, IO, 6.403s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>105,925</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>9,721</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 07-30, Class IE, IO, 6.393s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,231,242</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>403,342</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 06-123, Class CI, IO, 6.393s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,604,299</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>233,714</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 07-61, Class SA, IO, 6.373s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>7,001,107</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>949,525</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 06-36, Class SP, IO, 6.353s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>739,752</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>94,353</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 06-22, Class QM, IO, 6.353s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>110,425</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>19,162</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 06-23, Class SP, IO, 6.353s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>841,663</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>123,598</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 06-16, Class SM, IO, 6.353s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,629,497</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>265,466</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 05-95, Class CI, IO, 6.353s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>977,397</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>158,632</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 05-84, Class SG, IO, 6.353s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,505,587</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>245,691</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 06-3, Class SB, IO, 6.353s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>8,700,689</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,396,200</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 05-23, Class SG, IO, 6.353s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,252,669</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>213,660</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 05-29, Class SX, IO, 6.353s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,178,085</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>186,885</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 05-57, Class DI, IO, 6.353s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,263,705</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>288,899</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 04-92, Class S, IO, 6.353s, 2034</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,111,110</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>269,821</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 06-104, Class EI, IO, 6.343s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>875,616</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>136,632</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 06-128, Class GS, IO, 6.333s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>893,876</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>132,140</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 05-73, Class SD, IO, 6.333s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,418,163</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>254,332</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 08-10, Class PI, IO, 6.303s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>273,975</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>27,792</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 06-51, Class SP, IO, 6.303s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>3,993,220</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>614,636</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 04-92, Class SQ, IO, 6.303s, 2034</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>921,970</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>150,517</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 06-109, Class SH, IO, 6.273s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>839,639</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>142,905</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 06-111, Class SA, IO, 6.273s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>5,332,831</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>792,619</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 06-111, Class SB, IO, 6.273s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>699,749</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>96,418</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 06-103, Class SB, IO, 6.253s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>268,226</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>36,198</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 06-8, Class HJ, IO, 6.253s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>598,920</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>83,172</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 06-8, Class JH, IO, 6.253s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>3,186,513</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>485,433</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 06-8, Class PS, IO, 6.253s, 2036 (F)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>5,274,654</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>924,929</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 05-122, Class SG, IO, 6.253s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>728,666</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>109,555</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 05-122, Class SW, IO, 6.253s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>900,306</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>129,275</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 06-17, Class SI, IO, 6.233s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>713,303</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>97,851</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 06-60, Class YI, IO, 6.223s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,485,707</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>434,079</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 06-86, Class SB, IO, 6.203s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>528,764</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>83,709</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 06-62, Class SB, IO, 6.153s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>704,417</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>101,528</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 07-15, Class NI, IO, 6.153s, 2022</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,932,027</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>362,808</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 09-70, Class SI, IO, 6.103s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>8,155,966</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>888,592</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 06-79, Class SH, IO, 6.103s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,607,841</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>248,154</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 07-30, Class LI, IO, 6.093s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,738,278</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>234,007</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 07-30, Class OI, IO, 6.093s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>5,447,954</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>776,497</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 07-89, Class SA, IO, 6.083s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,623,849</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>202,981</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 06-82, Class SI, IO, 6.083s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,723,004</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>293,703</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 07-54, Class GI, IO, 6.063s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>4,727,322</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>562,268</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 07-54, Class IA, IO, 6.063s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,032,958</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>282,904</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 07-54, Class IB, IO, 6.063s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>886,194</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>123,322</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 07-54, Class IC, IO, 6.063s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>886,194</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>123,322</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 07-54, Class ID, IO, 6.063s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>886,194</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>123,322</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 07-54, Class IF, IO, 6.063s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,413,705</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>189,182</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 10-2, Class LS, IO, 6.053s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,305,044</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>174,094</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 06-116, Class TS, IO, 6.053s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>458,609</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>62,889</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 06-115, Class JI, IO, 6.033s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,179,703</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>298,815</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 10-10, Class SA, IO, 6.003s, 2040</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>5,444,292</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>638,003</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 06-123, Class LI, IO, 5.973s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,444,338</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>190,422</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 10-2, Class SD, IO, 5.953s, 2040</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,943,643</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>220,637</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 07-81, Class IS, IO, 5.953s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,768,700</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>352,289</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 08-11, Class SC, IO, 5.933s, 2038</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>136,958</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>17,828</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 10-2, Class MS, IO, 5.903s, 2050</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,550,519</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>266,802</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 09-104, Class KS, IO, 5.853s, 2039</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>11,541,167</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,402,436</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 09-88, Class SA, IO, 5.853s, 2039</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>756,695</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>86,710</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 07-39, Class AI, IO, 5.773s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,588,541</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>192,595</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 07-32, Class SD, IO, 5.763s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,071,160</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>148,414</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 09-62, Class PS, IO, 5.753s, 2039</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,114,187</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>98,450</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 09-47, Class SA, IO, 5.753s, 2039</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>859,641</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>96,261</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 07-42, Class S, IO, 5.753s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>4,816,375</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>576,982</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 07-30, Class UI, IO, 5.753s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>892,744</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>119,617</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 07-32, Class SC, IO, 5.753s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>3,367,777</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>443,146</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 07-32, Class SG, IO, 5.753s, 2037 (F)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>127,962</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>15,241</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 07-1, Class CI, IO, 5.753s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,280,029</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>301,823</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 08-46, Class MI, IO, 5.703s, 2038</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,140,833</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>106,189</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 05-5, Class SP, IO, 5.703s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,731,176</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>329,790</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 06-W3, Class 1AS, IO, 5.664s, 2046</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>395,861</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>56,987</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 04-46, Class PJ, IO, 5.653s, 2034</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>868,264</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>102,282</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 09-86, Class XI, IO, 5 1/2s, 2039</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>730,872</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>108,147</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 09-3, Class SE, IO, 5.153s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,154,161</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>124,026</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 10-21, Class IP, IO, 5s, 2039 (F)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>3,222,572</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>449,610</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 378, Class 19, IO, 5s, 2035 (F)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>4,572,645</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>699,359</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 03-W12, Class 2, IO, 2.225s, 2043</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>4,991,550</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>408,850</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 03-W10, Class 3, IO, 1.817s, 2043</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>164,893</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>11,514</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 03-W10, Class 1, IO, 1.715s, 2043</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>501,114</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>31,925</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 03-W8, Class 12, IO, 1.64s, 2042</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>485,456</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>30,361</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 03-W17, Class 12, IO, 1.143s, 2033</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,327,023</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>104,716</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
</DIV>
<HR align=center SIZE=2 width="100%" noShade>

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<DIV align=left>
<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>
<TR>
     <TD width="70%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 06-26, Class NB, 1s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>113,444</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>104,827</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 03-T2, Class 2, IO, 0.811s, 2042</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>723,424</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>20,020</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 03-W10, Class 3A, IO, 0.601s, 2043</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,688,076</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>61,923</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 02-T18, IO, 0.509s, 2042</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>4,527,704</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>88,552</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 03-W10, Class 1A, IO, 0.495s, 2043</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,249,804</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>41,959</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 06-56, Class XF, zero %, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>61,629</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>56,048</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 05-117, Class MO, PO, zero %, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,797</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,798</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 99-51, Class N, PO, zero %, 2029</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>42,994</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>38,725</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 05-91, Class EF, zero %, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>12,498</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>12,313</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 05-51, Class FV, zero %, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>3,656</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>3,652</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 06-48, Class FG, zero %, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>73,410</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>72,574</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 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=2 face=sans-serif>IFB Ser. T-56, Class 2ASI, IO, 7.753s, 2043</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>581,050</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>131,557</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. T-57, Class 1AX, IO, 0.004s, 2043</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,545,779</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>21,794</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>IO, 1.201s, 2020</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>3,554,191</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>103,072</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>IFB Ser. 3182, Class PS, 27.201s, 2032</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>321,729</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>483,726</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 3182, Class SP, 27.201s, 2032</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>346,822</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>515,858</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 3211, Class SI, IO, 26.195s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>260,345</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>164,437</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 3408, Class EK, 24.386s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>267,331</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>389,677</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 3077, Class ST, IO, 23.24s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>331,977</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>204,114</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 2979, Class AS, 22.991s, 2034</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>149,569</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>209,513</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 3105, Class SI, IO, 18.701s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>203,663</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>101,314</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 3031, Class BS, 15.851s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>466,754</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>617,599</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 2684, Class SP, IO, 7.15s, 2033</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,215,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>247,459</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 3184, Class SP, IO, 7s, 2033</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,763,392</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>311,429</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 3110, Class SP, IO, 6.95s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,449,882</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>265,676</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 3156, Class PS, IO, 6.9s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,752,876</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>479,964</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 3149, Class LS, IO, 6.85s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>7,439,789</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,452,916</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 3119, Class PI, IO, 6.85s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,062,834</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>399,158</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 2882, Class NS, IO, 6.85s, 2034</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,099,699</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>143,445</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 3149, Class SE, IO, 6.8s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>793,607</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>142,905</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 3203, Class SH, IO, 6.79s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>731,890</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>120,343</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 3208, Class PS, IO, 6 3/4s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>10,208,524</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,774,543</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 2835, Class AI, IO, 6 3/4s, 2034</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,137,358</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>189,973</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 2828, Class TI, IO, 6.7s, 2030</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>444,438</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>58,367</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 3042, Class SP, IO, 6.40s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>754,469</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>120,078</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 3249, Class SI, IO, 6.4s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>504,639</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>85,855</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 3028, Class ES, IO, 6.4s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,095,668</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>326,245</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 3287, Class SE, IO, 6.35s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,966,856</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>283,975</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 3122, Class DS, IO, 6.35s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,848,510</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>293,333</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 3123, Class LI, IO, 6.35s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>578,882</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>99,359</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 3108, Class SV, IO, 6.35s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>376,018</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>55,038</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 3117, Class SC, IO, 6.35s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>238,248</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>34,994</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 3139, Class SE, IO, 6.35s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>333,882</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>44,540</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 3107, Class DC, IO, 6.35s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>629,557</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>101,650</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 3001, Class IH, IO, 6.35s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,695,252</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>411,996</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 2935, Class SX, IO, 6.35s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,368,568</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>256,066</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 2906, Class SW, IO, 6.35s, 2034</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>4,490,391</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>475,532</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 2950, Class SM, IO, 6.35s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>374,678</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>51,143</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 3256, Class S, IO, 6.34s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,354,038</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>209,777</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 3031, Class BI, IO, 6.34s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>522,974</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>90,327</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 3249, Class SM, IO, 6.3s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>325,317</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>46,895</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 3240, Class SM, IO, 6.3s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>312,562</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>41,361</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 3147, Class SD, IO, 6.3s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,235,939</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>324,146</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 3398, Class SI, IO, 6.3s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,515,606</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>300,313</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 3067, Class SI, IO, 6.3s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>8,081,606</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,326,030</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 3128, Class JI, IO, 6.28s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>266,635</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>41,419</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 3240, Class S, IO, 6.27s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,365,008</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>329,777</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 3065, Class DI, IO, 6.27s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>398,809</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>66,858</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 3231, Class SA, IO, 6 1/4s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>328,228</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>46,208</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 3145, Class GI, IO, 6 1/4s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>232,153</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>37,323</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 3114, Class IP, IO, 6 1/4s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,459,065</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>333,646</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 3510, Class IB, IO, 6 1/4s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,134,819</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>206,991</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 3485, Class SI, IO, 6.2s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>554,276</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>86,600</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 3346, Class SC, IO, 6.2s, 2033</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>14,814,366</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,046,753</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 3346, Class SB, IO, 6.2s, 2033</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>8,986,560</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,232,866</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 3284, Class LI, IO, 6.09s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,268,693</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>305,706</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 3510, Class IA, IO, 6.15s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>345,697</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>44,391</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 3382, Class SI, IO, 6.05s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>8,336,902</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>905,137</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 3238, Class LI, IO, 6.14s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>667,919</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>89,321</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 3171, Class PS, IO, 6.135s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,014,766</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>143,300</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 3171, Class ST, IO, 6.135s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>978,857</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>136,887</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 3449, Class SL, IO, 6.13s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>85,485</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>12,008</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 3152, Class SY, IO, 6.13s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>4,500,904</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>681,032</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 3510, Class DI, IO, 6.13s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>3,052,545</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>445,092</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 3181, Class PS, IO, 6.12s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>701,603</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>108,391</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 3631, Class PS, IO, 6.1s, 2040</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,954,647</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>288,121</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 3361, Class SI, IO, 6.1s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>97,883</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>14,518</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 3199, Class S, IO, 6.1s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,933,711</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>265,905</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 3200, Class PI, IO, 6.1s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>293,800</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>41,482</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 3281, Class AI, IO, 6.08s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>427,914</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>58,166</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 3261, Class SA, IO, 6.08s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>678,129</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>91,995</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 3311, Class IA, IO, 6.06s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,343,034</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>182,612</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 3311, Class IB, IO, 6.06s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,343,034</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>182,612</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 3311, Class IC, IO, 6.06s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,343,034</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>182,612</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 3311, Class ID, IO, 6.06s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,343,034</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>182,612</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 3311, Class IE, IO, 6.06s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,027,112</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>275,626</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 3311, Class PI, IO, 6.06s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,017,157</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>150,314</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 3265, Class SC, IO, 6.06s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>467,723</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>59,686</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 3240, Class GS, IO, 6.03s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,494,120</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>197,747</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 3257, Class SI, IO, 5.97s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>644,405</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>90,505</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 3242, Class SC, IO, 5.94s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>8,327,867</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,099,539</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 3242, Class SD, IO, 5.94s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>91,858</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>9,849</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 3225, Class EY, IO, 5.94s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>19,725,662</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,407,912</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 3225, Class JY, IO, 5.94s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,779,001</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>360,964</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 3608, Class SC, IO, 5.9s, 2039</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>750,389</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>72,945</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
</DIV>
<HR align=center SIZE=2 width="100%" noShade>

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<DIV align=left>
<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>
<TR>
     <TD width="70%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 3621, Class SB, IO, 5.88s, 2040</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>8,469,497</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,092,258</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 3617, Class BS, IO, 5.87s, 2039</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>3,626,379</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>412,501</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 3502, Class DS, IO, 5.8s, 2039</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>552,544</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>76,904</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 3339, Class TI, IO, 5.79s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,570,171</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>197,323</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 3284, Class CI, IO, 5.77s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>3,870,363</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>489,795</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 3476, Class S, IO, 5 3/4s, 2038</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>111,173</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>8,679</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 3303, Class SD, IO, 5.74s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,077,669</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>135,440</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 3309, Class SG, IO, 5.72s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,545,738</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>180,417</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 3530, Class CS, IO, 5.7s, 2039</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>12,970,291</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,356,433</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 3530, Class SC, IO, 5.65s, 2039</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>908,954</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>94,222</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 3536, Class SM, IO, 5.65s, 2039</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>515,557</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>55,623</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 3424, Class UI, IO, 5.41s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,007,289</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>128,885</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 3645, Class ID, IO, 5s, 2040</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,605,967</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>238,711</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 3653, Class KI, IO, 5s, 2038</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>3,819,532</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>553,679</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 3632, Class CI, IO, 5s, 2038</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,133,860</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>334,525</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 3626, Class DI, IO, 5s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,640,104</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>169,128</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 3623, Class CI, IO, 5s, 2036 (F)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,465,620</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>146,431</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 3607, Class SA, IO, 4.896s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>382,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>54,408</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 3006, Class FA, 0 3/4s, 2034</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>21,525</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>21,523</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 3331, Class GO, PO, zero %, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>21,464</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>21,522</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 3289, Class SI, IO, zero %, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>138,979</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,701</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 3124, Class DO, PO, zero %, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>35,284</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>31,784</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 3106, PO, zero %, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>8,121</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>8,070</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 3084, Class ON, PO, zero %, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>11,643</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>11,468</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 2989, Class WO, PO, zero %, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>8,856</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>8,802</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 2975, Class QO, PO, zero %, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>11,720</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>11,427</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 2981, Class CO, PO, zero %, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>14,041</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>13,690</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 2951, Class JO, PO, zero %, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>11,398</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>9,620</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 2985, Class CO, PO, zero %, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>24,948</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>21,650</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 3345, Class TY, zero %, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>52,008</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>51,179</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 3299, Class FD, zero %, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>75,394</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>74,003</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 3304, Class UF, zero %, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>107,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>98,677</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 3326, Class XF, zero %, 2037 (F)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>7,297</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>7,237</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 3273, Class HF, zero %, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>18,564</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>18,175</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 3326, Class YF, zero %, 2037 (F)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>315,162</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>309,309</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 3235, Class TP, zero %, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>9,245</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>9,162</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 3283, Class KF, zero %, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>4,733</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>4,695</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 3332, Class UA, zero %, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>228</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>227</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 3251, Class TC, zero %, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>85,623</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>83,425</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 3129, Class TF, zero %, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>153,878</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>141,664</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 3072, Class TJ, zero %, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>35,620</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>30,003</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 3047, Class BD, zero %, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>42,702</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>40,288</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 3052, Class TJ, zero %, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>18,389</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>17,599</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 3326, Class WF, zero %, 2035 (F)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>56,866</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>55,270</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 3030, Class EF, zero %, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>44,900</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>38,806</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 3033, Class YF, zero %, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>50,978</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>47,933</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 3251, Class TP, zero %, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>41,807</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>40,829</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 3263, Class AE, zero %, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>38,418</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>38,218</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 3412, Class UF, zero %, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>42,680</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>36,430</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 2958, Class TP, zero %, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>12,230</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>12,068</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 2963, Class TW, zero %, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>14,744</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>14,651</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 2958, Class FB, zero %, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>15,215</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>15,048</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 2947, Class GF, zero %, 2034</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>34,328</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>32,696</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 3006, Class TE, zero %, 2034</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>9,833</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>9,684</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>GMAC Commercial Mortgage Securities, Inc. 144A Ser.</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=2 face=sans-serif>99-C3, Class G, 6.974s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>193,794</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>149,222</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>IFB Ser. 10-14, Class SA, IO, 7.653s, 2032</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>96,960</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>15,095</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 08-47, Class S, IO, 7.35s, 2038</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,299,056</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>169,432</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 04-11, Class SB, IO, 6.853s, 2034</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>300,023</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>47,086</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 05-68, Class SN, IO, 6.85s, 2034</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>180,576</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>21,868</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 07-47, Class SA, IO, 6 3/4s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>911,194</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>133,958</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 04-96, Class KS, IO, 6.653s, 2034</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>96,255</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>14,579</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 06-16, Class GS, IO, 6.643s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>65,937</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>8,206</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 07-26, Class SG, IO, 6.503s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>852,449</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>87,035</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 09-88, Class MS, IO, 6.553s, 2039</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>3,532,458</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>433,769</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 09-76, Class MS, IO, 6.553s, 2039</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>412,557</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>49,577</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 07-35, Class NY, IO, 6.55s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,413,313</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>139,709</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 09-106, Class XI, IO, 6.453s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>4,417,929</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>505,234</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 10-14, Class SB, IO, 6.453s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>94,518</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>13,448</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 08-79, Class ID, IO, 6.453s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,517,687</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>241,976</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 05-13, Class SD, IO, 6.453s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>3,640,006</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>537,374</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 09-106, Class XL, IO, 6.403s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>3,510,813</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>376,149</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 04-104, Class IS, IO, 6.403s, 2034</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>109,241</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>12,712</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 09-87, Class IG, IO, 6.393s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>318,211</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>44,072</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 07-53, Class SY, IO, 6.388s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,357,479</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>141,079</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 09-61, Class SA, IO, 6.353s, 2039</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>11,370,168</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,296,085</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 10-47, Class PX, IO, 6.353s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>863,929</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>94,453</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 07-37, Class SU, IO, 6.34s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>163,257</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>21,668</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 07-37, Class YS, IO, 6.32s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>137,976</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>17,295</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 07-16, Class KU, IO, 6.303s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>8,338,152</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,046,772</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 07-16, Class PU, IO, 6.303s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>66,077</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>7,916</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 09-106, Class LP, IO, 6.263s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>452,738</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>50,290</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 09-87, Class SK, IO, 6.253s, 2032</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,738,879</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>166,706</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 08-6, Class TI, IO, 6 1/4s, 2032</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>174,069</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>14,531</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 06-34, Class PS, IO, 6.243s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>533,205</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>58,658</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 09-18, Class MS, IO, 6.203s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>512,156</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>40,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 10-47, Class XN, IO, 6.2s, 2034</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>885,903</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>69,729</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 10-53, Class SA, IO, 6.153s, 2039</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,646,152</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>237,077</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 09-24, Class SA, IO, 6.153s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>7,506,079</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>544,941</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 06-26, Class S, IO, 6.153s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>3,263,346</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>329,980</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 09-104, Class KS, IO, 6.15s, 2039</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>6,706,085</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>783,172</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 08-9, Class SK, IO, 6.133s, 2038</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,716,465</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>190,905</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 10-47, Class UX, IO, 6.12s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>810,914</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>111,995</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 07-35, Class KY, IO, 6.1s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>3,946,687</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>377,698</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 09-102, Class SM, IO, 6.05s, 2039</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>6,726,637</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>730,471</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 09-35, Class SP, IO, 6.05s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,412,219</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>281,578</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 09-106, Class SC, IO, 6.003s, 2039</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,559,504</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>308,676</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 05-65, Class SI, IO, 6.003s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,997,144</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>342,364</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
</DIV>
<HR align=center SIZE=2 width="100%" noShade>

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<a name="_bclPageBorder5"></a><DIV style="PADDING-LEFT: 0%; WIDTH: 100%; PADDING-RIGHT: 0%">
<DIV align=left>
<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>
<TR>
     <TD width="70%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 09-102, Class SA, IO, 5.98s, 2039</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>346,272</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>39,118</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 09-110, Class NS, IO, 5.953s, 2039</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>658,195</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>63,287</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 09-92, Class SL, IO, 5.95s, 2039</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,012,262</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>96,307</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 06-16, Class SX, IO, 5.943s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,036,401</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>114,315</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 10-47, Class UD, IO, 5.903s, 2038</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>784,559</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>68,162</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 09-106, Class SD, IO, 5.903s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,522,282</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>165,640</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 09-87, Class SN, IO, 5.903s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,352,030</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>123,643</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 10-47, Class VS, IO, 5.9s, 2040</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,370,993</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>186,236</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 09-88, Class SK, IO, 5.9s, 2039</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>916,160</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>81,821</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 09-72, Class SM, IO, 5.9s, 2039</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>3,103,610</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>357,885</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 09-92, Class SA, IO, 5.9s, 2039</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>4,989,504</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>579,431</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 09-122, Class WS, IO, 5.803s, 2039</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>4,343,023</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>416,366</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 09-87, Class TS, IO, 5.753s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>4,777,316</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>578,867</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 04-83, Class CS, IO, 5.733s, 2034</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>260,733</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>30,454</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 09-50, Class SW, IO, 5.653s, 2039</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>850,433</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>77,735</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 09-106, Class ST, IO, 5.653s, 2038</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>857,458</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>89,819</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 04-41, Class SG, IO, 5.653s, 2034</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,922,398</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>80,798</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 10-68, Class MS, IO, 5 1/2s, 2040</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>3,388,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>449,969</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 09-87, Class WT, IO, 0.178s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,890,582</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>8,932</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 09-106, Class WT, IO, 0.149s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>725,780</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,308</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 06-36, Class OD, PO, zero %, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>22,130</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>20,609</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 07-16, Class WF, zero %, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>90,318</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>89,270</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Greenwich Capital Commercial Funding Corp. FRB Ser.</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=2 face=sans-serif>06-GG7, Class A2, 5.888s, 2038</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,133,922</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,161,462</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>Class A3, 5.999s, 2045</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>334,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>349,165</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>Class XC, IO, 0.301s, 2039</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>73,251,232</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,317,523</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>Ser. 05-RP1, Class 1AS, IO, 5.949s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,499,769</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>210,535</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 05-RP3, Class 1AS, IO, 5.445s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>859,347</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>118,240</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>2035 (In default) (NON)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>84,852</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>8</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>HSI Asset Loan Obligation FRB Ser. 07-AR1, Class 2A1,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>5.969s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,755,195</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,909,695</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IMPAC Secured Assets Corp. FRB Ser. 07-2, Class 1A1A,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>0.457s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,299,491</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>662,740</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>FRB Ser. 06-AR25, Class 5A1, 5.694s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>672,900</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>383,649</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 07-AR9, Class 2A1, 5.691s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>859,773</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>578,197</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 07-AR15, Class 1A1, 5.673s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>840,995</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>531,929</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 06-AR25, Class 3A1, 5.664s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>965,676</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>540,778</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 05-AR23, Class 6A1, 5.383s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>600,333</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>444,247</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 05-AR31, Class 3A1, 5.374s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,196,799</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,383,984</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 07-AR11, Class 1A1, 4.935s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,064,508</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>638,705</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 06-AR41, Class A3, 0.527s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>724,215</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>354,865</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 06-AR35, Class 2A1A, 0.517s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,335,373</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>701,446</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>FRB Ser. 06-A1, Class 5A1, 5.921s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>581,024</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>453,199</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 06-A6, Class 1A1, 0.507s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>946,095</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>447,671</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>Ser. 08-C2, Class X, IO, 0.476s, 2051</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>29,925,344</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>713,606</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>144A Ser. 07-CB20, Class X1, IO, 0.19s, 2051</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>63,197,149</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>733,087</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>LB Commercial Conduit Mortgage Trust 144A Ser. 99-C1,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Class G, 6.41s, 2031</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>253,101</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>156,780</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>MASTR Reperforming Loan Trust 144A Ser. 05-1,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Class 1A4, 7 1/2s, 2034</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>606,427</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>536,688</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>Class XC, IO, 0.198s, 2049</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>56,130,907</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>647,622</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>Class JS, IO, 2.273s, 2028</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,127,007</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>27,172</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Merrill Lynch Mortgage Trust FRB Ser. 07-C1, Class A3,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>6.02s, 2050</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>222,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>229,701</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>FRB Ser. 07-8, Class A2, 6.118s, 2049</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>270,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>294,212</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>Class X, IO, 4.95s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,354,426</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>188,354</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>Class X, IO, 7.933s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>785,756</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>74,647</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Morgan Stanley 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=2 face=sans-serif>Ser. 98-CF1, Class E, 7.35s, 2032</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,252,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,322,057</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 08-T29, Class A3, 6.458s, 2043</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>712,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>765,599</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 07-HQ13, Class A2, 5.649s, 2044</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,144,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,225,772</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Morgan Stanley Capital I 144A FRB Ser. 04-RR,</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=2 face=sans-serif>Class F7, 6s, 2039</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,730,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>134,075</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Morgan Stanley Mortgage Loan Trust</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 07-11AR, Class 2A5, 9.606s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>557,708</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>294,888</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 07-11AR, Class 2A1, 5.553s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,596,305</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,304,643</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 06-3AR, Class 3A1, 5.833s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>583,462</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>379,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 07-14AR, Class 6A1, 5.587s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>3,773,770</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,264,262</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 07-15AR, Class 2A1, 5.45s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>513,239</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>348,460</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 06-6AR, Class 2A, 5.411s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,253,026</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,374,346</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 05-5AR, Class 2A1, 3.571s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>912,509</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>574,881</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 06-5AR, Class A, 0.597s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,450,010</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>696,005</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Mortgage Capital Funding, Inc.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 98-MC2, Class E, 7.275s, 2030</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>327,112</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>327,930</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 97-MC2, Class X, IO, 1.751s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,932</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>63</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Nomura Asset Acceptance Corp. 144A IFB Ser. 04-R3,</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=2 face=sans-serif>Class AS, IO, 6.703s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>132,590</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>23,958</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>PNC Mortgage Acceptance Corp. 144A Ser. 00-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=2 face=sans-serif>Class J, 6 5/8s, 2033</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>123,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>12,300</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Residential Asset Securitization Trust</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 07-A5, Class 2A3, 6s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>675,942</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>513,716</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 05-A2, Class A1, 0.847s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,072,669</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>762,577</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>STRIPS 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=2 face=sans-serif>Ser. 03-1A, Class M, 5s, 2018</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>162,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>113,400</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 03-1A, Class N, 5s, 2018</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>193,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>125,450</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 04-1A, Class M, 5s, 2018</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>174,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>104,400</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
</DIV>
<HR align=center SIZE=2 width="100%" noShade>

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<DIV align=left>
<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>
<TR>
     <TD width="55%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 04-1A, Class N, 5s, 2018</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>167,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>91,850</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Structured Adjustable Rate Mortgage Loan Trust</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 07-10, Class 1A1, 6s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,252,784</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>678,657</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 06-9, Class 1A1, 5.896s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>796,554</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>434,607</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 06-12, Class 1A1, 0.507s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>3,681,327</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,098,357</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Structured Asset Securities Corp.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IFB Ser. 07-4, Class 1A3, IO, 5.896s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>4,129,004</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>628,611</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 07-4, Class 1A4, IO, 1s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>5,569,384</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>201,741</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Structured Asset Securities Corp. 144A</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 06-RF1, IO, 5.61s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>21,818,328</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>3,059,223</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 05-RF6, Class A, IO, 5.542s, 2043</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>566,095</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>77,909</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 07-RF1, Class 1A, IO, 5.226s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>4,517,383</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>592,588</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 06-RF4, Class 1A, IO, 5.008s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>292,766</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>38,914</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ursus PLC 144A FRB Ser. 1-A, Class D, 1.56s, 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=2 face=sans-serif>(Ireland)</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>GBP</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>210,006</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>21,988</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Wachovia Bank Commercial Mortgage Trust</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 07-C31, Class A3, 5.483s, 2047</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$396,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>404,983</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 07-C30, Class A3, 5.246s, 2043</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>4,254,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>4,252,433</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 07-C34, IO, 0.524s, 2046</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>16,846,572</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>316,042</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Wachovia Bank Commercial Mortgage Trust 144A FRB Ser.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&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>05-WL5A, Class L, 3.65s, 2018</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>477,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>243,270</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Wells Fargo Alternative Loan Trust FRB Ser. 07-PA6,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&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>Class A1, 6.34s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>6,231,238</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>4,342,637</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Total mortgage-backed securities (cost $153,654,406)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>$176,717,111</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=2 face=sans-serif>CORPORATE BONDS AND NOTES (18.9%)(a)</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>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Principal amount</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Value</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Basic materials (1.0%)</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=2 face=sans-serif>Builders FirstSource, Inc. 144A company guaranty sr.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&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>notes FRN 13s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$164,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$167,690</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Clondalkin Acquisition BV 144A company guaranty sr.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&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>notes FRN 2.537s, 2013 (Netherlands)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>215,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>185,975</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Cognis GmbH company guaranty sr. bonds FRB Ser. REGS,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2.719s, 2013 (Netherlands)</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>156,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>188,957</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Freeport-McMoRan Copper &amp; Gold, Inc. sr. unsec. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>8 3/8s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$106,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>116,600</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Georgia-Pacific, LLC sr. unsec. unsub. notes 8 1/8s,</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=2 face=sans-serif>2011</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>55,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>57,269</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Hexion U.S. Finance Corp./Hexion Nova Scotia Finance,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>ULC company guaranty 9 3/4s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>64,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>60,480</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>International Paper Co. sr. unsec. notes 9 3/8s, 2019</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>100,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>128,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>NewPage Holding Corp. sr. unsec. unsub. notes FRN</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>7.527s, 2013 (PIK)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>94,453</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>9,918</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Novelis, Inc. company guaranty sr. unsec. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>11 1/2s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>75,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>78,375</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Novelis, Inc. company guaranty sr. unsec. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>7 1/4s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>113,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>109,045</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>PE Paper Escrow GmbH sr. notes Ser. REGS, 11 3/4s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2014 (Austria)</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>405,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>535,487</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Rockwood Specialties Group, Inc. company guaranty sr.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&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>unsec. sub. notes 7 5/8s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>50,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>59,925</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>SGL Carbon SE company guaranty sr. sub. notes FRN Ser.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&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>EMTN, 1.933s, 2015 (Germany)</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>152,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>163,998</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Smurfit Kappa Funding PLC sr. unsec. sub. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>7 3/4s, 2015 (Ireland)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$280,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>276,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Smurfit-Stone Container Corp. sr. unsec. unsub. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>8 3/8s, 2012 (In default) (NON)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>240,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>186,600</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Steel Dynamics, 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=2 face=sans-serif>unsub. notes 7 3/8s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>101,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>104,535</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Steel Dynamics, Inc. sr. unsec. unsub. notes 7 3/4s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2016</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>269,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>270,345</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Stone Container Corp. 8 3/8s, 2012 (Escrow) (F)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>240,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,400</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Teck Resources, Ltd. sr. notes 10 3/4s, 2019 (Canada)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>168,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>205,850</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Teck Resources, Ltd. sr. notes 10 1/4s, 2016 (Canada)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>291,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>343,380</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>358,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>423,090</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Verso Paper Holdings, LLC/Verso Paper, Inc. 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=2 face=sans-serif>11 1/2s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>238,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>256,445</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>3,930,864</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Capital goods (0.5%)</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=2 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=2 face=sans-serif>104,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>101,920</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ball Corp. company guaranty sr. unsec. notes 7 3/8s,</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=2 face=sans-serif>2019</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>26,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>27,040</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ball Corp. company guaranty sr. unsec. notes 7 1/8s,</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=2 face=sans-serif>2016</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>39,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>40,804</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>350,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>336,875</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Crown Americas, LLC/Crown Americas Capital Corp. sr.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&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>notes 7 5/8s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>206,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>211,665</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Impress Holdings BV company guaranty sr. disc. 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=2 face=sans-serif>FRB Ser. REGS, 4.121s, 2013 (Netherlands)</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>136,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>155,426</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Rexel SA company guaranty sr. unsec. notes 8 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=2 face=sans-serif>2016 (France)</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>148,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>184,253</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ryerson Tull, Inc. company guaranty sr. sec. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>12s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$334,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>341,515</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>TD Funding Corp. 144A company guaranty 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=2 face=sans-serif>7 3/4s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>70,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>70,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Transdigm, Inc. company guaranty sr. unsec. sub. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>7 3/4s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>310,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>310,775</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>1,780,273</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Communication services (2.4%)</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=2 face=sans-serif>Angel Lux Common Sarl notes Ser. REGS, 8 1/4s, 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=2 face=sans-serif>(Denmark)</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>214,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>273,153</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>$452,462</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>527,118</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
</DIV>
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<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>
<TR>
     <TD width="55%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>notes 7s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>88,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>82,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Cincinnati Bell, Inc. company guaranty sr. unsec. sub.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>notes 8 3/4s, 2018</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>75,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>68,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Cricket Communications, Inc. company guaranty 9 3/8s,</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=2 face=sans-serif>2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>248,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>251,720</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Cricket Communications, Inc. company guaranty sr.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&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>unsec. unsub. notes 10s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>354,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>369,930</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Cricket Communications, Inc. company guaranty sr.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&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>unsub. notes 7 3/4s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>480,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>489,600</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>81,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>83,835</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Digicel Group, Ltd. 144A sr. unsec. notes 8 7/8s, 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=2 face=sans-serif>(Jamaica)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>245,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>239,488</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Frontier Communications Corp. sr. unsec. notes 8 1/8s,</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=2 face=sans-serif>2018</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>343,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>340,428</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Inmarsat Finance PLC 144A company guaranty sr. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>7 3/8s, 2017 (United Kingdom)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>150,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>153,375</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Intelsat Subsidiary Holding Co., Ltd. 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=2 face=sans-serif>sr. unsec. notes 8 7/8s, 2015 (Bermuda)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>128,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>130,080</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Level 3 Financing, Inc. company guaranty 9 1/4s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>340,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>308,550</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Magyar Telecom BV 144A company guaranty sr. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>9 1/2s, 2016 (Hungary)</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>246,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>292,161</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Mediacom LLC/Mediacom Capital Corp. 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=2 face=sans-serif>9 1/8s, 2019</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$103,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>99,395</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>MetroPCS Wireless, 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=2 face=sans-serif>notes 9 1/4s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>90,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>92,700</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>NII Capital Corp. company guaranty sr. unsec. unsub.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>notes 10s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>70,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>73,675</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>PAETEC Holding 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=2 face=sans-serif>unsub. notes 9 1/2s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>150,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>145,875</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Qwest Communications International, Inc. company</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>guaranty 7 1/2s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>181,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>181,453</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Qwest Corp. sr. unsec. notes 7 1/2s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>75,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>79,781</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Qwest Corp. sr. unsec. unsub. notes 8 7/8s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,093,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,172,243</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>SBA Telecommunications, Inc. 144A company guaranty sr.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&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>notes 8 1/4s, 2019</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>105,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>110,513</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>SBA Telecommunications, Inc. 144A company guaranty sr.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&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>notes 8s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>180,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>186,300</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Sprint Nextel Corp. sr. notes 8 3/8s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,100,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,100,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>UPC Germany GmbH sr. notes Ser. REGS, 9 5/8s, 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=2 face=sans-serif>(Germany)</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>293,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>360,474</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>UPC Germany GmbH 144A sr. bonds 8 1/8s, 2017 (Germany)</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>218,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>264,655</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>UPC Holdings BV sr. notes 9 3/4s, 2018 (Netherlands)</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>119,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>146,832</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>UPC Holdings BV sr. notes Ser. REGS, 8 5/8s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&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>(Netherlands)</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>242,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>293,558</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>bond 8 7/8s, 2019 (United Kingdom)</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>GBP</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>50,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>75,873</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>unsub. notes 9 1/2s, 2016 (United Kingdom)</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>135,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>174,089</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>West Corp. company guaranty 9 1/2s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$184,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>184,920</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Wind Acquisition Holding 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=2 face=sans-serif>Ser. REGS, zero %, 2017 (Luxembourg) (PIK)</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>195,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>219,232</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Windstream Corp. company guaranty 8 5/8s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$590,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>594,425</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>9,166,181</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Conglomerates (--%)</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=2 face=sans-serif>SPX Corp. sr. unsec. notes 7 5/8s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>115,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>118,163</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>118,163</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</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=2 face=sans-serif>Consumer cyclicals (3.3%)</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=2 face=sans-serif>Affinia Group, Inc. 144A sr. notes 10 3/4s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>25,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>27,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Affinion Group, Inc. company guaranty 11 1/2s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>250,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>262,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Affinion Group, Inc. company guaranty 10 1/8s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>285,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>292,125</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Affinity Group, Inc. sr. sub. notes 9s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>482,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>359,693</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Allison Transmission, Inc. 144A company guaranty sr.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&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>unsec. notes 11 1/4s, 2015 (PIK)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>224,720</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>236,518</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>AMC Entertainment, Inc. company guaranty 11s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>251,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>263,550</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>AMC Entertainment, Inc. sr. sub. notes 8s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>205,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>197,313</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>American Casino &amp; Entertainment Properties LLC sr.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&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>notes 11s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>190,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>180,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Bon-Ton Stores, Inc. (The) company guaranty 10 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=2 face=sans-serif>2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>160,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>157,200</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Boyd Gaming Corp. sr. sub. notes 6 3/4s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>134,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>117,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Cenveo Corp. 144A 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=2 face=sans-serif>10 1/2s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>120,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>122,100</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Cirsa Capital Luxembourg SA company guaranty Ser.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&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>REGS, 7 7/8s, 2012 (Luxembourg)</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>77,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>93,482</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Clear Channel Communications, 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=2 face=sans-serif>unsec. unsub. notes 10 3/4s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$200,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>140,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Clear Channel Worldwide Holdings, 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=2 face=sans-serif>guaranty sr. unsec. unsub. notes Ser. B, 9 1/4s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>24,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>24,120</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Codere Finance Luxembourg SA sr. sec. notes Ser. REGS,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>8 1/4s, 2015 (Luxembourg)</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>227,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>254,747</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>D.R. Horton, Inc. sr. notes 7 7/8s, 2011</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$30,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>31,200</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>DIRECTV Holdings, 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=2 face=sans-serif>notes 7 5/8s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>117,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>127,091</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Echostar DBS Corp. company guaranty 6 5/8s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,369,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,369,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Europcar Groupe SA company guaranty sr. sub. bond 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=2 face=sans-serif>Ser. REGS, 4.183s, 2013 (France)</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>127,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>136,132</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ford Motor Credit Co., LLC sr. notes 9 7/8s, 2011</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$661,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>695,703</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Goodman Global Group, Inc. 144A sr. disc. notes 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=2 face=sans-serif>%, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>250,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>152,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Goodman Global, Inc. company guaranty sr. unsec. sub.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>notes 13 1/2s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>270,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>297,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Goodyear Tire &amp; Rubber Co. (The) 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=2 face=sans-serif>10 1/2s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>311,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>338,213</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Grupo Televisa SA sr. unsec. notes 6s, 2018 (Mexico)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>460,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>494,100</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
</DIV>
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<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>
<TR>
     <TD width="55%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Hanesbrands, Inc. company guaranty sr. unsec. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRN Ser. B, 4.121s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>70,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>66,238</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Harrah's Operating Co., Inc. sr. notes 11 1/4s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>185,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>194,713</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Interpublic Group of Companies, Inc. (The) sr. unsec.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>notes 10s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>170,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>187,425</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>ISS Financing PLC sr. bonds 11s, 2014 (United Kingdom)</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>50,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>65,649</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>ISS Holdings A/S sr. sub. notes Ser. REGS, 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=2 face=sans-serif>2016 (Denmark)</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>146,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>172,783</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Jarden Corp. company guaranty sr. sub. notes Ser. 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=2 face=sans-serif>7 1/2s, 2020</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>50,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>58,192</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Jarden Corp. company guaranty sr. unsec. sub. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>7 1/2s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$165,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>161,700</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Lamar Media Corp. company guaranty sr. notes 9 3/4s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>100,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>109,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Lender Processing Services, Inc. company guaranty sr.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&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>unsec. unsub. notes 8 1/8s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>795,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>836,738</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Levi Strauss &amp; Co. sr. unsec. notes 8 7/8s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>70,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>72,450</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Levi Strauss &amp; Co. 144A sr. notes 7 5/8s, 2020</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>100,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>98,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Limited Brands, 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=2 face=sans-serif>unsub. notes 7s, 2020</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>75,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>75,469</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>2015 (In default) (NON)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>340,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>51,850</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>49,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>49,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>180,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>182,700</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>guaranty 10s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>168,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>171,780</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 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=2 face=sans-serif>zero % (12 1/2s, 8/1/11), 2016 (STP)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>383,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>364,808</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Owens Corning, Inc. company guaranty unsec. unsub.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>notes 9s, 2019</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>497,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>575,278</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Penn National Gaming, Inc. sr. unsec. sub. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>8 3/4s, 2019</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>50,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>51,375</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Pinnacle Entertainment, Inc. company guaranty sr.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&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>unsec. sub. notes 7 1/2s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>320,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>300,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Pinnacle Entertainment, Inc. 144A sr. notes 8 5/8s,</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=2 face=sans-serif>2017</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>55,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>56,650</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>75,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>75,188</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>264,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>280,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>unsub. notes 7s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>124,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>114,700</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Station Casinos, Inc. sr. notes 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=2 face=sans-serif>(In default) (NON)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>318,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>18,881</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>THL Buildco, Inc. (Nortek Holdings, Inc.) 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=2 face=sans-serif>11s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>115,511</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>120,420</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>159,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>160,590</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>155,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>155,388</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>2015 (In default) (NON)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>220,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>550</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>unsub. notes Ser. REGS, 6 3/8s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>110,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>129,178</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>TVN Finance Corp. PLC company guaranty sr. unsec. Ser.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&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>REGS, 10 3/4s, 2017 (United Kingdom)</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>55,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>70,588</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>TVN Finance Corp. PLC 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=2 face=sans-serif>notes 10 3/4s, 2017 (United Kingdom)</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>152,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>195,080</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Umbrella Acquisition, Inc. 144A company guaranty sr.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&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>unsec. unsub. notes 9 3/4s, 2015 (PIK)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$371,097</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>308,938</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Vertis, Inc. company guaranty sr. notes 13 1/2s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&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>(PIK)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>263,355</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>109,951</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Visant Corp. company guaranty sr. unsec. sub. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>7 5/8s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>600,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>600,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>34,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>36,423</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Young Broadcasting, Inc. company guaranty sr. sub.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>notes 8 3/4s, 2014 (In default) (NON)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>83,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>sub. notes 10s, 2011 (In default) (NON)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>239,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>143</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>12,648,104</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</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=2 face=sans-serif>Consumer staples (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=2 face=sans-serif>Archibald Candy Corp. company guaranty 10s, 2010 (In</FONT>&nbsp;</TD>
     <TD noWrap align=left>&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>default) (F)(NON)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>88,274</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,363</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Avis Budget Car Rental, LLC company guaranty sr.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&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>unsec. unsub. notes 7 3/4s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>285,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>266,119</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Avis Budget Car Rental, LLC 144A company guaranty sr.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&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>notes 9 5/8s, 2018</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>45,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>45,450</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Constellation Brands, 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=2 face=sans-serif>notes 7 1/4s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>23,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>23,316</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Constellation Brands, 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=2 face=sans-serif>unsub. notes 7 1/4s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>111,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>111,971</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Great Atlantic &amp; Pacific Tea Co. 144A 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=2 face=sans-serif>11 3/8s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>131,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>109,058</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Prestige Brands, Inc. 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=2 face=sans-serif>notes 8 1/4s, 2018</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>125,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>125,938</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Rite Aid Corp. company guaranty sr. notes 7 1/2s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>315,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>278,775</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Rite Aid Corp. company guaranty sr. unsec. unsub.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>notes 9 1/2s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>277,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>219,523</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>1,181,513</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</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=2 face=sans-serif>Energy (3.9%)</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=2 face=sans-serif>Arch Western Finance, LLC 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=2 face=sans-serif>6 3/4s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>467,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>468,168</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>ATP Oil &amp; Gas Corp. 144A sr. notes 11 7/8s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>65,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>47,125</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Chaparral Energy, 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=2 face=sans-serif>notes 8 7/8s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>320,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>294,400</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Complete Production Services, 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=2 face=sans-serif>8s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>388,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>379,270</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Comstock Resources, Inc. sr. notes 6 7/8s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>510,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>506,175</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
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<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>
<TR>
     <TD width="55%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Connacher Oil and Gas, Ltd. 144A sec. notes 10 1/4s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2015 (Canada)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>210,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>207,375</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Connacher Oil and Gas, Ltd. 144A sr. sec. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>11 3/4s, 2014 (Canada)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>15,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>16,050</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Denbury Resources, Inc. sr. sub. notes 7 1/2s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>345,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>348,450</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Empresa Nacional del Petroleo 144A sr. unsec. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>6 1/4s, 2019 (Chile)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>600,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>636,739</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Expro Finance Luxemburg 144A sr. notes 8 1/2s, 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=2 face=sans-serif>(Luxembourg)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>215,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>205,325</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ferrellgas LP/Ferrellgas Finance Corp. sr. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>6 3/4s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>520,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>509,600</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Forest Oil Corp. sr. notes 8s, 2011</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>540,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>561,600</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Gaz Capital SA 144A company guaranty sr. unsec. 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=2 face=sans-serif>8.146s, 2018 (Russia)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>176,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>191,601</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Gaz Capital SA 144A sr. sec. bond 9 1/4s, 2019 (Russia)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,055,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,361,832</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Helix Energy Solutions Group, 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=2 face=sans-serif>notes 9 1/2s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>455,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>418,600</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Hornbeck Offshore Services, Inc. sr. notes Ser. B,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>6 1/8s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>340,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>303,450</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Infinis PLC sr. notes Ser. REGS, 9 1/8s, 2014 (United</FONT>&nbsp;</TD>
     <TD noWrap align=left>&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>Kingdom)</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>GBP</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>98,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>143,797</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>KazMunaiGaz Finance Sub BV 144A notes 7s, 2020</FONT>&nbsp;</TD>
     <TD noWrap align=left>&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>(Kazakhstan)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$155,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>155,589</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Key Energy Services, 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=2 face=sans-serif>unsub. notes 8 3/8s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>180,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>178,875</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Lukoil International Finance BV 144A 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=2 face=sans-serif>sr. unsec. unsub. notes 7 1/4s, 2019 (Russia)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>200,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>205,256</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Newfield Exploration Co. sr. unsec. sub. notes 6 5/8s,</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=2 face=sans-serif>2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>348,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>350,175</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>295,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>290,575</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>455,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>473,769</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Petrobras International Finance Co. company guaranty</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>sr. unsec. notes 7 7/8s, 2019 (Brazil)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>440,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>503,272</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>169,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>176,183</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Petroleos de Venezuela SA 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=2 face=sans-serif>notes 5 1/4s, 2017 (Venezuela)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,065,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,104,775</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>2011 (Venezuela)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>585,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>508,950</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>2015 (Venezuela)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>580,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>306,141</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Petroleum Co. of Trinidad &amp; Tobago Ltd. 144A sr.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&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>unsec. notes 9 3/4s, 2019 (Trinidad)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>545,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>621,300</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Petroleum Development Corp. company guaranty sr.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&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>unsec. notes 12s, 2018</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>240,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>247,800</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Plains Exploration &amp; Production Co. company guaranty</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>7 3/4s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>70,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>69,300</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Plains Exploration &amp; Production Co. company guaranty</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>7s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>80,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>76,400</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Plains Exploration &amp; Production Co. company guaranty</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>sr. unsec. notes 10s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>270,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>288,900</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Power Sector Assets &amp; Liabilites Management Corp. 144A</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>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=2 face=sans-serif>(Philippines)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>425,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>470,135</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>451,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>449,309</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>SandRidge Energy, Inc. 144A company guaranty sr.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&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>unsec. unsub. notes 8s, 2018</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>365,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>345,838</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>2014 (Russia)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>230,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>266,593</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>14,688,692</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Financials (4.5%)</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=2 face=sans-serif>Banco Do Brasil 144A sr. unsec. 5.317s, 2017 (Brazil)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>436,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>237,030</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Bosphorus Financial Services, Ltd. 144A sr. notes FRN</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2.236s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>632,188</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>618,795</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>763,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>686,700</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>CIT Group, Inc. sr. bond 7s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>404,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>368,650</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>CIT Group, Inc. sr. bond 7s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>144,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>132,840</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>CIT Group, Inc. sr. bond 7s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>96,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>90,480</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>195,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>186,713</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>25,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>25,156</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>GMAC, LLC company guaranty sr. unsec. notes 6 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=2 face=sans-serif>2012</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>403,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>404,008</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>GMAC, LLC company guaranty sr. unsec. notes 6 5/8s,</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=2 face=sans-serif>2012</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>512,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>512,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>GMAC, LLC company guaranty sr. unsec. unsub. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>6 7/8s, 2011</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>53,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>53,729</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>GMAC, LLC company guaranty sr. unsec. unsub. notes FRN</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2.738s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>39,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>33,570</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>HUB International Holdings, 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=2 face=sans-serif>10 1/4s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>95,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>87,163</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>unsub. notes 9s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>65,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>61,588</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>144A sr. notes 8s, 2018</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>385,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>373,450</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>JPMorgan Chase &amp; Co. 144A sr. unsec. notes FRN 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=2 face=sans-serif>2017</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,000,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>957,434</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>JPMorgan Chase &amp; Co. 144A sr. unsec. unsub. notes FRN</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>3.89s, 2011</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>22,000,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>697,378</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>JPMorgan Chase &amp; Co. 144A unsec. unsub. notes 0.17s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&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>2012</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>INR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>19,000,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>433,789</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>$100,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>102,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>252,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>243,180</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Reynolds Group DL Escrow, Inc./Reynolds Group Escrow,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&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>LLC 144A sr. sec. notes 7 3/4s, 2016 (Luxembourg)</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>377,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>453,359</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 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=2 face=sans-serif>$3,585,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>3,546,999</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>144A notes 9s, 2014 (Russia)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,425,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,599,563</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
</DIV>
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<DIV align=left>
<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>
<TR>
     <TD width="55%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Shinhan Bank 144A sr. unsec. bond 6s, 2012 (South</FONT>&nbsp;</TD>
     <TD noWrap align=left>&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>Korea)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>137,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>145,713</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>notes FRN 4.311s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>60,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>49,050</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>130,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>129,350</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>1,925,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,014,031</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>1,385,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,424,819</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>1,390,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,437,580</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>17,106,617</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Health care (1.2%)</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=2 face=sans-serif>Community Health 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=2 face=sans-serif>8 7/8s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>45,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>46,406</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>119,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>119,149</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>DaVita, Inc. company guaranty sr. unsec. sub. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>7 1/4s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>60,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>60,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>HCA, Inc. company guaranty sr. notes 9 5/8s, 2016 (PIK)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>299,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>319,930</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>346,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>366,760</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>282,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>295,043</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>545,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>535,463</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>345,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>324,300</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>724,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>714,045</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Sun Healthcare Group, 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=2 face=sans-serif>unsub. notes 9 1/8s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>9,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>9,428</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Surgical Care Affiliates, 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=2 face=sans-serif>10s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>310,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>306,125</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Surgical Care Affiliates, Inc. 144A sr. unsec. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>8 7/8s, 2015 (PIK)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>120,841</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>118,726</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Tenet Healthcare Corp. 144A 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=2 face=sans-serif>notes 10s, 2018</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>119,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>131,495</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Tenet Healthcare Corp. 144A 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=2 face=sans-serif>notes 9s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>483,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>510,773</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ventas Realty LP/Capital Corp. company guaranty 9s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&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>2012 (R)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>305,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>322,763</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ventas Realty LP/Capital Corp. sr. notes 6 5/8s,</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=2 face=sans-serif>2014 (R)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>173,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>177,036</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>4,357,442</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Technology (0.7%)</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=2 face=sans-serif>Ceridian 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=2 face=sans-serif>12 1/4s, 2015 (PIK)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>64,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>57,600</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>241,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>217,503</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Compucom Systems, Inc. 144A sr. sub. notes 12 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=2 face=sans-serif>2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>155,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>163,138</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>First Data 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=2 face=sans-serif>10.55s, 2015 (PIK)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>179,541</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>131,514</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>First Data 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=2 face=sans-serif>9 7/8s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>97,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>73,720</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>First Data Corp. company guaranty sr. unsec. sub.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>notes 11 1/4s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>161,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>99,015</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Freescale Semiconductor, Inc. company guaranty sr.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&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>unsec. notes 9 1/8s, 2014 (PIK)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>159,671</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>142,906</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Freescale Semiconductor, Inc. company guaranty sr.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&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>unsec. notes 8 7/8s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>279,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>254,588</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Freescale Semiconductor, Inc. company guaranty sr.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&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>unsec. sub. notes 10 1/8s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>14,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>11,200</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Iron Mountain, Inc. company guaranty sr. unsec. sub.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>notes 8s, 2020</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>470,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>479,400</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>SunGard Data Systems, Inc. company guaranty 10 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=2 face=sans-serif>2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>310,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>320,075</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>SunGard Data Systems, Inc. company guaranty 9 1/8s,</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=2 face=sans-serif>2013</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>326,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>331,298</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Unisys Corp. 144A company guaranty 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=2 face=sans-serif>14 1/4s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>320,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>370,400</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>2,652,357</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Transportation (0.1%)</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=2 face=sans-serif>British Airways PLC sr. unsec. 8 3/4s, 2016 (United</FONT>&nbsp;</TD>
     <TD noWrap align=left>&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>Kingdom)</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>GBP</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>157,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>223,091</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>RailAmerica, Inc. company guaranty sr. notes 9 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=2 face=sans-serif>2017</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$136,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>142,460</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>365,551</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Utilities and power (1.0%)</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=2 face=sans-serif>AES Corp. (The) sr. unsec. unsub. notes 8s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>130,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>131,300</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>AES Corp. (The) 144A sec. notes 8 3/4s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>160,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>162,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Edison Mission Energy sr. unsec. notes 7 3/4s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>151,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>104,945</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Edison Mission Energy sr. unsec. notes 7 1/2s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>69,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>59,340</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Edison Mission Energy sr. unsec. notes 7.2s, 2019</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>147,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>90,405</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Edison Mission Energy sr. unsec. notes 7s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>23,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>14,720</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>El Paso Corp. sr. unsec. notes 12s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>516,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>595,980</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ipalco Enterprises, Inc. 144A sr. sec. notes 7 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=2 face=sans-serif>2016</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>115,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>117,588</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Majapahit Holding BV 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=2 face=sans-serif>notes 8s, 2019 (Indonesia)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>400,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>440,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Majapahit Holding BV 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=2 face=sans-serif>notes 7 3/4s, 2020 (Indonesia)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,085,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,190,592</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Mirant Americas Generation, Inc. sr. unsec. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>8.3s, 2011</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>100,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>102,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>NRG Energy, Inc. sr. notes 7 3/8s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>235,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>233,825</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Sierra Pacific Resources sr. unsec. notes 8 5/8s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>257,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>264,068</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Sierra Pacific Resources sr. unsec. unsub. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>6 3/4s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>40,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>40,296</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Utilicorp United, Inc. sr. unsec. notes 7.95s, 2011</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>18,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>18,623</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
</DIV>
<HR align=center SIZE=2 width="100%" noShade>

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<DIV align=left>
<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>
<TR>
     <TD width="55%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></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=2 face=sans-serif>3,565,932</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=2 face=sans-serif>Total corporate bonds and notes (cost $72,117,490)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>$71,561,689</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=2 face=sans-serif>ASSET-BACKED SECURITIES (13.3%)(a)</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>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Principal amount</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Value</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Accredited Mortgage Loan Trust</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 05-1, Class M2, 1.037s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$74,142</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$26,441</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 05-4, Class A2C, 0.557s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>18,432</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>17,608</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ace Securities Corp.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 06-OP2, Class A2C, 0.497s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>107,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>30,146</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 06-HE3, Class A2C, 0.497s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>115,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>43,705</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Class M2, 2.997s, 2033</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>199,684</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>65,629</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Arcap REIT, 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=2 face=sans-serif>Ser. 03-1A, Class E, 7.11s, 2038</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>383,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>68,940</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 04-1A, Class E, 6.42s, 2039</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>361,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>57,760</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Argent Securities, Inc. FRB Ser. 03-W3, Class M3,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2.617s, 2033</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>24,453</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>7,569</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Asset Backed Funding Certificates FRB Ser. 04-OPT2,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&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>Class M2, 1.347s, 2033</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>115,079</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>87,698</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 06-HE4, Class A5, 0.507s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>95,938</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>57,544</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Bear Stearns Asset Backed Securities, Inc.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 04-FR3, Class M6, 5.222s, 2034</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>50,847</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>9,693</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 05-HE1, Class M3, 1.277s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>223,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>68,413</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 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=2 face=sans-serif>461,611</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>331,206</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 00-A, Class A1, 0.510s, 2030</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>132,781</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>20,877</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>FRB Ser. 05-OPT1, Class M1, 0.767s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>47,073</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>36,847</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 07-OPX1, Class A1A, 0.417s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>465,710</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>237,512</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 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=2 face=sans-serif>1,212,289</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>991,046</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>2,920,291</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,277,827</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>451,678</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>398,605</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>825,291</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>662,296</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>165,631</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>130,305</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>531,381</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>425,104</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>44,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>45,056</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>3,517,870</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>3,588,227</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>5,346,685</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>5,319,952</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>543,706</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>560,017</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 02-1, Class M1A, 2.396s, 2033</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,249,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,811,545</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 01-4, Class M1, 2.096s, 2033</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>295,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>149,399</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>FRB Ser. 05-BC3, Class M1, 0.867s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>41,156</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>38,166</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 05-14, Class 3A2, 0.587s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>17,246</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>15,893</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 06-4, Class 2A2, 0.527s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>904,385</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>714,464</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>Ser. 07-CB1, Class AF1A, 0.417s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>637,200</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>299,484</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>431,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>129,300</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Equifirst Mortgage Loan Trust FRB Ser. 05-1, Class M5,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>1.017s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>67,431</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>22,887</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>First Franklin Mortgage Loan 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=2 face=sans-serif>FRB Ser. 06-FF13, Class A2D, 0.587s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>883,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>400,582</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 07-FF1, Class A2D, 0.567s, 2038</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>874,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>403,930</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 06-FF11, Class 2A3, 0.497s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>871,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>374,530</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 07-FF1, Class A2C, 0.487s, 2038</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,132,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>522,778</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 06-FF7, Class 2A3, 0.497s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>600,037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>343,241</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>FRB Ser. 05-E, Class 2A4, 0.677s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>244,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>115,474</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 06-2, Class 2A3, 0.517s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>353,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>193,320</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>FRB Ser. 03-2, Class 2C1, 2.19s, 2043 (F)</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,430,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>711,025</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 03-2, Class 3C, 2.205s, 2043 (F)</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>GBP</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>688,016</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>342,095</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 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=2 face=sans-serif>$703,867</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>654,596</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>338,201</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>169,723</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>222,267</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>201,842</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>3,443,014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>3,098,713</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>387,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>362,211</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>362,579</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>333,051</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>371,800</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>345,691</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>41,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>40,590</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 97-6, Class M1, 7.21s, 2029</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,087,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>952,523</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 98-2, Class A6, 6.81s, 2027</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>308,517</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>315,713</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 99-3, Class A7, 6.74s, 2031</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>515,861</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>518,440</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRN Ser. 98-4, Class A6, 6.53s, 2030</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>147,089</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>149,549</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 99-2, Class A7, 6.44s, 2030</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>37,821</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>37,067</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 99-1, Class A6, 6.37s, 2025</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>15,672</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>15,790</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 98-4, Class A5, 6.18s, 2030</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>371,148</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>376,492</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Greenpoint Manufactured Housing</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 00-3, Class IA, 8.45s, 2031</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,438,481</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,334,192</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 99-5, Class M1A, 8.3s, 2026</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>157,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>151,323</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 99-5, Class A4, 7.59s, 2028</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>20,507</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>20,618</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>0.437s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,763,678</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>987,659</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>GSAMP Trust FRB Ser. 07-HE2, Class A2A, 0.467s, 2047</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>753,394</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>662,987</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 05-2A, Class E, 2.347s, 2030</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>387,782</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>31,023</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 05-1A, Class E, 2.147s, 2030</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>83,267</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>4,173</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>0.677s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>122,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>97,284</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>JPMorgan Mortgage Acquisition Corp. FRB Ser. 06-FRE1,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Class A4, 0.637s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>103,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>58,494</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
</DIV>
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<DIV align=left>
<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>
<TR>
     <TD width="55%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Lehman XS Trust Ser. 07-6, Class 3A6, 6 1/2s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>969,219</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>600,916</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>LNR CDO, Ltd. 144A FRB Ser. 02-1A, Class FFL, 3.097s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&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>2037</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,260,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>163,800</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Local Insight Media Finance, LLC Ser. 07-1W, Class A1,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>5.53s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,315,091</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>789,055</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Long Beach Mortgage Loan Trust</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 05-2, Class M4, 0.967s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>255,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>154,267</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 06-4, Class 2A4, 0.607s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>117,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>44,405</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 06-WL2, Class 2A3, 0.547s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,992,437</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,534,176</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 06-1, Class 2A3, 0.537s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>178,530</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>86,697</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Madison Avenue Manufactured Housing Contract FRB Ser.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&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>02-A, Class B1, 3.597s, 2032</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,046,356</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>919,224</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>MASTR Asset Backed Securities Trust FRB Ser. 06-FRE2,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&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>Class A4, 0.497s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>61,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>28,922</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Merrill Lynch First Franklin Mortgage Loan Asset</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Backed Certificates FRB Ser. 07-1, Class A2C, 0.597s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&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>2037</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>806,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>378,820</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Mid-State Trust Ser. 11, Class B, 8.221s, 2038</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>101,790</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>97,938</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Morgan Stanley ABS Capital I</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 04-HE8, Class B3, 3.547s, 2034</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>53,778</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>5,128</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 05-HE2, Class M5, 1.027s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>108,502</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>55,460</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 05-HE1, Class M3, 0.867s, 2034</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>160,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>127,713</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 06-NC4, Class M2, 0.647s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>223,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,624</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Class M3, 3.422s, 2033</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>11,252</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>6,496</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Novastar Home Equity 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=2 face=sans-serif>FRB Ser. 06-1, Class A2C, 0.507s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,213,948</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>617,278</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 06-2, Class A2C, 0.497s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,275,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>763,882</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 06-6, Class A2B, 0.447s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>841,772</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>532,371</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Oakwood Mortgage Investors, 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=2 face=sans-serif>Ser. 99-D, Class A1, 7.84s, 2029</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>757,290</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>689,134</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 00-A, Class A2, 7.765s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>111,242</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>76,647</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 95-B, Class B1, 7.55s, 2021</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>234,461</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>175,672</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 00-D, Class A4, 7.4s, 2030</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,022,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>674,520</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 02-B, Class A4, 7.09s, 2032</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>315,546</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>287,061</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 99-B, Class A4, 6.99s, 2026</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>755,780</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>680,202</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 00-D, Class A3, 6.99s, 2022</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>55,589</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>56,006</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 02-A, Class A4, 6.97s, 2032</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>45,584</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>44,034</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 01-D, Class A4, 6.93s, 2031</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>599,792</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>464,839</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 01-E, Class A4, 6.81s, 2031</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>800,776</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>646,627</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 99-B, Class A3, 6.45s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>180,051</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>159,795</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 01-C, Class A2, 5.92s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>835,555</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>417,778</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 02-C, Class A1, 5.41s, 2032</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>957,718</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>900,015</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 01-D, Class A2, 5.26s, 2019</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>119,891</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>82,425</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 01-E, Class A2, 5.05s, 2031</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>850,005</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>618,379</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 02-A, Class A2, 5.01s, 2020</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>200,330</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>172,537</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Oakwood Mortgage Investors, 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=2 face=sans-serif>Ser. 01-B, Class A4, 7.21s, 2030</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>138,077</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>132,209</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 01-B, Class A2, 0.725s, 2018</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>37,278</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>30,841</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Class M4, 1.177s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>104,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>31,709</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Residential Asset Mortgage Products, 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=2 face=sans-serif>FRB Ser. 06-NC3, Class A2, 0.537s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>97,980</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>75,837</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 07-RZ1, Class A2, 0.507s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>176,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>95,938</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Residential Asset Securities Corp.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 05-EMX1, Class M2, 1.077s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>260,251</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>180,532</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 01-KS3, Class AII, 0.803s, 2031</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,174,179</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>819,200</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Securitized Asset Backed Receivables, LLC</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 05-HE1, Class M2, 0.997s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>118,136</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>603</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 07-NC2, Class A2B, 0.487s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>165,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>70,113</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 07-BR5, Class A2A, 0.477s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>298,836</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>202,312</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 07-BR4, Class A2A, 0.437s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>272,087</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>184,203</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 07-BR3, Class A2A, 0.417s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,932,903</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,237,058</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Class A3D, PO, 0.557s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>246,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>94,576</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Soundview Home Equity 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=2 face=sans-serif>FRB Ser. 06-OPT3, Class 2A3, 0.517s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>117,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>87,120</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRB Ser. 06-3, Class A3, 0.507s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>516,314</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>285,097</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>1.574s, 2038 (In default) (NON)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>140,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>700</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Structured Asset Investment Loan Trust FRB Ser.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&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>06-BNC2, Class A6, 0.607s, 2036</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>117,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>19,671</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2038</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>467,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>56,040</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>TIAA Real Estate CDO, Ltd. 144A Ser. 02-1A, Class IV,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>6.84s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>390,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>42,900</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>Class 2A1, 0.457s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>476,386</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>309,651</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>Class B3, 1.216s, 2044 (United Kingdom)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>256,909</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>84,780</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Total asset-backed securities (cost $58,572,755)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>$50,168,813</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=2 face=sans-serif>FOREIGN GOVERNMENT BONDS AND NOTES (7.0%)(a)</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>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Principal amount</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Value</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Argentina (Republic of) sr. unsec. bonds Ser. VII, 7s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&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>2013</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$47,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$41,196</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Argentina (Republic of) sr. unsec. bonds FRB 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=2 face=sans-serif>2013</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,431,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>460,067</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Argentina (Republic of) sr. unsec. unsub. 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=2 face=sans-serif>%, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,411,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,910,718</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Argentina (Republic of) sr. unsec. unsub. bonds Ser. $</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>V, 10 1/2s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>ARS</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,039,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>428,190</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>0.389s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$14,586,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>5,017,584</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 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=2 face=sans-serif>535,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>573,119</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
</DIV>
<HR align=center SIZE=2 width="100%" noShade>

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<DIV align=left>
<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>
<TR>
     <TD width="55%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>100,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>100,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Brazil (Federal Republic of) notes zero %, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>BRL</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,500</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>795,135</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>$795,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>872,513</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Indonesia (Republic of) 144A 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=2 face=sans-serif>6 7/8s, 2018</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>550,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>620,125</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Indonesia (Republic of) 144A 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=2 face=sans-serif>6 3/4s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,590,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,759,796</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>325,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>365,359</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>6 1/2s, 2020</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,350,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,482,300</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Russia (Federation of) 144A unsec. unsub. bonds 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=2 face=sans-serif>2030</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,244,800</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,521,314</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>South Africa (Republic of) sr. unsec. unsub. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>6 7/8s, 2019</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>430,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>491,813</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Spain (Government of) bonds Ser. REGS, 5.4s, 2011</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,000,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,260,072</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>$200,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>205,338</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Turkey (Republic of) bonds 16s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>TRY</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>175,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>123,114</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>$810,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>924,753</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Turkey (Republic of) sr. unsec. notes 7 1/2s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,505,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,721,163</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ukraine (Government of) sr. unsec. bonds 6.385s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>125,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>124,199</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ukraine (Government of) sr. unsec. unsub. bonds Ser.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>REGS, 6 7/8s, 2011</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>400,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>400,496</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ukraine (Government of) 144A sr. unsec. bonds 6 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=2 face=sans-serif>2011</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>100,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>99,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ukraine (Government of) 144A sr. unsec. unsub. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>7.65s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>300,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>303,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Venezuela (Republic of) bonds 8 1/2s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>450,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>347,459</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>1.307s, 2011</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>770,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>711,919</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Venezuela (Republic of) unsec. notes 10 3/4s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,985,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,748,547</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Venezuela (Republic of) 144A unsec. bonds 13 5/8s, 2018</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,285,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,129,438</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Total foreign government bonds and notes (cost $24,673,804)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>$26,538,477</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=2 face=sans-serif>SENIOR LOANS (3.4%)(a)(c)</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>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Principal amount</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Value</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Basic materials (0.1%)</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=2 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>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2.51s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$130,188</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$125,696</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Georgia-Pacific, LLC bank term loan FRN Ser. C,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>3.728s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>83,469</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>80,589</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>loan FRN 6 3/4s, 2016 (U)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>140,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>139,350</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>345,635</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Capital goods (--%)</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=2 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>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. B, 5.328s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>117,547</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>116,518</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>116,518</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Communication services (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=2 face=sans-serif>CCO Holdings, LLC / CCO Holdings Capital Corp. 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=2 face=sans-serif>term loan FRN Ser. D, 3.038s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>200,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>177,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRN 7 1/4s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>224,825</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>225,106</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Charter Communications, Inc. bank term loan FRN 2.3s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&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>2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>100,940</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>93,453</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Charter Communications, Inc. bank term loan FRN Ser.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>C, 3.55s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>819,435</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>758,656</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Insight Midwest, LP bank term loan FRN Ser. B, 2.07s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&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>2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>130,326</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>122,180</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Intelsat Corp. bank term loan FRN Ser. B2, 2.792s, 2011</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>207,801</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>192,068</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Intelsat Corp. bank term loan FRN Ser. B2-A, 2.792s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&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>2013</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>207,865</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>192,127</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Intelsat Corp. bank term loan FRN Ser. B2-C, 2.792s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&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>2013</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>207,801</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>192,068</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Intelsat, Ltd. bank term loan FRN 3.292s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&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>(Luxembourg)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>460,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>422,740</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2.548s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>108,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>95,580</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>8.956s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>95,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>101,769</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>MetroPCS Wireless, Inc. bank term loan FRN 2 5/8s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>217,510</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>207,680</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>West Corp. bank term loan FRN Ser. B2, 2.751s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>111,230</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>103,119</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>2,884,046</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Consumer cyclicals (1.0%)</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=2 face=sans-serif>CCM Merger, Inc. bank term loan FRN Ser. B, 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=2 face=sans-serif>2012</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>279,933</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>273,984</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Cenveo, Inc. bank term loan FRN Ser. C, 5.039s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>124,744</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>122,873</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Cenveo, Inc. bank term loan FRN Ser. DD, 5.039s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>4,157</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>4,094</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Clear Channel Communications, 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=2 face=sans-serif>Ser. B, 4.004s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>177,851</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>137,390</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Dex Media West, LLC bank term loan FRN Ser. A, 7 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=2 face=sans-serif>2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>169,212</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>151,656</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>GateHouse Media, Inc. bank term loan FRN 2.6s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>219,537</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>89,077</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2.35s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>512,344</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>207,884</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2.35s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>191,173</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>77,569</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Golden Nugget, Inc. bank term loan FRN 3.365s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>57,684</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>46,075</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Golden Nugget, Inc. bank term loan FRN Ser. B, 3.355s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&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>2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>101,336</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>80,942</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Harrah's Operating Co., 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></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
</DIV>
<HR align=center SIZE=2 width="100%" noShade>

<!--$$/page=-->
<A name="page_14"></A><BR>
<a name="_bclPageBorder14"></a><DIV style="PADDING-LEFT: 0%; WIDTH: 100%; PADDING-RIGHT: 0%">
<DIV align=left>
<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>
<TR>
     <TD width="40%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. B2, 3.316s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>169,439</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>140,608</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Jarden Corp. bank term loan FRN Ser. B1, 2.04s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>65,294</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>64,137</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Jarden Corp. bank term loan FRN Ser. B2, 2.04s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>29,684</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>28,971</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Jarden Corp. bank term loan FRN Ser. B4, 3.54s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>165,265</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>162,339</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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></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>2.693s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>116,073</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>107,658</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>National Bedding Co. bank term loan FRN 2.325s, 2011</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>88,932</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>84,874</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>QVC, Inc. bank term loan FRN 5.847s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>51,382</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>51,222</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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></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>9 1/4s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>583,301</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>522,783</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Realogy Corp. bank term loan FRN 0.081s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>163,960</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>138,382</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Realogy Corp. bank term loan FRN Ser. B, 3.292s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>608,994</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>513,991</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Six Flags Theme Parks bank term loan FRN Ser. B, 6s,</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=2 face=sans-serif>2016</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>220,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>217,661</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Thomas Learning bank term loan FRN Ser. B, 2.79s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>98,982</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>85,286</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Tribune Co. bank term loan FRN Ser. B, 5 1/4s, 2014</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=2 face=sans-serif>(In default) (NON)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>463,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>281,273</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Univision Communications, Inc. bank term loan FRN</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=2 face=sans-serif>Ser. B, 2.54s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>173,896</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>145,638</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Yankee Candle Co., Inc. bank term loan FRN 2.36s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>96,106</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>91,168</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=right><B><FONT size=2 face=sans-serif>3,827,535</FONT></B>&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><B><FONT size=2 face=sans-serif>Consumer staples (0.4%)</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 vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Claire's Stores, Inc. bank term loan FRN 3.04s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>79,184</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>65,710</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Pinnacle Foods Holding Corp. bank term loan FRN</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=2 face=sans-serif>Ser. B, 2.851s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>277,079</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>258,673</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Revlon Consumer Products bank term loan FRN 6s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>965,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>937,084</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Rite-Aid Corp. bank term loan FRN Ser. B, 2.107s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>97,656</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>84,033</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=right><B><FONT size=2 face=sans-serif>1,345,500</FONT></B>&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><B><FONT size=2 face=sans-serif>Energy (0.2%)</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 vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>EPCO Holdings, Inc. bank term loan FRN Ser. A, 1.347s,</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=2 face=sans-serif>2012</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>220,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>204,600</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Hercules Offshore, Inc. bank term loan FRN Ser. B, 6s,</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=2 face=sans-serif>2013</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>131,309</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>114,348</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>MEG Energy Corp. bank term loan FRN 6s, 2016 (Canada)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>411,763</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>398,638</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=right><B><FONT size=2 face=sans-serif>717,586</FONT></B>&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><B><FONT size=2 face=sans-serif>Financials (--%)</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 vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>AGFS Funding Co. bank term loan FRN 7 1/4s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>105,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>102,008</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>HUB International Holdings, Inc. bank term loan FRN</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=2 face=sans-serif>6 3/4s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>72,453</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>69,192</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=right><B><FONT size=2 face=sans-serif>171,200</FONT></B>&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><B><FONT size=2 face=sans-serif>Health care (0.5%)</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 vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Health Management Associates, Inc. bank term loan FRN</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=2 face=sans-serif>2.04s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,278,974</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,188,025</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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></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>2.354s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>119,447</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>111,683</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IASIS Healthcare, LLC/IASIS Capital Corp. bank term</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=2 face=sans-serif>loan FRN 7.62s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>32,503</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>30,390</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IASIS Healthcare, LLC/IASIS Capital Corp. bank term</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=2 face=sans-serif>loan FRN 5.588s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>412,322</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>365,936</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IASIS Healthcare, LLC/IASIS Capital Corp. bank term</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=2 face=sans-serif>loan FRN Ser. B, 2.354s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>345,124</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>322,691</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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></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>2.484s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>10,682</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>10,290</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=right><B><FONT size=2 face=sans-serif>2,029,015</FONT></B>&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><B><FONT size=2 face=sans-serif>Technology (0.1%)</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 vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Compucom Systems, Inc. bank term loan FRN 3.86s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>123,069</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>115,377</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>First Data Corp. bank term loan FRN Ser. B1, 3.094s,</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=2 face=sans-serif>2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>383,674</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>322,606</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=right><B><FONT size=2 face=sans-serif>437,983</FONT></B>&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><B><FONT size=2 face=sans-serif>Utilities and power (0.3%)</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 vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Dynegy Holdings, Inc. bank term loan FRN Ser. C,</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=2 face=sans-serif>4.11s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>194,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>180,905</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>NRG Energy, Inc. bank term loan FRN 2.054s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>258,807</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>246,513</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>NRG Energy, Inc. bank term loan FRN 0.19s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>171,715</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>163,558</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>TXU Energy Corp. bank term loan FRN Ser. B2, 3.974s,</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=2 face=sans-serif>2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>266,630</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>196,473</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>TXU Energy Corp. bank term loan FRN Ser. B3, 3.85s,</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=2 face=sans-serif>2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>193,946</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>142,823</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=right><B><FONT size=2 face=sans-serif>930,272</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=right><B><FONT size=2 face=sans-serif></FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Total senior loans (cost $14,292,878)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>$12,805,290</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=2 face=sans-serif>PURCHASED OPTIONS OUTSTANDING (2.6%)(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></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Expiration date/</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Contract</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Value</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>strike price</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>amount</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>for the right to receive a fixed rate of 3.74 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=2 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=2 face=sans-serif>November 10, 2020.</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Nov-10/3.74</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$9,657,100</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$545,143</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>for the right to pay a fixed rate of 3.74 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=2 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=2 face=sans-serif>November 10, 2020.</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Nov-10/3.74</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>9,657,100</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>54,949</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>for the right to receive a fixed rate of 3.7375%</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></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
</DIV>
<HR align=center SIZE=2 width="100%" noShade>

<!--$$/page=-->
<A name="page_15"></A><BR>
<a name="_bclPageBorder15"></a><DIV style="PADDING-LEFT: 0%; WIDTH: 100%; PADDING-RIGHT: 0%">
<DIV align=left>
<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>
<TR>
     <TD width="40%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>March 9, 2021.</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Mar-11/3.7375</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>40,294,600</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,203,309</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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>&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>Bank, N.A. for the right to receive a fixed rate</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>of 3.665% versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>March 8, 2021.</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Mar-11/3.665</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>40,294,600</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,022,386</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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>&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>for the right to receive a fixed rate of 4.065 versus</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=2 face=sans-serif>the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>October 20, 2020.</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Oct-10/4.065</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>11,262,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>932,268</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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>&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>for the right to pay a fixed rate of 4.065 versus</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=2 face=sans-serif>the three month USD-LIBOR-BBA maturing October 20, 2020.</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Oct-10/4.065</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>11,262,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>17,231</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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>&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>for the right to receive a fixed rate of 3.95% versus</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=2 face=sans-serif>the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>September 21, 2020.</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Sep-10/3.95</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>10,469,300</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>785,930</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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>&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>for the right to pay a fixed rate of 3.95% versus</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=2 face=sans-serif>the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>September 21, 2020.</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Sep-10/3.95</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>10,469,300</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>9,841</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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>&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>Bank, N.A. for the right to receive a fixed rate</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>of 3.995% versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>September 20, 2020.</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Sep-10/3.995</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>25,699,300</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,026,390</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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>&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>Bank, N.A. for the right to receive a fixed rate</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>of 3.965% versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>September 20, 2020.</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Sep-10/3.965</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>17,132,800</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,307,404</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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>&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>Bank, N.A. for the right to pay a fixed rate of 3.995%</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=2 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>September 20, 2020.</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Sep-10/3.995</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>25,699,300</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>19,788</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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>&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>Bank, N.A. for the right to pay a fixed rate of 3.965%</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=2 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>September 20, 2020.</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Sep-10/3.965</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>17,132,800</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>14,734</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Total purchased options outstanding (cost $5,006,761)</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=2 face=sans-serif>$9,939,373</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><B><FONT size=2 face=sans-serif>U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (0.7%)(a)</FONT></B></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Principal amount</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Value</FONT>&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><B><FONT size=2 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>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Government National Mortgage Association Pass-Through</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Certificates 6 1/2s, November 20, 2038</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$1,448,105</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$1,591,501</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>1,591,501</FONT></B>&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><B><FONT size=2 face=sans-serif>U.S. Government Agency Mortgage Obligations (0.3%)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Federal National Mortgage Association Pass-Through</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Certificates 4 1/2s, TBA, July 1, 2040</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,000,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,036,328</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>1,036,328</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><B><FONT size=2 face=sans-serif>Total U.S. government and agency mortgage obligations (cost $2,564,603)</FONT></B></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>$2,627,829</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>CONVERTIBLE BONDS AND NOTES (0.3%)(a)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Principal amount</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Value</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Advanced Micro Devices, Inc. cv. sr. unsec. notes 6s,</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=2 face=sans-serif>2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$500,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$475,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>157,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>195,653</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>General Growth Properties, Inc. 144A cv. sr. notes</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=2 face=sans-serif>3.98s, 2027 (In default) (NON)(R)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>395,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>404,875</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=2 face=sans-serif>195,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>211,088</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Total convertible bonds and notes (cost $1,139,522)</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=2 face=sans-serif>$1,286,616</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>COMMON STOCKS (0.1%)(a)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Shares</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Value</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Bohai Bay Litigation, LLC (Escrow) (F)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>991</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$3,091</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Nortek, Inc. (NON)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>4,663</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>195,846</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Vertis Holdings, Inc. (F)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>11,336</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 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=2 face=sans-serif>Total common stocks (cost $163,205)</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=2 face=sans-serif>$198,948</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>PREFERRED STOCKS (--%)(a)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Shares</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Value</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>GMAC, Inc. 144A Ser. G, 7.00% cum. pfd.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>228</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$177,220</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 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=2 face=sans-serif>$177,220</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>WARRANTS (--%)(a)(NON)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Expiration date</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Strike Price</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Warrants</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Value</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Charter Communications, Inc. Class A</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>11/30/14</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>$46.86</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>20</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$120</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>New ASAT (Finance), Ltd. (Cayman Islands) (F)</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2/01/11</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>0.01</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>3,380</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Smurfit Kappa Group PLC 144A (Ireland)</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>10/01/13</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>EUR 0.001</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>508</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>21,918</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Vertis Holdings, Inc. (F)</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>10/18/15</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>$0.01</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>752</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Total warrants (cost $19,382)</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=2 face=sans-serif>$22,038</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>CONVERTIBLE PREFERRED STOCKS (--%)(a)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Shares</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Value</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Lehman Brothers Holdings, Inc. Ser. P, 7.25% cv. pfd.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>(In default) (NON)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>667</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$980</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
</DIV>
<HR align=center SIZE=2 width="100%" noShade>

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<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>
<TR>
     <TD width="70%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Total convertible preferred stocks (cost $628,699)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>$980</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>SHORT-TERM INVESTMENTS (22.9%)(a)</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=right><FONT size=2 face=sans-serif>Principal amount/shares</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Value</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Putnam Money Market Liquidity Fund 0.11% (e)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>4,869,941</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$4,869,941</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>U.S. Treasury Bills with effective yields ranging from</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>0.16% to 0.21%, March 10, 2011 (SEGSF)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$37,145,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>37,063,207</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>U.S. Treasury Bills with effective yields ranging from</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>0.25% to 0.28%, December 16, 2010 (SEG) (SEGSF)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>7,031,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>7,022,225</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>U.S. Treasury Bills with effective yields ranging from</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>0.25% to 0.28%, November 18, 2010 (SEG) (SEGSF)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>18,771,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>18,742,018</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>U.S. Treasury Bills with effective yields ranging from</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>0.21% to 0.26%, August 26, 2010 (SEG) (SEGSF)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>15,820,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>15,813,804</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>U.S. Treasury Bills with effective yields ranging from</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>0.20% to 0.24%, July 15, 2010 (SEGSF)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>3,305,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>3,304,694</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Total short-term investments (cost $86,858,253)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>$86,815,889</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=2 face=sans-serif>TOTAL INVESTMENTS</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Total investments (cost $419,767,960) (b)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>$438,860,273</FONT></B>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
</DIV>
<HR align=center SIZE=2 width="100%" noShade>

<!--$$/page=-->
<A name="page_17"></A><BR>
<a name="_bclPageBorder17"></a><DIV style="PADDING-LEFT: 0%; WIDTH: 100%; PADDING-RIGHT: 0%">
<DIV align=left>
<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>
<TR>
     <TD width="37%"></TD>
     <TD width="15%"></TD>
     <TD width="14%"></TD>
     <TD width="5%"></TD>
     <TD width="14%"></TD>
     <TD width="14%"></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=5 noWrap align=left><B><FONT size=2 face=sans-serif>FORWARD CURRENCY CONTRACTS TO BUY at 6/30/10 (aggregate face value $48,110,295) (Unaudited)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR height=20>
     <TD colSpan=5 noWrap align=left><B><FONT size=2 face=sans-serif>&nbsp;</FONT></B></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=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Unrealized</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Aggregate</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Delivery</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>appreciation/</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Value</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>face value</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>date</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(depreciation)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Australian Dollar</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$12,538,459</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$12,865,736</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>7/21/10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$(327,277)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Brazilian Real</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>802,249</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>799,776</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>7/21/10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,473</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>British Pound</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,289,169</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,262,836</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>7/21/10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>26,333</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Canadian Dollar</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,471,707</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,497,141</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>7/21/10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(25,434)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Danish Krone</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>221,261</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>220,237</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>7/21/10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,024</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Euro</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,908,477</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,909,215</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>7/21/10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(738)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Hungarian Forint</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,877,337</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,881,088</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>7/21/10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(3,751)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Japanese Yen</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>6,499,397</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>6,244,062</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>7/21/10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>255,335</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Malaysian Ringgit</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>174,004</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>168,893</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>7/21/10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>5,111</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Norwegian Krone</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>5,007,870</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>5,012,260</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>7/21/10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(4,390)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Polish Zloty</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,639,464</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,574,002</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>7/21/10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>65,462</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Swedish Krona</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>5,152,110</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>5,139,041</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>7/21/10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>13,069</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Swiss Franc</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>4,949,124</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>4,659,088</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>7/21/10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>290,036</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Taiwan Dollar</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>377,781</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>377,287</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>7/21/10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>494</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Turkish Lira</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,502,418</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,499,633</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>7/21/10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,785</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 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=2 face=sans-serif>$300,532</FONT></B>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
</DIV>
<HR align=center SIZE=2 width="100%" noShade>

<!--$$/page=-->
<A name="page_18"></A><BR>
<a name="_bclPageBorder18"></a><DIV style="PADDING-LEFT: 0%; WIDTH: 100%; PADDING-RIGHT: 0%">
<DIV align=left>
<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>
<TR>
     <TD width="37%"></TD>
     <TD width="15%"></TD>
     <TD width="14%"></TD>
     <TD width="5%"></TD>
     <TD width="14%"></TD>
     <TD width="14%"></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=5 noWrap align=left><B><FONT size=2 face=sans-serif>FORWARD CURRENCY CONTRACTS TO SELL at 6/30/10 (aggregate face value $61,942,287) (Unaudited)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR height=20>
     <TD colSpan=5 noWrap align=left><B><FONT size=2 face=sans-serif>&nbsp;</FONT></B></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=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Unrealized</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Aggregate</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Delivery</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>appreciation/</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Value</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>face value</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>date</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(depreciation)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Australian Dollar</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$2,165,007</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$2,131,131</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>7/21/10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$(33,876)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Brazilian Real</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,001,025</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>968,700</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>7/21/10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(32,325)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>British Pound</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>9,935,720</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>9,850,399</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>7/21/10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(85,321)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Canadian Dollar</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>9,110,334</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>9,223,235</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>7/21/10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>112,901</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Chilean Peso</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,115,534</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,111,122</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>7/21/10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(4,412)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Czech Koruna</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>3,755,766</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>3,759,371</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>7/21/10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>3,605</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Euro</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>16,782,725</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>16,817,303</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>7/21/10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>34,578</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Japanese Yen</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>5,487,899</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>5,425,811</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>7/21/10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(62,088)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>New Zealand Dollar</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,106,731</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,106,496</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>7/21/10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(235)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Norwegian Krone</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>3,009,620</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>3,014,608</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>7/21/10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>4,988</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Polish Zloty</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,806,103</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,747,101</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>7/21/10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(59,002)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Singapore Dollar</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,876,538</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,878,727</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>7/21/10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,189</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Swedish Krona</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,485,076</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,473,580</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>7/21/10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(11,496)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Swiss Franc</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,578,208</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,434,703</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>7/21/10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(143,505)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 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=2 face=sans-serif>$(273,999)</FONT></B>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
</DIV>
<HR align=center SIZE=2 width="100%" noShade>

<!--$$/page=-->
<A name="page_19"></A><BR>
<a name="_bclPageBorder19"></a><DIV style="PADDING-LEFT: 0%; WIDTH: 100%; PADDING-RIGHT: 0%">
<DIV align=left>
<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>
<TR>
     <TD width="37%"></TD>
     <TD width="15%"></TD>
     <TD width="14%"></TD>
     <TD width="5%"></TD>
     <TD width="14%"></TD>
     <TD width="14%"></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><B><FONT size=2 face=sans-serif>FUTURES CONTRACTS OUTSTANDING at 6/30/10 (Unaudited)</FONT></B></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>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Unrealized</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Number of</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Expiration</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>appreciation/</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>contracts</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Value</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>date</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(depreciation)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Australian Government Treasury Bond 10 yr (Long)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$1,202,438</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Sep-10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$3,667</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Canadian Government Bond 10 yr (Long)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>5</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>582,483</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Sep-10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>12,633</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Euro-Bobl 5 yr (Short)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>80</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>11,841,925</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Sep-10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(15,677)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Euro-Bund 10 yr (Long)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>53</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>8,395,503</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Sep-10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(17,832)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Euro-Schatz 2 yr (Long)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>316</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>42,373,104</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Sep-10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(38,675)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Japanese Government Bond 10 yr (Short)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>8</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>12,806,147</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Sep-10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(130,020)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Japanese Government Bond 10 yr Mini (Long)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>5</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>800,158</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Sep-10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>5,629</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>U.K. Gilt 10 yr (Long)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>181,061</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Sep-10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>3,588</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>U.S. Treasury Bond 20 yr (Long)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>457</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>58,267,500</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Sep-10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,247,274</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>U.S. Treasury Bond 30 yr (Long)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>449</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>60,979,813</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Sep-10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,860,180</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>U.S. Treasury Note 2 yr (Short)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>101</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>22,101,641</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Sep-10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(17,450)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>U.S. Treasury Note 5 yr (Short)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>46</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>5,444,172</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Sep-10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,037</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>U.S. Treasury Note 10 yr (Long)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>186</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>22,793,719</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Sep-10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>238,770</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 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=2 face=sans-serif>$3,154,124</FONT></B>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
</DIV>
<HR align=center SIZE=2 width="100%" noShade>

<!--$$/page=-->
<A name="page_20"></A><BR>
<a name="_bclPageBorder20"></a><DIV style="PADDING-LEFT: 0%; WIDTH: 100%; PADDING-RIGHT: 0%">
<DIV align=left>
<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>
<TR>
     <TD width="51%"></TD>
     <TD width="14%"></TD>
     <TD width="5%"></TD>
     <TD width="14%"></TD>
     <TD width="14%"></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><B><FONT size=2 face=sans-serif>WRITTEN OPTIONS OUTSTANDING at 6/30/10 (premiums received $24,177,002) (Unaudited)</FONT></B></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR height=20>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>&nbsp;</FONT></B></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>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Contract</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Expiration date/</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>amount</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>strike price</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Value</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Option on an interest rate swap with Citibank, N.A. for the obligation to pay a</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=2 face=sans-serif>fixed rate of 4.49% versus the three month USD-LIBOR-BBA maturing August 17, 2021.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$11,060,000</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Aug-11/4.49</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$1,107,546</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>to pay a fixed rate of 4.525% 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=2 face=sans-serif>July 26, 2021.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>20,362,000</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Jul-11/4.525</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,107,139</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Option on an interest rate swap with Bank of America, N.A. for the obligation to</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=2 face=sans-serif>receive a fixed rate of 4.475% 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=2 face=sans-serif>August 19, 2021.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>7,124,000</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Aug-11/4.475</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>87,127</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Option on an interest rate swap with Bank of America, N.A. for the obligation to</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=2 face=sans-serif>pay a fixed rate of 4.475% 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=2 face=sans-serif>August 19, 2021.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>7,124,000</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Aug-11/4.475</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>705,276</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Option on an interest rate swap with Bank of America, N.A. for the obligation to</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=2 face=sans-serif>receive a fixed rate of 4.55% 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=2 face=sans-serif>August 17, 2021.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>5,530,000</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Aug-11/4.55</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>61,107</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Option on an interest rate swap with Citibank, N.A. for the obligation to receive</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=2 face=sans-serif>a fixed rate of 4.49% 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=2 face=sans-serif>August 17, 2021.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>11,060,000</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Aug-11/4.49</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>131,614</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Option on an interest rate swap with Bank of America, N.A. for the obligation to</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=2 face=sans-serif>pay a fixed rate of 4.55% 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=2 face=sans-serif>August 17, 2021.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>5,530,000</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Aug-11/4.55</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>577,332</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Option on an interest rate swap with Bank of America, N.A. for the obligation to</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=2 face=sans-serif>receive a fixed rate of 4.765% 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=2 face=sans-serif>August 16, 2021.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>10,823,000</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Aug-11/4.765</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>90,589</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Option on an interest rate swap with Bank of America, N.A. for the obligation to</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=2 face=sans-serif>pay a fixed rate of 4.765% 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=2 face=sans-serif>August 16, 2021.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>10,823,000</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Aug-11/4.765</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,299,951</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Option on an interest rate swap with Bank of America, N.A. for the obligation to</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=2 face=sans-serif>receive a fixed rate of 4.70% 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=2 face=sans-serif>August 8, 2021.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>11,515,000</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Aug-11/4.70</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>100,756</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Option on an interest rate swap with Bank of America, N.A. for the obligation to</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=2 face=sans-serif>pay a fixed rate of 4.70% 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=2 face=sans-serif>August 8, 2021.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>11,515,000</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Aug-11/4.70</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,332,746</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>to receive a fixed rate of 4.745% 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=2 face=sans-serif>July 27, 2021.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>30,543,000</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Jul-11/4.745</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>234,186</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>to pay a fixed rate of 4.745% 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=2 face=sans-serif>July 27, 2021.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>30,543,000</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Jul-11/4.745</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>3,654,366</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Option on an interest rate swap with Citibank, N.A. for the obligation to receive</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=2 face=sans-serif>a fixed rate of 4.5475% 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=2 face=sans-serif>July 26, 2021.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>9,548,000</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Jul-11/4.5475</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>94,048</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Option on an interest rate swap with Citibank, N.A. for the obligation to receive</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=2 face=sans-serif>a fixed rate of 4.52% versus the three month USD-LIBOR-BBA maturing July 26, 2021.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>19,096,000</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Jul-11/4.52</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>194,970</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>to receive a fixed rate of 4.525% 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=2 face=sans-serif>July 26, 2021.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>20,362,000</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Jul-11/4.525</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>206,674</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>to receive a fixed rate of 4.46% 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=2 face=sans-serif>July 26, 2021.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>20,362,000</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Jul-11/4.46</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>224,593</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Option on an interest rate swap with Citibank, N.A. for the obligation to pay a</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=2 face=sans-serif>fixed rate of 4.5475% versus the three month USD-LIBOR-BBA maturing July 26, 2021.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>9,548,000</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Jul-11/4.5475</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,007,505</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Option on an interest rate swap with Citibank, N.A. for the obligation to pay a</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=2 face=sans-serif>fixed rate of 4.52% versus the three month USD-LIBOR-BBA maturing July 26, 2021.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>19,096,000</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Jul-11/4.52</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,977,009</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>to pay a fixed rate of 4.46% 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=2 face=sans-serif>July 26, 2021.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>20,362,000</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Jul-11/4.46</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,012,530</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Option on an interest rate swap with Barclays Bank PLC for the obligation to pay</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=2 face=sans-serif>a fixed rate of 4.02% 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=2 face=sans-serif>September 28, 2020.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>518,500</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Sep-10/4.02</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>41,729</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Option on an interest rate swap with Barclays Bank PLC for the obligation to</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=2 face=sans-serif>receive a fixed rate of 5.36% 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=2 face=sans-serif>February 13, 2025.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,584,020</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Feb-15/5.36</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>59,417</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Option on an interest rate swap with Barclays Bank PLC for the obligation to pay</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=2 face=sans-serif>a fixed rate of 5.36% 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=2 face=sans-serif>February 13, 2025.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,584,020</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Feb-15/5.36</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>185,077</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>to receive a fixed rate of 5.27% 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=2 face=sans-serif>February 12, 2025.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>5,766,760</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Feb-15/5.27</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>225,201</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>to pay a fixed rate of 5.27% 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=2 face=sans-serif>February 12, 2025.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>5,766,760</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Feb-15/5.27</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>642,309</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>to pay a fixed rate of 4.82% versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>September 12, 2018.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,469,000</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Sep-13/4.82</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>95,173</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>to pay a fixed rate of 5.51% 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=2 face=sans-serif>May 14, 2022.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>25,011,500</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>May-12/5.51</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>3,971,785</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>to receive a fixed rate of 4.8675% 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=2 face=sans-serif>April 12, 2022.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>6,409,500</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Apr-12/4.8675</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>108,177</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>to pay a fixed rate of 4.8675% 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=2 face=sans-serif>April 12, 2022.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>6,409,500</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Apr-12/4.8675</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>736,981</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Option on an interest rate swap with Barclays Bank PLC for the obligation to</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=2 face=sans-serif>receive a fixed rate of 4.7375% 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=2 face=sans-serif>March 9, 2021.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>40,294,600</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Mar-11/4.7375</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>109,198</FONT>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
</DIV>
<HR align=center SIZE=2 width="100%" noShade>

<!--$$/page=-->
<A name="page_21"></A><BR>
<a name="_bclPageBorder21"></a><DIV style="PADDING-LEFT: 0%; WIDTH: 100%; PADDING-RIGHT: 0%">
<DIV align=left>
<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>
<TR>
     <TD width="51%"></TD>
     <TD width="14%"></TD>
     <TD width="5%"></TD>
     <TD width="14%"></TD>
     <TD width="14%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>to receive a fixed rate of 4.665% 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=2 face=sans-serif>March 8, 2021.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>40,294,600</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Mar-11/4.665</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>122,093</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>to receive a fixed rate of 4.02% 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=2 face=sans-serif>October 14, 2020.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>3,157,400</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Oct-10/4.02</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>4,799</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>to pay a fixed rate of 4.02% 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=2 face=sans-serif>October 14, 2020.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>3,157,400</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Oct-10/4.02</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>250,824</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Option on an interest rate swap with Barclays Bank PLC for the obligation to</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=2 face=sans-serif>receive a fixed rate of 4.02% 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=2 face=sans-serif>September 28, 2020.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>518,500</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Sep-10/4.02</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>472</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>to receive a fixed rate of 4.82% versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>September 12, 2018.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,469,000</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Sep-13/4.82</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>27,578</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>to receive a fixed rate of 5.51% 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=2 face=sans-serif>May 14, 2022.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>25,011,500</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>May-12/5.51</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>254,231</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 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=right><B><FONT size=2 face=sans-serif>$24,042,108</FONT></B>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
</DIV>
<HR align=center SIZE=2 width="100%" noShade>

<!--$$/page=-->
<A name="page_22"></A><BR>
<a name="_bclPageBorder22"></a><DIV style="PADDING-LEFT: 0%; WIDTH: 100%; PADDING-RIGHT: 0%">
<DIV align=left>
<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>
<TR>
     <TD width="51%"></TD>
     <TD width="14%"></TD>
     <TD width="5%"></TD>
     <TD width="14%"></TD>
     <TD width="14%"></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=5 noWrap align=left><B><FONT size=2 face=sans-serif>TBA SALE COMMITMENTS OUTSTANDING at 6/30/10 (proceeds receivable $1,032,031) (Unaudited)</FONT></B>&nbsp;</TD></TR>
<TR height=20>
     <TD colSpan=5 noWrap align=left><B><FONT size=2 face=sans-serif>&nbsp;</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Principal</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Settlement</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Agency</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>amount</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>date</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Value</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FNMA, 4 1/2s, July 1, 2040</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$1,000,000</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>7-14-10</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$1,036,328</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 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=right><B><FONT size=2 face=sans-serif>$1,036,328</FONT></B>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
</DIV>
<HR align=center SIZE=2 width="100%" noShade>

<!--$$/page=-->
<A name="page_23"></A><BR>
<a name="_bclPageBorder23"></a><DIV style="PADDING-LEFT: 0%; WIDTH: 100%; PADDING-RIGHT: 0%">
<DIV align=left>
<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>
<TR>
     <TD width="13%"></TD>
     <TD width="8%"></TD>
     <TD width="3%" align=center></TD>
     <TD width="10%"></TD>
     <TD width="5%"></TD>
     <TD width="10%"></TD>
     <TD width="21%"></TD>
     <TD width="19%"></TD>
     <TD width="11%"></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=7 noWrap align=left><B><FONT size=2 face=sans-serif>INTEREST RATE SWAP CONTRACTS OUTSTANDING at 6/30/10 (Unaudited)</FONT></B><FONT size=2></FONT> <FONT size=2></FONT><FONT size=2></FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD></TR>
<TR height=20>
     <TD colSpan=7 noWrap align=left><B><FONT size=2 face=sans-serif>&nbsp;</FONT></B></TD>
     <TD noWrap align=left><FONT size=2></FONT></TD>
     <TD noWrap align=left><FONT size=2></FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=center><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Upfront</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2></FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Payments</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Payments</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Unrealized</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Swap counterparty /</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=center><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>premium</FONT><FONT size=2>&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>Termination</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>made by</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>received by</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>appreciation/</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Notional amount</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=center><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>received (paid)</FONT><FONT size=2>&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>date</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>fund per annum</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>fund per annum</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(depreciation)</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=9><FONT size=2>&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><B><FONT size=2 face=sans-serif>Bank of America, N.A.</FONT></B><FONT size=2></FONT> <FONT size=2></FONT></TD>
     <TD noWrap align=center><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2></FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$101,286,100</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=center><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$(19,418)</FONT><FONT size=2>&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>6/4/12</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>1.24%</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>3 month USD-LIBOR-BBA</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$(622,767)</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>CAD</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>7,880,000</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=center><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&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>6/10/15</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>3 month CAD-BA-CDOR</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>3.01%</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>172,624</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>CAD</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,210,000</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=center><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&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>6/10/20</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>3.7725%</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>3 month CAD-BA-CDOR</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(67,566)</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>CAD</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>9,280,000</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=center><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&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>6/10/12</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>1.95%</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>3 month CAD-BA-CDOR</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(73,664)</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>GBP</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>14,200,000</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=center><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&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>6/15/12</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>6 month GBP-LIBOR-BBA</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>1.5225%</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>51,452</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>GBP</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>8,320,000</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=center><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&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>6/15/15</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2.59%</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>6 month GBP-LIBOR-BBA</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(96,304)</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$23,910,000</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=center><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&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>7/22/10</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>3 month USD-LIBOR-BBA</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>3.5375%</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>406,390</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><B><FONT size=2 face=sans-serif>Barclays Bank PLC</FONT></B><FONT size=2></FONT> <FONT size=2></FONT></TD>
     <TD noWrap align=center><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2></FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>AUD</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>4,030,000</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=center><FONT size=2 face=sans-serif>(E)</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&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>2/4/20</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>6 month AUD-BBR-BBSW</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>6.8%</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>88,036</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$24,982,600</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=center><FONT size=2 face=sans-serif>(E)</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&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>3/9/21</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>4.2375%</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>3 month USD-LIBOR-BBA</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(2,056,318)</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>14,464,300</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=center><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(4,651)</FONT><FONT size=2>&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>4/16/13</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>1.78%</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>3 month USD-LIBOR-BBA</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(255,565)</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>AUD</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>8,430,000</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=center><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&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>5/24/15</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>5.505%</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>6 month AUD-BBR-BBSW</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(76,678)</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>AUD</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>4,290,000</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=center><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&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>5/31/20</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>5.9675%</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>6 month AUD-BBR-BBSW</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(103,293)</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$135,749,000</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=center><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(348,448)</FONT><FONT size=2>&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>6/29/20</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>3 month USD-LIBOR-BBA</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>3.19%</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,800,122</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>104,057,400</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=center><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>559,086</FONT><FONT size=2>&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>6/29/40</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>3.9%</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>3 month USD-LIBOR-BBA</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(3,147,123)</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>9,400,000</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=center><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&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>6/30/20</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>3 month USD-LIBOR-BBA</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>3.08%</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>56,501</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Citibank, N.A.</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=center><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2></FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>134,263,100</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=center><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>64,848</FONT><FONT size=2>&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>6/28/20</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>3 month USD-LIBOR-BBA</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>3.17%</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,941,766</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>GBP</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>27,320,000</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=center><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&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>6/4/12</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>6 month GBP-LIBOR-BBA</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>1.51%</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>102,616</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>GBP</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>21,860,000</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=center><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&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>6/4/15</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2.5625%</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>6 month GBP-LIBOR-BBA</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(238,300)</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>GBP</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>6,480,000</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=center><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&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>6/4/20</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>6 month GBP-LIBOR-BBA</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>3.47%</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>93,139</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>GBP</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>6,480,000</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=center><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&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>6/7/20</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>6 month GBP-LIBOR-BBA</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>3.455%</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>77,449</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>GBP</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>21,860,000</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=center><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&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>6/7/15</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2.54%</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>6 month GBP-LIBOR-BBA</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(194,436)</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>GBP</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>27,320,000</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=center><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&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>6/7/12</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>6 month GBP-LIBOR-BBA</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>1.495%</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>86,555</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$131,440,600</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=center><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(97,361)</FONT><FONT size=2>&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>6/24/20</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>3 month USD-LIBOR-BBA</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>3.27%</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,954,844</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><B><FONT size=2 face=sans-serif>Credit Suisse International</FONT></B><FONT size=2></FONT> <FONT size=2></FONT></TD>
     <TD noWrap align=center><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2></FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>124,287,000</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=center><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&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>9/18/10</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>3 month USD-LIBOR-BBA</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2.91916%</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,665,126</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>CHF</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>27,430,000</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=center><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&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>5/19/12</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>0.61583%</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>6 month CHF-LIBOR-BBA</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(42,815)</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>CHF</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>27,430,000</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=center><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&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>5/20/12</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>0.62833%</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>6 month CHF-LIBOR-BBA</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(48,851)</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>CHF</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>27,430,000</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=center><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&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>5/25/12</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>0.5825%</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>6 month CHF-LIBOR-BBA</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(25,590)</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Deutsche Bank AG</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=center><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2></FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$127,189,000</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=center><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(157,194)</FONT><FONT size=2>&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>2/3/14</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2.25%</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>3 month USD-LIBOR-BBA</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(4,296,581)</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>13,241,400</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=center><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(31,659)</FONT><FONT size=2>&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>3/10/18</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>3.41%</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>3 month USD-LIBOR-BBA</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(835,558)</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>165,330,400</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=center><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(117,153)</FONT><FONT size=2>&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>3/16/14</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2.25%</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>3 month USD-LIBOR-BBA</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(4,961,123)</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>277,771,100</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=center><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(464,991)</FONT><FONT size=2>&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>4/30/14</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2.24%</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>3 month USD-LIBOR-BBA</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(7,424,205)</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>128,755,000</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=center><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(343,290)</FONT><FONT size=2>&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>1/8/15</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2.84%</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>3 month USD-LIBOR-BBA</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(7,256,111)</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>95,059,800</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=center><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>245,014</FONT><FONT size=2>&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>5/6/15</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2.68%</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>3 month USD-LIBOR-BBA</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(3,081,616)</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>106,000,000</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=center><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&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>3/4/14</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2.54%</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>3 month USD-LIBOR-BBA</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(4,396,019)</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><B><FONT size=2 face=sans-serif>Goldman Sachs International</FONT></B><FONT size=2></FONT> <FONT size=2></FONT></TD>
     <TD noWrap align=center><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2></FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>AUD</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,922,500</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=center><FONT size=2 face=sans-serif>(E)</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&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>2/23/20</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>6 month AUD-BBR-BBSW</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>6.6925%</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>35,989</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>AUD</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>5,750,000</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=center><FONT size=2 face=sans-serif>(E)</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&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>2/23/20</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>6 month AUD-BBR-BBSW</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>6.7%</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>108,852</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>GBP</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>3,730,000</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=center><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&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>3/31/20</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>6 month GBP-LIBOR-BBA</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>3.8%</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>250,716</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>GBP</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>6,750,000</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=center><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&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>3/31/15</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2.85%</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>6 month GBP-LIBOR-BBA</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(266,327)</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>GBP</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>3,730,000</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=center><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&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>4/1/20</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>6 month GBP-LIBOR-BBA</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>3.8%</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>250,155</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>GBP</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>6,750,000</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=center><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&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>4/1/15</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2.8515%</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>6 month GBP-LIBOR-BBA</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(266,219)</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$73,734,000</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=center><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>78,788</FONT><FONT size=2>&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>5/12/15</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2.52%</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>3 month USD-LIBOR-BBA</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(1,884,375)</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>CHF</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>28,140,000</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=center><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&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>6/1/12</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>0.555%</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>6 month CHF-LIBOR-BBA</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(15,888)</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$161,577,800</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=center><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(61,623)</FONT><FONT size=2>&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>6/9/12</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>1.19%</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>3 month USD-LIBOR-BBA</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(836,639)</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>AUD</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>3,660,000</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=center><FONT size=2 face=sans-serif>(E)</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&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>2/5/20</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>6 month AUD-BBR-BBSW</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>6.71%</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>70,585</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$90,790,200</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=center><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>552,442</FONT><FONT size=2>&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>6/16/20</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>3 month USD-LIBOR-BBA</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>3.32%</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>3,131,751</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><B><FONT size=2 face=sans-serif>JPMorgan Chase Bank, N.A.</FONT></B><FONT size=2></FONT> <FONT size=2></FONT></TD>
     <TD noWrap align=center><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2></FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>JPY</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,402,400,000</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=center><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&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>2/19/15</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>6 month JPY-LIBOR-BBA</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>0.705%</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>169,271</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>JPY</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>511,900,000</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=center><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&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>2/19/20</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>6 month JPY-LIBOR-BBA</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>1.3975%</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>163,738</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>AUD</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>8,430,000</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=center><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&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>3/1/15</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>5.6%</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>6 month AUD-BBR-BBSW</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(138,849)</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>AUD</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>6,322,500</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=center><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&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>3/2/15</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>5.6515%</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>6 month AUD-BBR-BBSW</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(114,723)</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$24,982,600</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=center><FONT size=2 face=sans-serif>(E)</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&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>3/8/21</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>4.165%</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>3 month USD-LIBOR-BBA</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(1,902,175)</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>6,423,000</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=center><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&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>7/16/10</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>3 month USD-LIBOR-BBA</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>3.384%</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>102,490</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>19,148,000</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=center><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&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>7/22/10</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>3 month USD-LIBOR-BBA</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>3.565%</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>328,160</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>AUD</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>6,090,000</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=center><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&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>6/26/19</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>6 month AUD-BBR-BBSW</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>6.05%</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>167,823</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>AUD</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>4,200,000</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=center><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&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>5/14/20</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>6.035%</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>6 month AUD-BBR-BBSW</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(121,005)</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>JPY</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,307,380,000</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=center><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&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>5/25/15</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>0.674375%</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>6 month JPY-LIBOR-BBA</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(52,786)</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>JPY</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>3,266,640,000</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=center><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&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>5/25/12</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>6 month JPY-LIBOR-BBA</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>0.48%</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>16,277</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>EUR</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>20,420,000</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=center><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&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>5/31/15</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>6 month EUR-EURIBOR-REUTERS</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2.0975%</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>76,329</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>CAD</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>10,750,000</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=center><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&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>6/4/12</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>1.84654%</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>3 month CAD-BA-CDOR</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(67,498)</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>CAD</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,420,000</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=center><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&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>6/4/20</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>3.69011%</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>3 month CAD-BA-CDOR</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(59,262)</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>CAD</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>8,490,000</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=center><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&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>6/4/15</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>3 month CAD-BA-CDOR</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2.90384%</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>149,798</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>AUD</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>6,322,500</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=center><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&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>6/11/15</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>5.545%</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>6 month AUD-BBR-BBSW</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(61,659)</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$4,327,700</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=center><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(1,922)</FONT><FONT size=2>&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>6/21/14</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>3 month USD-LIBOR-BBA</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>1.908%</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>31,791</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>JPY</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>358,600,000</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=center><FONT size=2 face=sans-serif>(E)</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&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>7/28/29</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>6 month JPY-LIBOR-BBA</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2.67%</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>17,587</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>JPY</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>482,100,000</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=center><FONT size=2 face=sans-serif>(E)</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&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>7/28/39</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2.40%</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>6 month JPY-LIBOR-BBA</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(26,803)</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>AUD</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,100,000</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=center><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&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>12/17/19</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>6 month AUD-BBR-BBSW</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>6.15%</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>72,549</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>AUD</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>6,300,000</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=center><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&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>12/18/19</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>6 month AUD-BBR-BBSW</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>6.15%</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>217,141</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>PLN</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>9,400,000</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=center><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&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>1/26/11</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>6 month PLN-WIBOR-WIBO</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>4.177%</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(225)</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>EUR</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,450,000</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=center><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&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>2/4/20</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>3.405%</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>6 month EUR-EURIBOR-REUTERS</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(171,944)</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>JPY</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>5,221,000,000</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=center><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&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>6/22/15</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>0.665%</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>6 month JPY-LIBOR-BBA</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(162,954)</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>JPY</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,381,000,000</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=center><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&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>6/22/20</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>6 month JPY-LIBOR-BBA</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>1.28%</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>171,374</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>JPY</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>6,488,000,000</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=center><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&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>6/22/12</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>6 month JPY-LIBOR-BBA</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>0.475%</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>17,287</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$6,900,000</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=center><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>7/1/40</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>3 month USD-LIBOR-BBA</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>3.745%</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>43,746</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=9><FONT size=2>&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Total</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=center><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2></FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>$(30,359,785)</FONT></B><FONT size=2>&nbsp;</FONT></TD></TR></TABLE></DIV>
<P style="MARGIN: 0px"><FONT size=2></FONT>&nbsp;</P>
<P style="TEXT-ALIGN: left"><B><I><FONT size=2 face=sans-serif>(E) See Interest rate swap contracts note regarding extended effective dates.</FONT></I></B></P>
</DIV>
<HR align=center SIZE=2 width="100%" noShade>

<!--$$/page=-->
<A name="page_24"></A><BR>
<a name="_bclPageBorder24"></a><DIV style="PADDING-LEFT: 0%; WIDTH: 100%; PADDING-RIGHT: 0%">
<DIV align=left>
<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>
<TR>
     <TD width="13%"></TD>
     <TD width="8%"></TD>
     <TD width="3%"></TD>
     <TD width="10%"></TD>
     <TD width="5%"></TD>
     <TD width="10%"></TD>
     <TD width="21%"></TD>
     <TD width="19%"></TD>
     <TD width="11%" align=right></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=6 noWrap align=left><B><FONT size=2 face=sans-serif>TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 6/30/10 (Unaudited)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Upfront</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Fixed payments</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Total return</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Unrealized</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><FONT size=2 face=sans-serif>Swap counterparty /</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>premium</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Termination</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>received (paid) by</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>received by</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>appreciation/</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><FONT size=2 face=sans-serif>Notional amount</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>received (paid)</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>date</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>fund per annum</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>or paid by fund</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(depreciation)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><B><FONT size=2 face=sans-serif>Barclays Bank PLC</FONT></B></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$637,546</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$--</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>1/12/40</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>(4.00%)1 month</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Synthetic TRS</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$6,288</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>USD-LIBOR</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Index 4.00% 30</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>year Fannie Mae</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>pools</FONT>&nbsp;</TD>
     <TD noWrap align=right>&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=2 face=sans-serif>1,263,137</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>1/12/40</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>4.50% (1 month</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Synthetic TRS</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(23,057)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>USD-LIBOR)</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Index 4.50% 30</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>year Fannie Mae</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>pools</FONT>&nbsp;</TD>
     <TD noWrap align=right>&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=2 face=sans-serif>614,942</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>1/12/40</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>(5.00%)1 month</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Synthetic TRS</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>14,530</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>USD-LIBOR</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Index 5.00% 30</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>year Fannie Mae</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>pools</FONT>&nbsp;</TD>
     <TD noWrap align=right>&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=2 face=sans-serif>2,865,350</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(32,010)</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>1/12/38</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>6.50% (1 month</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Synthetic TRS</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>18,929</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>USD-LIBOR)</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Index 6.50% 30</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>year Fannie Mae</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>pools</FONT>&nbsp;</TD>
     <TD noWrap align=right>&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=2 face=sans-serif>2,871,237</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(32,707)</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>1/12/39</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>(6.00%)1 month</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Synthetic TRS</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>14,800</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>USD-LIBOR</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Index 6.00% 30</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>year Fannie Mae</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>pools</FONT>&nbsp;</TD>
     <TD noWrap align=right>&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=2 face=sans-serif>2,496,812</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(40,001)</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>1/12/39</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>(5.50%)1 month</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Synthetic TRS</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(1,986)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>USD-LIBOR</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Index 5.50% 30</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>year Fannie Mae</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>pools</FONT>&nbsp;</TD>
     <TD noWrap align=right>&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=2 face=sans-serif>Citibank, N.A.</FONT></B></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>GBP</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>7,270,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>5/18/13</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>(3.38%)</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>GBP Non-revised</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(27,880)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>UK Retail Price</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Index</FONT>&nbsp;</TD>
     <TD noWrap align=right>&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=2 face=sans-serif>Deutsche Bank AG</FONT></B></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$637,546</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>1/12/40</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>4.00% (1 month</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Synthetic TRS</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(6,288)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>USD-LIBOR)</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Index 4.00% 30</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>year Fannie Mae</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>pools</FONT>&nbsp;</TD>
     <TD noWrap align=right>&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=2 face=sans-serif>1,263,137</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>1/12/40</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>(4.50%)1 month</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Synthetic TRS</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>23,057</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>USD-LIBOR</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Index 4.50% 30</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>year Fannie Mae</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>pools</FONT>&nbsp;</TD>
     <TD noWrap align=right>&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=2 face=sans-serif>614,942</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>1/12/40</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>5.00% (1 month</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Synthetic TRS</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(14,530)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>USD-LIBOR)</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Index 5.00% 30</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>year Fannie Mae</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>pools</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 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></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=2 face=sans-serif>$3,863</FONT></B>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
</DIV>
<HR align=center SIZE=2 width="100%" noShade>

<!--$$/page=-->
<A name="page_25"></A><BR>
<a name="_bclPageBorder25"></a><DIV style="PADDING-LEFT: 0%; WIDTH: 100%; PADDING-RIGHT: 0%">
<DIV align=left>
<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>
<TR>
     <TD width="13%"></TD>
     <TD width="8%"></TD>
     <TD width="10%"></TD>
     <TD width="5%" align=center></TD>
     <TD width="10%"></TD>
     <TD width="3%"></TD>
     <TD width="21%"></TD>
     <TD width="19%"></TD>
     <TD width="11%"></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=7 noWrap align=left><B><FONT size=2 face=sans-serif>CREDIT DEFAULT CONTRACTS OUTSTANDING at 6/30/10 (Unaudited)</FONT></B></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR height=20>
     <TD colSpan=7 noWrap align=left><B><FONT size=2 face=sans-serif>&nbsp;</FONT></B></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Upfront</FONT>&nbsp;</TD>
     <TD noWrap align=center>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Fixed payments</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>premium</FONT>&nbsp;</TD>
     <TD noWrap align=center>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Termi-</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>received</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Unrealized</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Swap counterparty /</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>received</FONT>&nbsp;</TD>
     <TD noWrap align=center>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Notional</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>nation</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>(paid) by fund</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>appreciation/</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Referenced debt*</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Rating***</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(paid)**</FONT>&nbsp;</TD>
     <TD noWrap align=center>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>amount</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>date</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>per annum</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(depreciation)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=9>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 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=center>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Lighthouse</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&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>International Co., SA,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&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>8%, 4/30/14</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Caa1</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$--</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT size=2 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>495,000</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>3/20/13</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>815 bp</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$(127,201)</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=2 face=sans-serif>Credit Suisse First Boston International</FONT></B></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ukraine (Government</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&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>of), 7.65%, 6/11/13</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>B2</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT>&nbsp;</TD>
     <TD noWrap align=center>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$1,105,000</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>10/20/11</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>194 bp</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(55,604)</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=2 face=sans-serif>Credit Suisse International</FONT></B></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 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=center>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Estado, 5 1/2%, 7/30/17</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>--</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(18,605)</FONT>&nbsp;</TD>
     <TD noWrap align=center>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,090,000</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>12/20/19</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>(100 bp)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>195,679</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 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=center>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Federal Republic of</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&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>Brazil, 12 1/4%, 3/6/30</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Baa3</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT>&nbsp;</TD>
     <TD noWrap align=center>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>775,000</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>10/20/17</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>105 bp</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(21,158)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>General Electric</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&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>Capital Corp., 6%,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&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>6/15/12</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Aa2</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT>&nbsp;</TD>
     <TD noWrap align=center>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>300,000</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>9/20/13</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>109 bp</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(7,449)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Smurfit Kappa Funding,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&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>7 3/4%, 4/1/15</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>B2</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT size=2 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>425,000</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>9/20/13</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>715 bp</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>35,240</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>United Mexican States,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&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>7.5%, 4/8/33</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Baa1</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT>&nbsp;</TD>
     <TD noWrap align=center>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$1,495,000</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>3/20/14</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>56 bp</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(30,302)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Virgin Media Finance</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&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>PLC, 8 3/4%, 4/15/14</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>B+</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT size=2 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>400,000</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>9/20/13</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>477 bp</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>5,986</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Virgin Media Finance</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&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>PLC, 8 3/4%, 4/15/14</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>B+</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT size=2 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>400,000</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>9/20/13</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>535 bp</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>14,430</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=2 face=sans-serif>Goldman Sachs International</FONT></B></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Lighthouse</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&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>International Co, SA,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&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>8%, 4/30/14</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Caa1</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT>&nbsp;</TD>
     <TD noWrap align=center><FONT size=2 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>420,000</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>3/20/13</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>680 bp</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(116,761)</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=2 face=sans-serif>JPMorgan Chase Bank, N.A.</FONT></B></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>DJ CDX NA EM Series 10</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&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>Index</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ba1</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>28,017</FONT>&nbsp;</TD>
     <TD noWrap align=center>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$485,000</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>12/20/13</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>335 bp</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>33,396</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Republic of Argentina,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&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>8.28%, 12/31/33</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>B3</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT>&nbsp;</TD>
     <TD noWrap align=center>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>705,000</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>6/20/14</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>235 bp</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(158,087)</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=2 face=sans-serif>Morgan Stanley Capital Services, Inc.</FONT></B></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Dominican Republic,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&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>8 5/8%, 4/20/27</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>--</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT>&nbsp;</TD>
     <TD noWrap align=center>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,190,000</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>11/20/11</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>(170 bp)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>26,932</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Freeport-McMoRan Copper</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&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>&amp; Gold, Inc., T/L Bank</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&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>Loan</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Baa1</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT>&nbsp;</TD>
     <TD noWrap align=center>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,191,200</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>3/20/12</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>44 bp</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(4,341)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Republic of Venezuela,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&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>9 1/4%, 9/15/27</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>B2</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT>&nbsp;</TD>
     <TD noWrap align=center>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>510,000</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>10/12/12</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>339 bp</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(94,187)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Total</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=center>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>$(303,427)</FONT></B>&nbsp;</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
<P style="TEXT-ALIGN: left"><B><I><FONT size=2 face=sans-serif>* Payments related to the referenced debt are made upon a credit default event.</FONT></I></B></P>
<P style="TEXT-ALIGN: left"><B><I><FONT size=2 face=sans-serif>** Upfront premium is based on the difference between the original spread on issue and the market spread on day of </FONT></I></B><B><I><FONT size=2 face=sans-serif>execution.</FONT></I></B></P>
<P style="TEXT-ALIGN: left"><B><I><FONT size=2 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's, Standard &amp; Poor's or Fitch ratings are believed to be the most recent ratings available at June 30, 2010.</FONT></I></B></P>
</DIV>
<HR align=center SIZE=2 width="100%" noShade>

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<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>
<TR>
     <TD width="5%"></TD>
     <TD width="95%"></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><B><I><FONT size=2 face=sans-serif>Key to holding's currency abbreviations</FONT></I></B><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=2><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=2><FONT size=2>&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>ARS</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Argentine Peso</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>AUD</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Australian Dollar</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>BRL</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Brazilian Real</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>CAD</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Canadian Dollar</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
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     <TD noWrap align=left><B><FONT size=2 face=sans-serif>CHF</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Swiss Franc</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
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     <TD noWrap align=left><B><FONT size=2 face=sans-serif>EUR</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Euro</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>GBP</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>British Pound</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>INR</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Indian Rupee</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>JPY</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Japanese Yen</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>PLN</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Polish Zloty</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>TRY</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Turkish Lira</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=2><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=2><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=2><FONT size=2>&nbsp;</FONT></TD></TR>
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     <TD colSpan=2 noWrap align=left><B><I><FONT size=2 face=sans-serif>Key to holding's abbreviations</FONT></I></B></TD></TR>
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     <TD colSpan=2><FONT size=2>&nbsp;</FONT></TD></TR>
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     <TD colSpan=2><FONT size=2>&nbsp;</FONT></TD></TR>
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     <TD noWrap align=left><B><FONT size=2 face=sans-serif>EMTN</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Euro Medium Term Notes</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>FRB</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Floating Rate Bonds</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>FRN</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Floating Rate Notes</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>IFB</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Inverse Floating Rate Bonds</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>IO</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Interest Only</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>MTN</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Medium Term Notes</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>OJSC</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Open Joint Stock Company</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>PO</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Principal Only</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>TBA</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>To Be Announced Commitments</FONT><FONT size=2>&nbsp;</FONT></TD></TR></TABLE></DIV>
<P style="MARGIN: 0px"><FONT size=2></FONT>&nbsp;</P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Notes to the fund's portfolio</FONT></B></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from October 1, 2009 through June 30, 2010 (the reporting period).</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>(a) Percentages indicated are based on net assets of $378,610,223.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>(b) The aggregate identified cost on a tax basis is $425,265,466, resulting in gross unrealized appreciation and depreciation of $42,412,578 and $28,817,771, respectively, or net unrealized appreciation of $13,594,807.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>(NON) Non-income-producing security.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>(STP) The interest rate and date shown parenthetically represent the new interest rate to be paid and the date the fund will begin accruing interest at this rate.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>(PIK) Income may be received in cash or additional securities at the discretion of the issuer.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>(SEG) These securities, in part or in entirety, were pledged and segregated with the broker to cover margin requirements for futures contracts at the close of the reporting period.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>(SEGSF) These securities, in part or in entirety, were pledged and segregated with the custodian for collateral on certain derivatives contracts at the close of the reporting period.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>(c) Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown. Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay </FONT><FONT size=2 face=sans-serif>the actual investment of available cash balances; interest income is accrued based on the terms of the securities. </FONT><FONT size=2 face=sans-serif>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"><FONT size=2 face=sans-serif>(e) The fund invested in Putnam Money Market Liquidity Fund, an open-end management investment company managed by Putnam Investment Management, LLC (Putnam Management), the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC. 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 and totaled $17,562 for the reporting period. During the reporting period, cost of purchases and proceeds of sales of investments in Putnam Money Market Liquidity Fund aggregated $237,123,578 and $249,573,572, respectively. Management fees charged to Putnam Money Market Liquidity Fund have been waived by Putnam Management. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>(F) 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 (ASC 820) based on the securities valuation inputs.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>(R) Real Estate Investment Trust.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>(U) This security, in part or in entirety, represents unfunded loan commitments. As of the close of the reporting period, 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>
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     <TD width="85%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Borrower</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>Unfunded commitments</FONT></B><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=2>
<HR SIZE=1 noShade>
</TD></TR>
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     <TD noWrap align=left><FONT size=2 face=sans-serif>Smurfit-Stone Container Enterprises, Inc.</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$140,000</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD></TD>
     <TD>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Totals</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$140,000</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=2>
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</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px"><FONT size=2></FONT>&nbsp;</P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>At the close of the reporting period, the fund maintained liquid assets totaling $287,790,457 to cover certain derivatives contracts.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Debt obligations are considered secured unless otherwise indicated.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 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=2 face=sans-serif>The rates shown on FRB and FRN are the current interest rates at the close of the reporting period.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>The dates shown on debt obligations are the original maturity dates.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 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 the close of the reporting period.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>DIVERSIFICATION BY COUNTRY</FONT></P>
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     <TD width="15%"></TD></TR>
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     <TD noWrap align=left><FONT size=2 face=sans-serif>Distribution of investments by country of risk at the close of the reporting period (as a percentage of Portfolio Value):</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=2><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=2><FONT size=2>&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>United States</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>87.3%</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Russia</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>3.6</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Argentina</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1.8</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Venezuela</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1.3</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Indonesia</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>0.9</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Brazil</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>0.7</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Turkey</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>0.6</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>United Kingdom</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>0.5</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Other</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>3.3</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=2>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Total</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>100.0%</FONT></B><FONT size=2>&nbsp;</FONT></TD></TR></TABLE></DIV>
<P style="MARGIN: 0px"><FONT size=2></FONT>&nbsp;</P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Security valuation: </FONT></B><FONT size=2 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 and are classified as Level 1 securities. If no sales are reported-- as in the case of some securities traded over-the-counter-- a security is valued at its last reported bid price and is generally categorized as a Level 2 security. 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 </FONT><FONT size=2 face=sans-serif>(Putnam Management), the fund&#146;s manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (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, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. Thes
e securities, which will generally represent a transfer from a Level 1 to a Level 2 security, will be classified as Level 2. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate. To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security'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. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discou
nt rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures and recovery rates. These securities are classified as Level 2 or as Level 3 depending </FONT><FONT size=2 face=sans-serif>on the priority of the significant inputs. 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=2 face=sans-serif>Stripped securities: </FONT></B><FONT size=2 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=2 face=sans-serif>Futures and options contracts: </FONT></B><FONT size=2 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 returns.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 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, interest or exchange rates moving 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. When the contract is closed, the fund records a realized </FONT><FONT size=2 face=sans-serif>gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Realized gains and losses on purchased options are included in realized gains and losses o
n 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=2 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.</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Outstanding contracts on purchased options contracts at the close of the reporting period are indicative of the volume of activity during the period. Outstanding contracts on written options contracts at the close of the reporting period are indicative of the volume of activity during the period. Outstanding contracts on futures contracts at the close of the reporting period are indicative of the volume of activity during the period.</FONT></B></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Forward currency contracts: </FONT></B><FONT size=2 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. </FONT><FONT size=2 face=sans-serif>The market value of the contract will fluctuate with changes in currency exchange rates.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>The contract is marked to market daily and the change in market value is recorded as an unrealized gain or loss. When the contract is closed, the fund 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.</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Outstanding contracts on forward currency contracts at the close of the reporting period are indicative of the volume of activity during the period. </FONT></B></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Total return swap contracts: </FONT></B><FONT size=2 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.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. 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.</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>The fund had an average notional amount of approximately $95,600,000 on total return swap contracts for the reporting period. </FONT></B></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Interest rate swap contracts: </FONT></B><FONT size=2 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. </FONT><FONT size=2 face=sans-serif>An interest rate swap can be purchased or sold with an upfront premium. An upfront payment received by the fund is</FONT></P>
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<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund'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.</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>The fund had an average notional amount of approximately $4,094,200,000 on interest rate swap contracts for the reporting period. </FONT></B></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Credit default contracts: </FONT></B><FONT size=2 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 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. </FONT><FONT size=2 face=sans-serif>Upon the occurrence of a credit event, the difference between the par value and market value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 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. 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.</FONT></
P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>The fund had an average notional amount of approximately $43,800,000 on credit default swap contracts for the reporting period. </FONT></B></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Master agreements: </FONT></B><FONT size=2 face=sans-serif>The fund is a party to ISDA (International Swap and Derivatives Association, Inc.) Master Agreements (Master Agreements) 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 posted to the fund which can not be sold or repledged totaled $5,972,819 at the close of the reporting period. Collateral pledged by th
e fund is segregated by the fund&#146;s custodian and identified in the fund&#146;s portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund&#146;s net position with each counterparty.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Termination events applicable to the fund </FONT><FONT size=2 face=sans-serif>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's future derivative activity.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>At the close of the reporting period, the fund had a net liability position of $47,046,072 on derivative contracts subject to the Master Agreements. Collateral posted by the fund totaled $75,444,449.</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>TBA purchase commitments: </FONT></B><FONT size=2 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. </FONT><FONT size=2 face=sans-serif>TBA purchase commitments </FONT><FONT size=2 face=sans-serif>may be considered securities themselves, and involve a risk of loss if the value of the security to be purchased decli
nes prior to the settlement date, which risk is in addition to the risk of decline in the value of the fund&#146;s other assets. Unsettled TBA purchase commitments are valued at fair value of the underlying securities, according to the procedures described under &#147;Security valuation&#148; above. The contract is marked to market daily and the change in market value is recorded by the fund as an unrealized gain or loss.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 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=2 face=sans-serif>TBA sale commitments: </FONT></B><FONT size=2 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=2 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.</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Dollar rolls: </FONT></B><FONT size=2 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>
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<P style="TEXT-ALIGN: left"><FONT size=2 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=2 face=sans-serif>Level 1 &#150; Valuations based on quoted prices for identical securities in active markets.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Level 2 &#150; 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=2 face=sans-serif>Level 3 &#150; Valuations based on inputs that are unobservable and significant to the fair value measurement.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>The following is a summary of the inputs used to value the fund&#146;s net assets as of the close of the reporting period</FONT><FONT size=2 face=sans-serif>:</FONT></P>
<DIV align=left>
<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>
<TR>
     <TD width="25%"></TD>
     <TD width="25%"></TD>
     <TD width="25%"></TD>
     <TD width="25%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD colSpan=3 noWrap align=center><FONT size=2></FONT><B><FONT size=2 face=sans-serif>Valuation inputs</FONT></B><FONT size=2></FONT> <FONT size=2></FONT></TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Investments in securities:</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>Level 1</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>Level 2</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>Level 3</FONT></B><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Common stocks:</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Conglomerates</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$--</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$--</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$3,091</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Consumer cyclicals</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>195,846</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>11</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Total common stocks</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>--</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>195,846</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>3,102</FONT></B><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Asset-backed securities</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>49,115,693</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,053,120</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Convertible bonds and notes</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,286,616</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Convertible preferred stocks</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>980</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Corporate bonds and notes</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>71,557,926</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>3,763</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Foreign government bonds and notes</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>26,538,477</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Mortgage-backed securities</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>174,481,541</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,235,570</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Preferred stocks</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>177,220</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Purchased options outstanding</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>9,939,373</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Senior loans</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>12,805,290</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>U.S. Government and Agency Mortgage Obligations</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,627,829</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Warrants</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>22,038</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Short-term investments</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>4,869,941</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>81,945,948</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Totals by level</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>$4,869,941</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>$430,694,777</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>$3,295,555</FONT></B><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=4><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=4><FONT size=2>&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD colSpan=3 noWrap align=center><FONT size=2></FONT><B><FONT size=2 face=sans-serif>Valuation inputs</FONT></B><FONT size=2></FONT> <FONT size=2></FONT></TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Other financial instruments:</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>Level 1</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>Level 2</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>Level 3</FONT></B><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Forward currency contracts to buy</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$--</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$300,532</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$--</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Forward currency contracts to sell</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(273,999)</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Futures contracts</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>3,154,124</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Written options</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(24,042,108)</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>TBA sale commitments</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(1,036,328)</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Interest rate swap contracts</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(30,212,253)</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Total return swap contracts</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>108,581</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Credit default contracts</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(312,839)</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Totals by level</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>$3,154,124</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>$(55,468,414)</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>$--</FONT></B><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px"><FONT size=2></FONT>&nbsp;</P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>At the start and/or close of the reporting period, Level 3 investments in securities and other financial instruments were not considered a significant portion of the fund's portfolio.</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Market Values of Derivative Instruments as of the close of the reporting period</FONT></B></P>
<DIV align=left>
<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>
<TR>
     <TD width="70%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>Asset derivatives</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>Liability derivatives</FONT></B><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD><FONT size=2>&nbsp;</FONT></TD>
     <TD colSpan=2>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Derivatives not accounted for as hedging instruments under ASC 815</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>Market value</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>Market value</FONT></B><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=3><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=3><FONT size=2>&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Credit contracts</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$302,251</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$615,090</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Foreign exchange contracts</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>862,221&nbsp; </FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>835,688</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Equity contracts</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>22,038</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=3><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=3><FONT size=2>&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Interest rate contracts</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>28,413,957</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>69,466,240</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Total</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>$29,600,467</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>$70,917,018</FONT></B><FONT size=2>&nbsp;</FONT></TD></TR>
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</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px"><FONT size=2></FONT>&nbsp;</P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>For additional information regarding the fund please see the fund's most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission's Web site, www.sec.gov, or visit Putnam's Individual Investor Web site at www.putnaminvestments.com</FONT></P>
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<U><FONT size=2 face="sans-serif">Item 2. 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 3. Exhibits:</FONT></U></P>
<P style="text-align: left;">
<FONT size=2 face="sans-serif">Separate certifications for the principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended, are filed herewith.</FONT></P>
<P 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>
<FONT size=2 face="sans-serif">Date: August 27, 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>
<FONT size=2 face="sans-serif">Date: August 27, 2010</FONT><BR>
<BR>
<FONT size=2 face="sans-serif">By (Signature and Title):</FONT><BR>
<BR>
<U><FONT size=2 face="sans-serif">/s/ Steven D. Krichmar</FONT></U><BR>
<FONT size=2 face="sans-serif">Steven D. Krichmar</FONT><BR>
<FONT size=2 face="sans-serif">Principal Financial Officer</FONT><BR>
<FONT size=2 face="sans-serif">Date: August 27, 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-Q 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 schedules of investments included in each report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;</FONT></P>
<P 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 registrants 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&#146;s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and</FONT></P>
<P 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&#146;s other certifying officer and I have disclosed to each registrant&#146;s auditors and the audit committee of each registrant&#146;s board of directors (or persons performing the equivalent functions):</FONT></P>
<P 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&#146;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&#146;s internal control over financial reporting.</FONT></P>
<P style="text-align: left;">
<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">Date: August 26, 2010</FONT><BR>
<FONT size=2 face="sans-serif">Jonathan S. Horwitz</FONT><BR>
<FONT size=2 face="sans-serif">Principal Executive Officer</FONT></P>
</DIV>

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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-Q 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 schedules of investments included in each report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;</FONT></P>
<P 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 registrants 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&#146;s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and</FONT></P>
<P 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&#146;s other certifying officer and I have disclosed to each registrant&#146;s auditors and the audit committee of each registrant&#146;s board of directors (or persons performing the equivalent functions):</FONT></P>
<P 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&#146;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&#146;s internal control over financial reporting.</FONT></P>
<P style="text-align: left;">
<FONT size=2 face="sans-serif">/s/ Steven D. Krichmar</FONT><BR>
<FONT size=2 face="sans-serif">_______________________________</FONT><BR>
<FONT size=2 face="sans-serif">Date: August 26, 2010</FONT><BR>
<FONT size=2 face="sans-serif">Steven D. Krichmar</FONT><BR>
<FONT size=2 face="sans-serif">Principal Financial Officer</FONT></P>
</DIV>

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     <TD noWrap align=center><FONT size=2 face=sans-serif>Attachment A</FONT></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif></FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=center><FONT size=2 face=sans-serif>NQ</FONT></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif></FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=center><FONT size=2 face=sans-serif>Period (s) ended June 30, 2010</FONT></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>
     <TD noWrap align=left><FONT size=1 face=sans-serif></FONT></TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
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<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Putnam Master Intermediate Income Trust</FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Putnam California Tax Exempt Income Fund</FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Putnam American Government Income Fund</FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Putnam Tax Exempt Income Fund</FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Putnam International Growth Fund (formerly Putnam International New Opportunities Fund)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Putnam U.S. Government Income Trust</FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Putnam Money Market Fund</FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Putnam Tax Exempt Money Market Fund</FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Putnam Diversified Income Trust</FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Putnam Asset Allocation: Conservative Portfolio</FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Putnam Asset Allocation: Growth Portfolio</FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Putnam Asset Allocation: Balanced Portfolio</FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Putnam Money Market Liquidity Fund</FONT></TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
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