<SEC-DOCUMENT>0000928816-11-001663.txt : 20111129
<SEC-HEADER>0000928816-11-001663.hdr.sgml : 20111129
<ACCEPTANCE-DATETIME>20111129143751
ACCESSION NUMBER:		0000928816-11-001663
CONFORMED SUBMISSION TYPE:	N-CSR
PUBLIC DOCUMENT COUNT:		19
CONFORMED PERIOD OF REPORT:	20110930
FILED AS OF DATE:		20111129
DATE AS OF CHANGE:		20111129
EFFECTIVENESS DATE:		20111129

FILER:

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

	FILING VALUES:
		FORM TYPE:		N-CSR
		SEC ACT:		1940 Act
		SEC FILE NUMBER:	811-05498
		FILM NUMBER:		111230820

	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-CSR
<SEQUENCE>1
<FILENAME>a_mastintinctrst.htm
<DESCRIPTION>PUTNAM MASTER INTERMEDIATE INCOME TRUST
<TEXT>
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<p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><u><font color=black face=arial lang=EN-US style="font-size:10.0pt;">UNITED STATES </font></u></p>

<p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><u><font color=black face=arial lang=EN-US style="font-size:10.0pt;">SECURITIES AND EXCHANGE
COMMISSION</font></u></p>

<p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><u><font color=black face=arial lang=EN-US style="font-size:10.0pt;">Washington, D.C. 20549</font></u></p>

<p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;text-decoration:none;">&nbsp;</font></p>

<p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=black face=arial lang=EN-US style="font-size:10.0pt;">FORM N-CSR</font></b></p>

<p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=black face=arial lang=EN-US style="font-size:10.0pt;">&nbsp;</font></b></p>

<p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=black face=arial lang=EN-US style="font-size:10.0pt;">CERTIFIED SHAREHOLDER
REPORT OF REGISTERED</font></b></p>

<p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=black face=arial lang=EN-US style="font-size:10.0pt;">MANAGEMENT INVESTMENT
COMPANIES</font></b></p>

<p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">Investment
Company Act file number:&#160; (811-05498)</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">Exact
name of registrant as specified in charter:&#160;&#160; </font><font color=red face=arial lang=EN-US style="font-size:10.0pt;">Putnam Master Intermediate Income Trust</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">Address
of principal executive offices:&#160; One Post Office Square, Boston, Massachusetts
02109</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">Name
and address of agent for service: &#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160; Beth S. Mazor, Vice President</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160; One
Post Office Square</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160; Boston,
Massachusetts 02109</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160; Copy
to:&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160; John W. Gerstmayr, Esq.</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160; Ropes
&amp; Gray LLP</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160; 800
Boylston Street</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160; Boston,
Massachusetts 02199-3600</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">Registrant&#8217;s
telephone number, including area code: &#160;&#160;&#160;&#160;&#160;&#160;&#160; (617) 292-1000</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">Date
of fiscal year end: September 30, 2011</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">Date
of reporting period: October 1, 2010 &#8212; September 30, 2011</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;text-decoration:none;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;text-decoration:none;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;text-decoration:none;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;text-decoration:none;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;text-decoration:none;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><u><font color=black face=arial lang=EN-US style="font-size:10.0pt;">Item 1. Report to Stockholders:<br>
</font></u><font color=black face=arial lang=EN-US style="font-size:10.0pt;">The
following is a copy of the report transmitted to stockholders pursuant</font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">to Rule 30e-1 under the Investment Company Act of 1940:</font></p>

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<P style="TEXT-ALIGN: left"><B><FONT size=6 face=sans-serif>Putnam</FONT></B><BR><B><FONT size=6 face=sans-serif>Master Intermediate</FONT></B><BR><B><FONT size=6 face=sans-serif>Income Trust</FONT></B></P>

<P style="TEXT-ALIGN: left"><B><FONT size=4 face=sans-serif>Annual report</FONT></B><BR><B><FONT size=4 face=sans-serif>9 </FONT></B><B><FONT size=5 face=sans-serif>| </FONT></B><B><FONT size=4 face=sans-serif>30 </FONT></B><B><FONT size=5 face=sans-serif>| </FONT></B><B><FONT size=4 face=sans-serif>11</FONT></B></P>

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<TR>

   <TD width="30%"></TD>

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   <TD width="30%"></TD></TR>

<TR vAlign=bottom>

   <TD width="30%" noWrap align=left><B><FONT size=2 face=sans-serif>Message from the Trustees</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=right><B><FONT size=2 face=sans-serif>1</FONT></B>&nbsp;</TD>

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<TR vAlign=bottom>

   <TD width="30%" noWrap align=left><B><FONT size=2 face=sans-serif>About the fund</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=right><B><FONT size=2 face=sans-serif>2</FONT></B>&nbsp;</TD>

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<TR vAlign=bottom>

   <TD width="30%" noWrap align=left><B><FONT size=2 face=sans-serif>Performance snapshot</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=right><B><FONT size=2 face=sans-serif>4</FONT></B>&nbsp;</TD>

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   <TD width="30%" noWrap align=left><B><FONT size=2 face=sans-serif>Interview with your fund&#8217;s portfolio manager</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=right><B><FONT size=2 face=sans-serif>5</FONT></B>&nbsp;</TD>

   <TD width="30%" noWrap align=right></TD>

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   <TD width="30%" noWrap align=left><B><FONT size=2 face=sans-serif>Your fund&#8217;s performance</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=right><B><FONT size=2 face=sans-serif>11</FONT></B>&nbsp;</TD>

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   <TD width="30%" noWrap align=left><B><FONT size=2 face=sans-serif>Terms and definitions</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=right><B><FONT size=2 face=sans-serif>13</FONT></B>&nbsp;</TD>

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   <TD width="30%" noWrap align=left><B><FONT size=2 face=sans-serif>Trustee approval of management contract</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=right><B><FONT size=2 face=sans-serif>14</FONT></B>&nbsp;</TD>

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   <TD width="30%" noWrap align=left><B><FONT size=2 face=sans-serif>Other information for shareholders</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=right><B><FONT size=2 face=sans-serif>18</FONT></B>&nbsp;</TD>

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   <TD width="30%" noWrap align=left><B><FONT size=2 face=sans-serif>Financial statements</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=right><B><FONT size=2 face=sans-serif>19</FONT></B>&nbsp;</TD>

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   <TD width="10%" noWrap align=right><B><FONT size=2 face=sans-serif>101</FONT></B>&nbsp;</TD>

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   <TD width="30%" noWrap align=left><B><FONT size=2 face=sans-serif>Shareholder meeting results</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=right><B><FONT size=2 face=sans-serif>102</FONT></B>&nbsp;</TD>

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   <TD width="30%" noWrap align=left><B><FONT size=2 face=sans-serif>About the Trustees</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=right><B><FONT size=2 face=sans-serif>103</FONT></B>&nbsp;</TD>

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   <TD width="10%" noWrap align=right><B><FONT size=2 face=sans-serif>105</FONT></B>&nbsp;</TD>

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<P style="TEXT-ALIGN: left"><B><FONT size=5 face=sans-serif>Message from the Trustees</FONT></B></P>

<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Dear Fellow Shareholder:</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Markets have reflected a heightened state of investor anxiety in recent weeks and months. The deepening European sovereign debt crisis, the potential for an economic slowdown in the United States, and the deceleration of growth by economic powerhouse China have all diminished investors&#8217; appetite for risk.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>While volatility may linger for some time, it is important to note that Putnam&#8217;s active portfolio managers continue to pursue investment opportunities around the world. In fact, during times when emotion drives market movements, nimble investors have historically had the best opportunities to take advantage of market inefficiencies.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>We believe that in volatile markets, it is important to consult your financial advisor to help determine whether your portfolio reflects an appropriate degree of diversification. We also note that Putnam continues to bolster its lineup of funds that seek to limit volatility or guard against downside risk.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>We would like to thank John A. Hill, who has served as Chairman of the Trustees since 2000 and who continues on as a Trustee, for his service. We are pleased to announce that Jameson A. Baxter is the new Chair, having served as Vice Chair since 2005 and a Trustee since 1994. Ms. Baxter is President of Baxter Associates, Inc., a private investment firm, and Chair of the Mutual Fund Directors Forum. In addition, she serves as Chair Emeritus of the Board of Trustees of Mount Holyoke College, Director of the Adirondack Land Trust, and Trustee of the Nature Conservancy&#8217;s Adirondack Chapter.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Lastly, we would like to take this opportunity to welcome new shareholders to the fund and to thank all of our investors for your continued confidence in Putnam.</FONT></P>
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<P style="TEXT-ALIGN: left; PADDING-LEFT: 0%; PADDING-RIGHT: 0%"><B><FONT size=5 face=sans-serif>About the fund</FONT></B></P>

<P style="TEXT-ALIGN: left; PADDING-LEFT: 0%; PADDING-RIGHT: 0%"><B><FONT size=2 face=sans-serif>Seeking broad diversification across bond markets</FONT></B></P>

<P style="TEXT-ALIGN: left; PADDING-LEFT: 0%; PADDING-RIGHT: 0%"><FONT size=2 face=sans-serif>When Putnam Master Intermediate Income Trust was launched in 1988, its three-pronged focus on U.S. investment-grade bonds, high-yield corporate bonds, and non-U.S. bonds was considered innovative. Lower-rated, higher-yielding corporate bonds were relatively new, having just been established in the late 1970s. In addition, at the time of the fund&#8217;s launch, few investors were venturing outside the United States for fixed-income opportunities.</FONT></P>

<P style="TEXT-ALIGN: left; PADDING-LEFT: 0%; PADDING-RIGHT: 0%"><FONT size=2 face=sans-serif>In the two decades since then, the bond investment landscape has undergone a transformation. New sectors such as mortgage- and asset-backed securities now make up a sizable portion of the U.S. investment-grade market. The high-yield corporate bond sector has also grown significantly. Outside the United States, the introduction of the euro fostered the </FONT><FONT size=2 face=sans-serif>development of a large market of European government bonds. There are also growing opportunities to invest in the debt of emerging-market countries.</FONT></P>

<P style="TEXT-ALIGN: left; PADDING-LEFT: 0%; PADDING-RIGHT: 0%"><FONT size=2 face=sans-serif>The fund&#8217;s multi-strategy approach is well suited to the expanding opportunities in today&#8217;s global bond marketplace. To respond to the market&#8217;s increasing complexity, Putnam&#8217;s fixed-income group aligns teams of specialists with varied investment opportunities. Working with these teams, the fund managers strive to build a diversified portfolio that carefully balances risk and return.</FONT></P>

<P style="TEXT-ALIGN: left; PADDING-LEFT: 0%; PADDING-RIGHT: 0%"><FONT size=2 face=sans-serif>As different factors drive the performance of the various bond market sectors, the managers use the fund&#8217;s flexible strategy to seek opportunities for investors.</FONT></P>

<P style="TEXT-ALIGN: left; PADDING-LEFT: 0%; PADDING-RIGHT: 0%"><B><FONT size=2 face=sans-serif>Consider these risks before investing: </FONT></B><FONT size=2 face=sans-serif>International investing involves certain risks, such as currency fluctuations, economic instability, and political developments. Additional risks may be associated with emerging-market securities, including illiquidity and volatility. Lower-rated bonds may offer higher yields in return for more risk. Funds that invest in government securities are not guaranteed. Mortgage-backed securities are subject to prepayment risk. The use of derivatives involves additional risks, such as the potential inability to terminate or sell derivatives positions and the potential failure of the other party to the instrument to meet its obligations. Funds that invest in bonds are subject to certain risks including interest-rate risk, credit risk, and inflation risk. As interest rates rise, the prices of bonds fall. Long-term bonds are more exposed to interest-rate risk than short-term bonds. Unlike bonds, bond funds have ongoing fees and expenses. The fund&#8217;s shares trade on a stock exchange at market prices, which may be lower than the fund&#8217;s net asset value.</FONT></P>

<P style="TEXT-ALIGN: left; PADDING-LEFT: 0%; PADDING-RIGHT: 0%"><B><FONT size=2 face=sans-serif>How do closed-end funds differ from open-end funds?</FONT></B></P>

<P style="TEXT-ALIGN: left; PADDING-LEFT: 0%; PADDING-RIGHT: 0%"><B><FONT size=1 face=sans-serif>More assets at work </FONT></B><FONT size=1 face=sans-serif>While open-end funds need to maintain a cash position to meet redemptions, closed-end funds are not subject to redemptions and can keep more of their assets invested in the market.</FONT></P>

<P style="TEXT-ALIGN: left; PADDING-LEFT: 0%; PADDING-RIGHT: 0%"><B><FONT size=1 face=sans-serif>Traded like stocks </FONT></B><FONT size=1 face=sans-serif>Closed-end fund shares are traded on stock exchanges, and their market prices fluctuate in response to supply and demand, among other factors.</FONT></P>

<P style="TEXT-ALIGN: left; PADDING-LEFT: 0%; PADDING-RIGHT: 0%"><B><FONT size=1 face=sans-serif>Net asset value vs. market price </FONT></B><FONT size=1 face=sans-serif>Like an open-end fund&#8217;s net asset value (NAV) per share, the NAV of a closed-end fund share is equal to the current value of the fund&#8217;s assets, minus its liabilities, divided by the number of shares outstanding. However, when buying or selling closed-end fund shares, the price you pay or receive is the market price. Market price reflects current market supply and demand, and may be higher or lower than the NAV.</FONT></P>

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<P style="TEXT-ALIGN: left"><B><I><FONT size=1 face=sans-serif>Data are historical. Past performance does not guarantee future results. More recent returns may be less or more than those shown. Investment return and net asset value will fluctuate, and you may have a gain or a loss when you sell your shares. Performance assumes reinvestment of distributions and does not account for taxes. Fund returns in the bar chart are at NAV. </FONT></I></B><B><I><FONT size=1 face=sans-serif>See&nbsp;pages&nbsp;5 and 11&#8211;12 for additional performance information, including fund returns at market price. Index and Lipper results should be compared with fund performance at NAV. Lipper calculates performance differently than the closed-end funds it ranks, due to varying methods for determining a fund&#8217;s monthly reinvestment NAV.</FONT></I></B></P>

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<P style="TEXT-ALIGN: left"><B><FONT size=5 face=sans-serif>Interview with your fund&#8217;s portfolio manager</FONT></B></P>

<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>D. William Kohli</FONT></B></P>

<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>What was the investment environment like during the fund&#8217;s fiscal year ended September 30, 2011?</FONT></B></P>

<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>The past 12 months consisted of two starkly different investment environments. From October to April, so-called &#8220;risk assets,&#8221; such as stocks, corporate bonds, and emerging-market debt, posted solid gains. In part, this rally was spurred by the Federal Reserve&#8217;s [the Fed&#8217;s] announcement in November of a second round of quantitative easing, dubbed &#8220;QE2.&#8221; Under the program, the Fed committed to purchase an additional $600&nbsp;billion of Treasury bonds by the end of June 2011. Investors had widely anticipated the Fed&#8217;s announcement, and Treasury rates jumped higher in the fourth quarter of 2010 and early months of 2011 as investors reallocated to other asset classes.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>In early summer, however, this upward trend stalled as investors tried to gauge the implications of the disasters in Japan and </FONT><FONT size=2 face=sans-serif>the subsequent supply-chain disruptions, as well as some weaker-than-expected economic data in the United States. A series of negative headlines followed, including the threat of political impasse surrounding attempts to raise the federal debt ceiling, Standard &amp; Poor&#8217;s [S&amp;P&#8217;s] downgrade of U.S. Treasury debt, and continued challenges in the European sovereign debt negotiations. The result was a significant sell-off in the third quarter of 2011, which was the worst for a range of risk assets since the financial crisis unraveled markets in 2008.</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>As you mentioned, Standard &amp; Poor&#8217;s cut its AAA rating of U.S. Treasury debt in August, yet Treasuries were one of the better-performing sectors during the period. How did that affect the fund&#8217;s performance?</FONT></B></P>

<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>As has been the case for some time, the fund was positioned so that it was not dependent</FONT></P>
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<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>This comparison shows your fund&#8217;s performance in the context of broad market indexes for the 12&nbsp;months ended 9/30/11. See pages 4 and 11&#8211;12 for additional fund performance information. Index descriptions can be found on page 13.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>5</FONT></P></DIV>

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<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>on declining interest rates to drive returns. The S&amp;P downgrade, in many ways, reinforced investors&#8217; perception that financial markets across the board were deteriorating, and sparked a flight to what many believe remains the safest asset available: U.S. Treasuries. The fund had no direct exposure to Treasury bonds, and had low or negative duration &#8212; or interest-rate exposure &#8212; for most of the quarter, so the rally in Treasuries detracted from the fund&#8217;s relative performance. That said, we have not changed our view on how attractive Treasuries are. We believe the risk of higher interest rates far outweighs the potential benefits derived from </FONT><FONT size=2 face=sans-serif>owning Treasuries offering yields at or near historic&nbsp;lows.</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>What detracted from the fund&#8217;s performance relative to its benchmark?</FONT></B></P>

<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>The lack of exposure to Treasuries was one of the biggest detractors from relative performance. The fund&#8217;s positions in so-called &#8220;spread sectors&#8221; &#8212; those sectors that generally offer higher yields than U.S. Treasuries &#8212; produced flat to slightly negative returns over the trailing 12 months due entirely to the severity of the third-quarter downturn.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>From a sector standpoint, our overweight position in high-yield bonds detracted from</FONT></P>
<IMG border=0 src="mastintmedincx7x1.jpg"> <BR>

<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Credit qualities are shown as a percentage of net assets as of 9/30/11. A bond rated Baa or higher (Prime-3 or higher, for short-term debt) is considered investment grade. The chart reflects Moody&#8217;s ratings; percentages may include bonds or derivatives not rated by Moody&#8217;s but rated by Standard &amp; Poor&#8217;s or, if unrated by S&amp;P, by Fitch, and then included in the closest equivalent Moody&#8217;s rating. Ratings will vary over time.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Credit quality includes bonds and represents only the fixed-income portion of the portfolio. Derivative instruments, including currency forwards, are only included to the extent of any unrealized gain or loss on such instruments and are shown in the not-rated category. The fund itself has not been rated by an independent rating agency.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>A negative percentage reflects the effect of fund strategies that are designed to enhance performance if certain securities decline in value.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>6</FONT></P></DIV>

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<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>relative returns. Spreads &#8212; which reflect the difference in yields between a bond and a similarly dated Treasury &#8212; widened significantly for high-yield debt during the third quarter as investors reduced their risk&nbsp;exposure.</FONT></P>
<IMG border=0 src="mastintmedincx8x1.jpg"> <BR>

<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Our allocation to non-agency residential mortgage-backed securities [RMBS] and interest-only collateralized mortgage obligations [CMO IOs] also detracted. While both types of securities are derived from pools of mortgages, RMBS are generally sensitive to credit, or default, risks, while CMO IOs are more sensitive to changes in prepayment </FONT><FONT size=2 face=sans-serif>rates. Although the fundamentals underpinning the RMBS market were fairly stable over the period, investors lost their appetite for credit risk in the third quarter, and RMBS, like high-yield bonds, sold off. Meanwhile, there was some speculation over the period that the federal government was weighing the introduction of new initiatives to help homeowners refinance their mortgages. Shortly after the end of the reporting period, the Federal Housing Finance Authority announced modifications to the existing Home Affordable Refinance Program (HARP) by allowing certain &#8220;underwater&#8221; borrowers who are current on their payments to refinance their loans at market rates. IO spreads widened sharply in the weeks leading up to the announcement, and our CMO IO position detracted from relative performance. I should note that in implementing our CMO IO strategy, we used interest-rate swaps and options to hedge the fund&#8217;s duration &#8212; or</FONT></P>
<IMG border=0 src="mastintmedincx8x2.jpg"> <BR>

<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>This table shows the fund&#8217;s top three individual holdings across three key sectors and the percentage of the fund&#8217;s net assets that each represented as of 9/30/11. Short-term holdings and TBAs are excluded. Holdings will vary over time.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>7</FONT></P></DIV>

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<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>sensitivity to interest-rate changes&nbsp;&#8212; to isolate the prepayment risks associated with the securities, which we believed offered attractive return potential.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>All three of these sectors &#8212; high yield, RMBS, and CMO IOs &#8212; remain significant allocations for the fund, and we believe fundamentally they continue to be quite attractive. Valuations on high-yield bonds are currently indicative of an imminent severe recession, a scenario we find unlikely. Default rates in high-yield bonds remain extremely low by historical measures and corporate earnings continued to show signs of strength, both of which are positive signals for the sector. In the RMBS space, the securities we hold in the fund generally are less sensitive to interest-rate changes and offer cash flows at the top of the capital structure. While short-term volatility has pressured the sector, we continue to believe the longer-term return potential for these securities is compelling, and not necessarily reliant on an improving housing market. Even given an uptick in prepayments, from a fundamental point of view, IO cash flows remain extremely attractive in the context of what remain historically low prepayment rates and continued housing </FONT><FONT size=2 face=sans-serif>market weakness, and we remain optimistic on the longer-term potential for the&nbsp;sector.</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>How is the fund positioned in international&nbsp;markets?</FONT></B></P>

<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>With the prospect of a Greek default a distinct possibility and the fallout difficult to predict, we continue to have little to no exposure to European sovereign debt within the portfolio. The bigger question, in our minds, is whether emerging markets can continue to perform in the face of a loss of investors&#8217; risk appetites. While the long-term fundamental outlook for emerging markets remains attractive, developing debt markets &#8212; especially those of small and open economies &#8212; are highly sensitive to capital flows. Any acceleration in outflows could lead to losses in what has been one of the best-performing asset classes over the past decade. We continue to be highly selective in our positioning within emerging-market debt and currencies, and currently are maintaining a defensive stance.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>We believe that over the next few months, recent rallies in more volatile currencies could reverse course, leading to a continued appreciation in the U.S. dollar, particularly versus</FONT></P>
<IMG border=0 src="mastintmedincx9x1.jpg"> <BR>

<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>This chart shows how the fund&#8217;s top weightings have changed over the past six months. Weightings are shown as a percentage of net assets. Summary information may differ from the portfolio schedule included in the financial statements due to the inclusion of derivative securities and the exclusion of as-of trades, if any, and the use of different classifications of securities for presentation purposes. Holdings will vary over time.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>8</FONT></P></DIV>

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<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>emerging Asian market currencies. Given the ongoing challenges facing developed Europe and recent moves to begin recapitalizing European banks, we have maintained an underweight position in the euro.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Throughout the period, we took tactical positions designed to benefit from a flattening yield curve. As a reminder, the yield curve is a graphical representation of how the yields of bonds of various maturities compare. Usually, bonds with longer maturities offer higher yields than short-term bonds. This is true today, but the difference between the short and the long end of the curve is greater than is typical. For more than two years, the Fed has kept the short end of the curve anchored around zero after it cut the benchmark for short-term interest rates, the federal funds rate, to a target of less than 0.25%. For comparison, for the first half of 2011, the yield on the 30-year U.S. Treasury bond was more than 4%. Although long-term rates declined slightly in 2011, short-term rates remained essentially unchanged, and our strategy produced mixed results, and we have recently reduced the size of our position. In implementing this strategy, we primarily used Treasury futures, as well as interest rate swaps and swaptions, which involve the transfer &#8212; or &#8220;swap&#8221; &#8212; of a fixed amount and a variable amount between two parties.</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>What is your outlook?</FONT></B></P>

<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>The prospect of a recession in Europe, in our view, now seems likely, while the chance of a recession in the United States is meaningfully higher than it was just three months ago. That said, we maintain our belief that the most likely trajectory for the U.S. economy is one of continued slow growth over the near term. The major headwinds facing consumers earlier in the year &#8212; notably, high food and energy prices &#8212; have abated, and we believe the prospects are good for already-lean corporations to surprise on the upside in the final months of the year.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Despite the macroeconomic challenges facing U.S. markets &#8212; including high unemployment, a stalled housing market, and below-average GDP growth &#8212; we believe the fundamentals across a range of fixed-income sectors remain attractive. We believe investors&#8217; flight to quality has led to even more compelling valuations in a number of sectors, and we intend to tactically allocate to those areas we find most undervalued.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>As I mentioned earlier, we continue to have limited exposure to interest-rate risk across our portfolios, although we have been cognizant of the possibility of heightened turbulence over the short term and have taken steps intended to reduce some of the fund&#8217;s price volatility, such as increasing our position in the U.S. dollar and reducing the magnitude of our underweight to duration. For longer-term shareholders, we believe that our active management strategy of allocating to sectors that offer what we believe are appealing combinations of risk and return potential should prove prudent should investors regain an appetite for risk and the extreme volatility of recent months subsides.</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Thank you, Bill, for bringing us up to date on the fund.</FONT></B></P>

<P style="TEXT-ALIGN: left"><I><FONT size=2 face=sans-serif>The views expressed in this report are exclusively those of Putnam Management and are subject to change. They are not meant as investment advice.</FONT></I></P>

<P style="TEXT-ALIGN: left"><I><FONT size=2 face=sans-serif>Please note that the holdings discussed in this report may not have been held by the fund for the entire period. Portfolio composition is subject to review in accordance with the fund&#8217;s investment strategy and may vary in the future. Current and future portfolio holdings are subject to risk.</FONT></I></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>9</FONT></P></DIV>

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<P style="TEXT-ALIGN: left"><B><FONT size=3 face=sans-serif>Of special interest</FONT></B></P>

<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Your fund&#8217;s dividend rate was decreased three times during the annual period ended September 30, 2011. The per-share dividend declined from $0.053 to $0.043 effective November 2010, from $0.043 to $0.039 effective March 2011, and from $0.039 to $0.029 effective June 2011. The reductions were due to a decrease in yields from asset-backed and commercial mortgage-backed securities, an overall decrease in interest income resulting from the current low-interest-rate environment, and a decrease in interest income due to declining yields in the market place.</FONT></P>
<IMG border=0 src="mastintmedincx11x1.jpg"> <BR>

<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Portfolio Manager </FONT><B><FONT size=2 face=sans-serif>D. William Kohli </FONT></B><FONT size=2 face=sans-serif>is Co-Head of Fixed Income at Putnam. He has an M.B.A. from the Haas School of Business at the University of </FONT><FONT size=2 face=sans-serif>California, Berkeley, and a B.A. from the University of California, San Diego. Bill joined Putnam in 1994 and has been in the investment industry since 1987.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>In addition to Bill, your fund&#8217;s portfolio managers are Michael Atkin, Kevin Murphy, Michael Salm, and Paul Scanlon.</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>IN THE NEWS</FONT></B></P>

<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>U.S. corporations are holding more cash </FONT></B><B><FONT size=2 face=sans-serif>on their books than at any time in nearly </FONT></B><B><FONT size=2 face=sans-serif>50 years. </FONT></B><FONT size=2 face=sans-serif>At the end of June, non-financial companies held more than $2 trillion in cash and other liquid assets, according to the Federal Reserve (the Fed). This marks an increase of more than $88 billion since the end of March. Cash accounted for 7.1% of all company assets, according to the Fed, the </FONT><FONT size=2 face=sans-serif>highest level since 1963. The Fed&#8217;s analysis does not include the substantial amount of cash that U.S. companies hold overseas. While critics are putting pressure on companies to use the cash to invest or create more jobs, others say the sizeable cash holdings could provide an important buffer for U.S. companies if European bank woes should spark a global financial&nbsp;crisis.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>10</FONT></P></DIV>

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<P style="TEXT-ALIGN: left"><B><FONT size=4 face=sans-serif>Your fund&#8217;s performance</FONT></B></P>

<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>This section shows your fund&#8217;s performance, price, and distribution information for periods ended September 30, 2011, the end of its most recent fiscal year. Performance should always be considered in light of a fund&#8217;s investment strategy. Data represent past performance. Past performance does not guarantee future results. More recent returns may be less or more than those shown. Investment return, net asset value, and market price will fluctuate, and you may have a gain or a loss when you sell your shares.</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Fund performance </FONT></B><FONT size=2 face=sans-serif>Total return for periods ended 9/30/11</FONT></P>

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   <TD width="33%" noWrap align=middle><B><FONT size=1 face=sans-serif>NAV</FONT></B>&nbsp;</TD>

   <TD width="33%" noWrap align=middle><B><FONT size=1 face=sans-serif>Market price</FONT></B>&nbsp;</TD></TR>

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   <TD width="33%" noWrap align=left><FONT size=1 face=sans-serif>Annual average</FONT>&nbsp;</TD>

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   <TD width="33%" noWrap align=left><FONT size=1 face=sans-serif>Life of fund (since 4/29/88)</FONT>&nbsp;</TD>

   <TD width="33%" noWrap align=middle><FONT size=1 face=sans-serif>7.10%</FONT>&nbsp;</TD>

   <TD width="33%" noWrap align=middle><FONT size=1 face=sans-serif>6.52%</FONT>&nbsp;</TD></TR>

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<TR vAlign=bottom>

   <TD width="33%" noWrap align=left><FONT size=1 face=sans-serif>10 years</FONT>&nbsp;</TD>

   <TD width="33%" noWrap align=middle><FONT size=1 face=sans-serif>93.33</FONT>&nbsp;</TD>

   <TD width="33%" noWrap align=middle><FONT size=1 face=sans-serif>97.63</FONT>&nbsp;</TD></TR>

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   <TD width="33%" noWrap align=left><FONT size=1 face=sans-serif>Annual average</FONT>&nbsp;</TD>

   <TD width="33%" noWrap align=middle><FONT size=1 face=sans-serif>6.81</FONT>&nbsp;</TD>

   <TD width="33%" noWrap align=middle><FONT size=1 face=sans-serif>7.05</FONT>&nbsp;</TD></TR>

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   <TD width="33%" noWrap align=left><FONT size=1 face=sans-serif>5 years</FONT>&nbsp;</TD>

   <TD width="33%" noWrap align=middle><FONT size=1 face=sans-serif>25.26</FONT>&nbsp;</TD>

   <TD width="33%" noWrap align=middle><FONT size=1 face=sans-serif>36.37</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="33%" noWrap align=left><FONT size=1 face=sans-serif>Annual average</FONT>&nbsp;</TD>

   <TD width="33%" noWrap align=middle><FONT size=1 face=sans-serif>4.61</FONT>&nbsp;</TD>

   <TD width="33%" noWrap align=middle><FONT size=1 face=sans-serif>6.40</FONT>&nbsp;</TD></TR>

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   <TD width="33%" noWrap align=left><FONT size=1 face=sans-serif>3 years</FONT>&nbsp;</TD>

   <TD width="33%" noWrap align=middle><FONT size=1 face=sans-serif>31.75</FONT>&nbsp;</TD>

   <TD width="33%" noWrap align=middle><FONT size=1 face=sans-serif>35.92</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="33%" noWrap align=left><FONT size=1 face=sans-serif>Annual average</FONT>&nbsp;</TD>

   <TD width="33%" noWrap align=middle><FONT size=1 face=sans-serif>9.63</FONT>&nbsp;</TD>

   <TD width="33%" noWrap align=middle><FONT size=1 face=sans-serif>10.77</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="33%" noWrap align=left><FONT size=1 face=sans-serif>1 year</FONT>&nbsp;</TD>

   <TD width="33%" noWrap align=middle><FONT size=1 face=sans-serif>&#8211;0.91</FONT>&nbsp;</TD>

   <TD width="33%" noWrap align=middle><FONT size=1 face=sans-serif>&#8211;13.01</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><FONT size=1 face=sans-serif><BR>Performance assumes reinvestment of distributions and does not account for taxes.</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Comparative index returns </FONT></B><FONT size=2 face=sans-serif>For periods ended 9/30/11</FONT></P>

<DIV align=left>

<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="20%" align=left></TD>

   <TD width="20%"></TD>

   <TD width="20%"></TD>

   <TD width="20%"></TD>

   <TD width="20%"></TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=middle><B><FONT size=1 face=sans-serif>Citigroup</FONT></B>&nbsp;</TD>

   <TD width="20%" noWrap align=middle>&nbsp;</TD>

   <TD width="20%" noWrap align=middle><B><FONT size=1 face=sans-serif>Lipper Flexible</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=middle><B><FONT size=1 face=sans-serif>Barclays Capital</FONT></B>&nbsp;</TD>

   <TD width="20%" noWrap align=middle><B><FONT size=1 face=sans-serif>Non-U.S. World</FONT></B>&nbsp;</TD>

   <TD width="20%" noWrap align=middle><B><FONT size=1 face=sans-serif>JPMorgan</FONT></B>&nbsp;</TD>

   <TD width="20%" noWrap align=middle><B><FONT size=1 face=sans-serif>Income Funds</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=middle><B><FONT size=1 face=sans-serif>Government/Credit</FONT></B>&nbsp;</TD>

   <TD width="20%" noWrap align=middle><B><FONT size=1 face=sans-serif>Government</FONT></B>&nbsp;</TD>

   <TD width="20%" noWrap align=middle><B><FONT size=1 face=sans-serif>Global High</FONT></B>&nbsp;</TD>

   <TD width="20%" noWrap align=middle><B><FONT size=1 face=sans-serif>(closed-end)</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=middle><B><FONT size=1 face=sans-serif>Bond Index</FONT></B>&nbsp;</TD>

   <TD width="20%" noWrap align=middle><B><FONT size=1 face=sans-serif>Bond Index</FONT></B>&nbsp;</TD>

   <TD width="20%" noWrap align=middle><B><FONT size=1 face=sans-serif>Yield Index</FONT></B>&nbsp;</TD>

   <TD width="20%" noWrap align=middle><B><FONT size=1 face=sans-serif>category average*</FONT></B>&nbsp;</TD></TR>

<TR>

   <TD width="100%" colSpan=5 align=left>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Annual average (life of fund)</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=middle><FONT size=1 face=sans-serif>7.37%</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=middle><FONT size=1 face=sans-serif>6.84%</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=middle><FONT size=1 face=sans-serif>&#8212;&#8224;</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=middle><FONT size=1 face=sans-serif>6.75%</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="100%" colSpan=5 align=left>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>10 years</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=middle><FONT size=1 face=sans-serif>74.73</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=middle><FONT size=1 face=sans-serif>115.32</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=middle><FONT size=1 face=sans-serif>141.47%</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=middle><FONT size=1 face=sans-serif>87.24</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Annual average</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=middle><FONT size=1 face=sans-serif>5.74</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=middle><FONT size=1 face=sans-serif>7.97</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=middle><FONT size=1 face=sans-serif>9.22</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=middle><FONT size=1 face=sans-serif>6.46</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="100%" colSpan=5 align=left>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>5 years</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=middle><FONT size=1 face=sans-serif>37.12</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=middle><FONT size=1 face=sans-serif>45.41</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=middle><FONT size=1 face=sans-serif>42.70</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=middle><FONT size=1 face=sans-serif>29.66</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Annual average</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=middle><FONT size=1 face=sans-serif>6.52</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=middle><FONT size=1 face=sans-serif>7.77</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=middle><FONT size=1 face=sans-serif>7.37</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=middle><FONT size=1 face=sans-serif>5.28</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="100%" colSpan=5 align=left>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>3 years</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=middle><FONT size=1 face=sans-serif>27.42</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=middle><FONT size=1 face=sans-serif>26.28</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=middle><FONT size=1 face=sans-serif>46.19</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=middle><FONT size=1 face=sans-serif>33.61</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Annual average</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=middle><FONT size=1 face=sans-serif>8.41</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=middle><FONT size=1 face=sans-serif>8.09</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=middle><FONT size=1 face=sans-serif>13.50</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=middle><FONT size=1 face=sans-serif>10.10</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="100%" colSpan=5 align=left>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>1 year</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=middle><FONT size=1 face=sans-serif>5.14</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=middle><FONT size=1 face=sans-serif>4.14</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=middle><FONT size=1 face=sans-serif>2.55</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=middle><FONT size=1 face=sans-serif>0.97</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="100%" colSpan=5 align=left>

   <HR SIZE=1 noShade>

</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><FONT size=1 face=sans-serif><BR>Index and Lipper results should be compared with fund performance at net asset value. Lipper calculates performance differently than the closed-end funds it ranks, due to varying methods for determining a fund&#8217;s monthly reinvestment net asset value.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>* Over the 1-year, 3-year, 5-year, 10-year, and life-of-fund periods ended 9/30/11, there were 5, 4, 4, 3, and 2 funds, respectively, in this Lipper category.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>&#8224; The JPMorgan Global High Yield Index was introduced on 12/31/93, which post-dates the fund&#8217;s inception.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>11</FONT></P></DIV>

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<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Fund price and distribution information </FONT></B><FONT size=2 face=sans-serif>For the 12-month period ended 9/30/11</FONT></P>

<DIV align=left>

<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="39%"></TD>

   <TD width="30%" colSpan=2 align=middle></TD>

   <TD width="30%" colSpan=2 align=middle></TD></TR>

<TR vAlign=bottom>

   <TD width="39%" noWrap align=left><B><FONT size=1 face=sans-serif>Distributions</FONT></B>&nbsp;</TD>

   <TD width="30%" colSpan=2 noWrap align=middle>&nbsp;</TD>

   <TD width="30%" colSpan=2 noWrap align=middle></TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="39%" noWrap align=left><FONT size=1 face=sans-serif>Number</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=middle>&nbsp;</TD>

   <TD width="30%" colSpan=2 noWrap align=middle><FONT size=1 face=sans-serif>12</FONT> <FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=middle>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="39%" noWrap align=left><FONT size=1 face=sans-serif>Income</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=middle>&nbsp;</TD>

   <TD width="30%" colSpan=2 noWrap align=middle><FONT size=1 face=sans-serif>$0.458000</FONT> <FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=middle>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="39%" noWrap align=left><FONT size=1 face=sans-serif>Capital gains</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=middle>&nbsp;</TD>

   <TD width="30%" colSpan=2 noWrap align=middle><FONT size=1 face=sans-serif>&#8212;</FONT> <FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=middle>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="39%" noWrap align=left><B><FONT size=1 face=sans-serif>Total</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=middle>&nbsp;</TD>

   <TD width="30%" colSpan=2 noWrap align=middle><B><FONT size=1 face=sans-serif>$0.458000</FONT></B> <B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="15%" noWrap align=middle>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="39%" noWrap align=left><B><FONT size=1 face=sans-serif>Share value</FONT></B>&nbsp;</TD>

   <TD width="30%" colSpan=2 noWrap align=middle><B><FONT size=1 face=sans-serif>NAV</FONT></B>&nbsp;</TD>

   <TD width="30%" colSpan=2 noWrap align=middle><B><FONT size=1 face=sans-serif><B><FONT size=1 face=sans-serif>Market price</FONT></B></FONT></B></TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="39%" noWrap align=left><FONT size=1 face=sans-serif>9/30/10</FONT>&nbsp;</TD>

   <TD width="30%" colSpan=2 noWrap align=middle><FONT size=1 face=sans-serif>$5.83</FONT>&nbsp;</TD>

   <TD width="30%" colSpan=2 noWrap align=middle><FONT size=1 face=sans-serif><FONT size=1 face=sans-serif>$6.28</FONT></FONT></TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="39%" noWrap align=left><FONT size=1 face=sans-serif>9/30/11</FONT>&nbsp;</TD>

   <TD width="30%" colSpan=2 noWrap align=middle><FONT size=1 face=sans-serif>5.34</FONT>&nbsp;</TD>

   <TD width="30%" colSpan=2 noWrap align=middle><FONT size=1 face=sans-serif><FONT size=1 face=sans-serif>5.05</FONT></FONT></TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="39%" noWrap align=left><B><FONT size=1 face=sans-serif>Current yield (end of period)</FONT></B>&nbsp;</TD>

   <TD width="30%" colSpan=2 noWrap align=middle>&nbsp;</TD>

   <TD width="30%" colSpan=2 noWrap align=middle></TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="39%" noWrap align=left><FONT size=1 face=sans-serif>Current dividend rate*</FONT>&nbsp;</TD>

   <TD width="30%" colSpan=2 noWrap align=middle><FONT size=1 face=sans-serif>6.52%</FONT>&nbsp;</TD>

   <TD width="30%" colSpan=2 noWrap align=middle><FONT size=1 face=sans-serif><FONT size=1 face=sans-serif>6.89%</FONT></FONT></TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><FONT size=1 face=sans-serif><BR>The classification of distributions, if any, is an estimate. Final distribution information will appear on your year-end tax forms.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>* Most recent distribution, excluding capital gains, annualized and divided by NAV or market price at end of period.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>12</FONT></P></DIV>

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<P style="TEXT-ALIGN: left"><B><FONT size=4 face=sans-serif>Terms and definitions</FONT></B></P>

<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Important terms</FONT></B></P>

<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Total return </FONT></B><FONT size=2 face=sans-serif>shows how the value of the fund&#8217;s shares changed over time, assuming you held the shares through the entire period and reinvested all distributions in the fund.</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Net asset value (NAV) </FONT></B><FONT size=2 face=sans-serif>is the value of all your fund&#8217;s assets, minus any liabilities, divided by the number of outstanding shares.</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Market price </FONT></B><FONT size=2 face=sans-serif>is the current trading price of one share of the fund. Market prices are set by transactions between buyers and sellers on exchanges such as the New York Stock&nbsp;Exchange.</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Current yield </FONT></B><FONT size=2 face=sans-serif>is the annual rate of return earned from dividends or interest of an investment. Current yield is expressed as a percentage of the price of a security, fund share, or principal investment.</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Comparative indexes</FONT></B></P>

<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Barclays Capital U.S. Aggregate Bond Index </FONT></B><FONT size=2 face=sans-serif>is an unmanaged index of U.S. investment-grade fixed-income securities.</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Barclays Capital Government/Credit Bond Index </FONT></B><FONT size=2 face=sans-serif>is an unmanaged index of U.S. Treasuries, agency securities, and investment-grade corporate bonds.</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>BofA (Bank of America) Merrill Lynch U.S. 3-Month Treasury Bill Index </FONT></B><FONT size=2 face=sans-serif>is an unmanaged index that seeks to measure the performance of&nbsp;U.S. Treasury bills available in the marketplace.</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Citigroup Non-U.S. World Government Bond Index </FONT></B><FONT size=2 face=sans-serif>is an unmanaged index generally considered to be representative of the world bond market excluding the United States.</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>JPMorgan Global High Yield Index </FONT></B><FONT size=2 face=sans-serif>is an unmanaged index of global high-yield fixed-income securities.</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>S&amp;P 500 Index </FONT></B><FONT size=2 face=sans-serif>is an unmanaged index of common stock performance.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>Indexes assume reinvestment of all distributions and do not account for fees. Securities and performance of a fund and an index will differ. You cannot invest directly in an index.</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Lipper </FONT></B><FONT size=2 face=sans-serif>is a third-party industry-ranking entity that ranks mutual funds. Its rankings do not reflect sales charges. Lipper rankings are based on total return at net asset value relative to other funds that have similar current investment styles or objectives as determined by Lipper. Lipper may change a fund&#8217;s category assignment at its discretion. Lipper category averages reflect performance trends for funds within a category.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>13</FONT></P></DIV>

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<P style="TEXT-ALIGN: left"><B><FONT size=4 face=sans-serif>Trustee approval of management contract</FONT></B></P>

<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>General conclusions</FONT></B></P>

<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>The Board of Trustees of the Putnam funds oversees the management of each fund and, as required by law, determines annually whether to approve the continuance of your fund&#8217;s management contract with Putnam Investment Management (&#8220;Putnam Management&#8221;) and the sub-management contract with respect to your fund between Putnam Management and its affiliate, Putnam Investments Limited (&#8220;PIL&#8221;).</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>The Board of Trustees, with the assistance of its Contract Committee, which consists solely of Trustees who are not &#8220;interested persons&#8221; (as this term is defined in the Investment Company Act of 1940, as amended) of the Putnam funds (&#8220;Independent Trustees&#8221;), requests and evaluates all information it deems reasonably necessary under the circumstances in connection with its annual contract review. Over the course of several months ending in June 2011, the Contract Committee met on a number of occasions with representatives of Putnam Management, and separately in executive session, to consider the information that Putnam Management provided and other information developed with the assistance of the Board&#8217;s independent counsel and independent staff. The Contract Committee reviewed and discussed key aspects of this information with all of the Independent Trustees on a number of occasions. At the Trustees&#8217; June&nbsp;17, 2011 meeting, the Contract Committee recommended, and the Independent Trustees approved, the continuance of your fund&#8217;s management and sub-management contracts, effective July 1, 2011. (Because PIL is an affiliate of Putnam Management and Putnam Management remains fully responsible for all services provided by PIL, the Trustees have not evaluated PIL as a separate entity, and all subsequent references to Putnam Management below </FONT><FONT size=2 face=sans-serif>should be deemed to include reference to PIL as necessary or appropriate in the context.)</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>The Independent Trustees&#8217; approval was based on the following conclusions:</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>&#8226; </FONT><FONT size=2 face=sans-serif>That the fee schedule in effect for your fund represented reasonable compensation in light of the nature and quality of the services being provided to the fund, the fees paid by competitive funds, and the costs incurred by Putnam Management in providing services, and</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>&#8226; </FONT><FONT size=2 face=sans-serif>That the fee schedule represented an appropriate sharing between fund shareholders and Putnam Management of such economies of scale as may exist in the management of the fund at current asset levels.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>These conclusions were based on a comprehensive consideration of all information provided to the Trustees and were not the result of any single factor. Some of the factors that figured particularly in the Trustees&#8217; deliberations and how the Trustees considered these factors are described below, although individual Trustees may have evaluated the information presented differently, giving different weights to various factors. It is also important to recognize that the management arrangements for your fund and the other Putnam funds are the result of many years of review and discussion between the Independent Trustees and Putnam Management, that some aspects of the arrangements may receive greater scrutiny in some years than others, and that the Trustees&#8217; conclusions may be based, in part, on their consideration of fee arrangements in previous years.</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Management fee schedules and total&nbsp;expenses</FONT></B></P>

<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>The Trustees reviewed the management fee schedules in effect for all Putnam funds, including fee levels and breakpoints. In reviewing management fees, the Trustees</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>14</FONT></P></DIV>

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<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>generally focus their attention on material changes in circumstances &#8212; for example, changes in assets under management or investment style, changes in Putnam Management&#8217;s operating costs, or changes in competitive practices in the mutual fund industry &#8212; that suggest that consideration of fee changes might be warranted. The Trustees concluded that the circumstances did not warrant changes to the management fee structure of your fund.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Your fund currently has the benefit of breakpoints in its management fee that provide shareholders with significant economies of scale in the form of reduced fee levels as the fund&#8217;s assets under management increase. In recent years, the Trustees have examined the operation of the existing breakpoint structure during periods of both growth and decline in asset levels. The Trustees concluded that the fee schedule in effect for your fund represented an appropriate sharing of economies of scale at that time.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>The Trustees reviewed comparative fee and expense information for a custom group of competitive funds selected by Lipper Inc. This comparative information included your fund&#8217;s percentile ranking for effective management fees and total expenses, which provides a general indication of your fund&#8217;s relative standing. In the custom peer group, your fund ranked in the 3rd quintile in effective management fees (determined for your fund and the other funds in the custom peer group based on fund asset size and the applicable contractual management fee schedule) and in the 1st quintile in total expenses as of December 31, 2010 (the first quintile representing the least expensive funds and the fifth quintile the most expensive funds). The fee and expense data reported by Lipper as of December 31, 2010 reflected the most recent fiscal year-end data available in Lipper&#8217;s database at that time.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>In connection with their review of the management fees and total expenses of the Putnam funds, the Trustees also reviewed the costs of the services provided and the profits realized by Putnam Management and its affiliates from their contractual relationships with the funds. This information included trends in revenues, expenses and profitability of Putnam Management and its affiliates relating to the investment management, investor servicing and distribution services provided to the funds. In this regard, the Trustees also reviewed an analysis of Putnam Management&#8217;s revenues, expenses and profitability, allocated on a fund-by-fund basis, with respect to the funds&#8217; management, distribution, and investor servicing contracts. For each fund, the analysis presented information about revenues, expenses and profitability for each of the agreements separately and for the agreements taken together on a combined basis. The Trustees concluded that, at current asset levels, the fee schedules in place represented reasonable compensation for the services being provided and represented an appropriate sharing of such economies of scale as may exist in the management of the funds at that time.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>The information examined by the Trustees as part of their annual contract review for the Putnam funds has included for many years information regarding fees charged by Putnam Management and its affiliates to institutional clients such as defined benefit pension plans, college endowments, and the like. This information included comparisons of those fees with fees charged to the funds, as well as an assessment of the differences in the services provided to these different types of clients. The Trustees observed that the differences in fee rates between institutional clients and mutual funds are by no means uniform when examined by individual asset sectors, suggesting that differences in the pricing of investment management services to these types of clients may reflect historical competitive forces</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>15</FONT></P></DIV>

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<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>operating in separate markets. The Trustees considered the fact that in many cases fee rates across different asset classes are higher on average for mutual funds than for institutional clients, as well as the differences between the services that Putnam Management provides to the Putnam funds and those that it provides to its institutional clients. The Trustees did not rely on these comparisons to any significant extent in concluding that the management fees paid by your fund are reasonable.</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Investment performance</FONT></B></P>

<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>The quality of the investment process provided by Putnam Management represented a major factor in the Trustees&#8217; evaluation of the quality of services provided by Putnam Management under your fund&#8217;s management contract. The Trustees were assisted in their review of the Putnam funds&#8217; investment process and performance by the work of several investment oversight committees of the Trustees, which met on a regular basis with the funds&#8217; portfolio teams and with the Chief Investment Officer and other members of Putnam Management&#8217;s Investment Division throughout the year. The Trustees concluded that Putnam Management generally provides a high-quality investment process &#8212; based on the experience and skills of the individuals assigned to the management of fund portfolios, the resources made available to them, and in general Putnam Management&#8217;s ability to attract and retain high-quality personnel &#8212; but also recognized that this does not guarantee favorable investment results for every fund in every time period. The Trustees considered the investment performance of each fund over multiple time periods and considered information comparing each fund&#8217;s performance with various benchmarks and with the performance of competitive funds.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>The Committee noted the substantial improvement in the performance of most Putnam funds during the 2009&#8211;2010 period and Putnam Management&#8217;s ongoing efforts </FONT><FONT size=2 face=sans-serif>to strengthen its investment personnel and processes. The Committee also noted the disappointing investment performance of some funds for periods ended December 31, 2010 and considered information provided by Putnam Management regarding the factors contributing to the underperformance and actions being taken to improve the performance of these particular funds. The Trustees indicated their intention to continue to monitor performance trends to assess the effectiveness of these efforts and to evaluate whether additional actions to address areas of underperformance are warranted.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>In the case of your fund, the Trustees considered that its common share cumulative total return performance at net asset value was in the following quartiles of its Lipper Inc. peer group (Lipper Flexible Income Funds (closed-end)) for the one-year, three-year and five-year periods ended December 31, 2010 (the first quartile representing the best-performing funds and the fourth quartile the worst-performing funds):</FONT></P>

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   <TD width="25%" noWrap align=left><FONT size=1 face=sans-serif>One-year period</FONT>&nbsp;</TD>

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   <TD width="25%" noWrap align=left><FONT size=1 face=sans-serif>Three-year period</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>3rd</FONT>&nbsp;</TD>

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   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>4th</FONT>&nbsp;</TD>

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<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Over the one-year, three-year and five-year periods ended December 31, 2010, there were 6, 5 and 5 funds, respectively, in your fund&#8217;s Lipper peer group. (When considering performance information, shareholders should be mindful that past performance is not a guarantee of future results.)</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>The Trustees expressed concern about your fund&#8217;s fourth quartile performance over the five-year period ended December 31, 2010 and considered the circumstances that may have contributed to this disappointing performance. The Trustees considered Putnam Management&#8217;s observation that the fund&#8217;s underperformance over this period was due in significant part to the fund&#8217;s investments in commercial and residential mortgage-backed</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>16</FONT></P></DIV>

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<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>securities, which exhibited significant volatility and underperformed during the economic downturn in 2008. The Trustees also considered that the fund&#8217;s relative performance over the one-year and three-year periods ended December 31, 2010 showed improvement, with the fund placing in the second and third quartiles, respectively, of its Lipper peer group. They also considered a number of other changes that Putnam Management had made in recent years in efforts to support and improve fund performance generally. In particular, the Trustees recognized that Putnam Management has realigned the compensation structure for portfolio managers and research analysts so that only those who achieve top-quartile returns over a rolling three-year basis are eligible for full bonuses. The Trustees noted that one of your fund&#8217;s portfolio managers, Rob Bloemker, had left Putnam Management in March 2011, and considered that the remaining management team had significant long-term experience.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>As a general matter, the Trustees believe that cooperative efforts between the Trustees and Putnam Management represent the most effective way to address investment performance problems. The Trustees noted that investors in the Putnam funds have, in effect, placed their trust in the Putnam organization, under the oversight of the funds&#8217; Trustees, to make appropriate decisions regarding the management of the funds. Based on the responsiveness of Putnam Management in the recent past to performance issues, the Trustees concluded that it is preferable to seek change within Putnam Management to address performance shortcomings. In the Trustees&#8217; view, the alternative of engaging a new investment adviser for an underperforming fund would entail significant disruptions and would not provide any greater assurance of improved investment performance.</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Brokerage and soft-dollar allocations; investor servicing</FONT></B></P>

<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>The Trustees considered various potential benefits that Putnam Management may receive in connection with the services it provides under the management contract with your fund. These include benefits related to brokerage allocation and the use of soft dollars, whereby a portion of the commissions paid by a fund for brokerage may be used to acquire research services that are expected to be useful to Putnam Management in managing the assets of the fund and of other clients. Subject to policies established by the Trustees, soft-dollar credits acquired through these means are used primarily to supplement Putnam Management&#8217;s internal research efforts. However, the Trustees noted that a portion of available soft-dollar credits continues to be allocated to the payment of fund expenses. The Trustees indicated their continued intent to monitor regulatory developments in this area with the assistance of their Brokerage Committee and also indicated their continued intent to monitor the potential benefits associated with fund brokerage and soft-dollar allocations and trends in industry practices to ensure that the principle of seeking best price and execution remains paramount in the portfolio trading process.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Putnam Management may also receive benefits from payments that the funds make to Putnam Management&#8217;s affiliates for investor services. In conjunction with the annual review of your fund&#8217;s management contract, the Trustees reviewed your fund&#8217;s investor servicing agreement with Putnam Investor Services, Inc. (&#8220;PSERV&#8221;), an affiliate of Putnam Management. The Trustees concluded that the fees payable by the funds to PSERV for such services are reasonable in relation to the nature and quality of such services.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>17</FONT></P></DIV>

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<P style="TEXT-ALIGN: left"><B><FONT size=4 face=sans-serif>Other information for shareholders</FONT></B></P>

<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Important notice regarding share repurchase program</FONT></B></P>

<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>In September 2011, the Trustees of your fund approved the renewal of a share repurchase program that had been in effect since 2005. This renewal will allow your fund to repurchase, in the 12 months beginning October 8, 2011, up to 10% of the fund&#8217;s common shares outstanding as of October 7, 2011.</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Important notice regarding Putnam&#8217;s privacy policy</FONT></B></P>

<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>In order to conduct business with our shareholders, we must obtain certain personal information such as account holders&#8217; names, addresses, Social Security numbers, and dates of birth. Using this information, we are able to maintain accurate records of accounts and transactions.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>It is our policy to protect the confidentiality of our shareholder information, whether or not a shareholder currently owns shares of our funds. In particular, it is our policy not to sell information about you or your accounts to outside marketing firms. We have safeguards in place designed to prevent unauthorized access to our computer systems and procedures to protect personal information from unauthorized use.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Under certain circumstances, we must share account information with outside vendors who provide services to us, such as mailings and proxy solicitations. In these cases, the service providers enter into confidentiality agreements with us, and we provide only the information necessary to process transactions and perform other services related to your account. Finally, it is our policy to share account information with your financial representative, if you&#8217;ve listed one on your Putnam account.</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Proxy voting</FONT></B></P>

<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Putnam is committed to managing our mutual funds in the best interests of our shareholders. The Putnam funds&#8217; proxy voting guidelines and procedures, as well as information regarding how your fund voted proxies relating to portfolio securities during the 12-month period ended June 30, 2011, are available in the Individual Investors section at putnam.com, and on the SEC&#8217;s website, www.sec.gov. If you have questions about finding forms on the SEC&#8217;s website, you may call the SEC at 1-800-SEC-0330. You may also obtain the Putnam funds&#8217; proxy voting guidelines and procedures at no charge by calling Putnam&#8217;s Shareholder Services at 1-800-225-1581.</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Fund portfolio holdings</FONT></B></P>

<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>The fund will file a complete schedule of its portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Shareholders may obtain the fund&#8217;s Forms N-Q on the SEC&#8217;s website at www.sec.gov. In addition, the fund&#8217;s Forms N-Q may be reviewed and copied at the SEC&#8217;s Public Reference Room in Washington, D.C. You may call the SEC at 1-800-SEC-0330 for information about the SEC&#8217;s website or the operation of the Public Reference Room.</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Trustee and employee fund ownership</FONT></B></P>

<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Putnam employees and members of the Board of Trustees place their faith, confidence, and, most importantly, investment dollars in Putnam mutual funds. As of September 30, 2011, Putnam employees had approximately $298,000,000 and the Trustees had approximately $65,000,000 invested in Putnam mutual funds. These amounts include investments by the Trustees&#8217; and employees&#8217; immediate family members as well as investments through retirement and deferred compensation plans.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>18</FONT></P></DIV>

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<P style="TEXT-ALIGN: left"><B><FONT size=4 face=sans-serif>Financial statements</FONT></B></P>

<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>These sections of the report, as well as the accompanying Notes, preceded by the Report of Independent Registered Public Accounting Firm, constitute the fund&#8217;s financial statements.</FONT></B></P>

<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>The fund&#8217;s portfolio </FONT></B><FONT size=2 face=sans-serif>lists all the fund&#8217;s investments and their values as of the last day of the reporting period. Holdings are organized by asset type and industry sector, country, or state to show areas of concentration and diversification.</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Statement of assets and liabilities </FONT></B><FONT size=2 face=sans-serif>shows how the fund&#8217;s net assets and share price are determined. All investment and non-investment assets are added together. Any unpaid expenses and other liabilities are subtracted from this total. The result is divided by the number of shares to determine the net asset value per share. (For funds with preferred shares, the amount subtracted from total assets includes the liquidation preference of preferred shares.)</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Statement of operations </FONT></B><FONT size=2 face=sans-serif>shows the fund&#8217;s net investment gain or loss. This is done by first adding up all the fund&#8217;s earnings &#8212; from dividends and interest income &#8212; and subtracting its operating expenses to determine net </FONT><FONT size=2 face=sans-serif>investment income (or loss). Then, any net gain or loss the fund realized on the sales of its holdings &#8212; as well as any unrealized gains or losses over the period &#8212; is added to or subtracted from the net investment result to determine the fund&#8217;s net gain or loss for the fiscal year.</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Statement of changes in net assets </FONT></B><FONT size=2 face=sans-serif>shows how the fund&#8217;s net assets were affected by the fund&#8217;s net investment gain or loss, by distributions to shareholders, and by changes in the number of the fund&#8217;s shares. It lists distributions and their sources (net investment income or realized capital gains) over the current reporting period and the most recent fiscal year-end. The distributions listed here may not match the sources listed in the Statement of operations because the distributions are determined on a tax basis and may be paid in a different period from the one in which they were earned.</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Financial highlights </FONT></B><FONT size=2 face=sans-serif>provide an overview of the fund&#8217;s investment results, per-share distributions, expense ratios, net investment income ratios, and portfolio turnover in one summary table, reflecting the five most recent reporting periods. In a semiannual report, the highlights table also includes the current reporting period.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>19</FONT></P></DIV>

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<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Report of Independent Registered Public Accounting Firm</FONT></B></P>

<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>To the Board of Trustees and Shareholders of</FONT><BR><FONT size=2 face=sans-serif>Putnam Master Intermediate Income Trust:</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>We have audited the accompanying statement of assets and liabilities of Putnam Master Intermediate Income Trust (the fund), including the fund&#8217;s portfolio, as of September 30, 2011, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended and the financial highlights for each of the years in the five-year period then ended. These financial statements and financial highlights are the responsibility of the fund&#8217;s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform our audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September&nbsp;30, 2011 by correspondence with the custodian and brokers or by other appropriate auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Putnam Master Intermediate Income Trust as of September 30, 2011, the results of its operations for the year then ended, the changes in its net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the five-year period then ended, in conformity with U.S. generally accepted accounting principles.</FONT></P>
<IMG border=0 src="mastintmedincx21x1.jpg"> <BR>

<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Boston, Massachusetts</FONT><BR><FONT size=2 face=sans-serif>November 17, 2011</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>20</FONT></P></DIV>

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<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>The fund&#8217;s portfolio </FONT></B><FONT size=2 face=sans-serif>9/30/11</FONT></P>

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<TR>

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<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><B><FONT size=1 face=sans-serif>CORPORATE BONDS AND NOTES (29.1%)*</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Principal amount</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR height=20>

   <TD width="99%" colSpan=4 noWrap align=left><B><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

</FONT></B>&nbsp;</TD></TR>

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   <TD width="59%" noWrap align=left><B><FONT size=1 face=sans-serif>Basic materials (2.5%)</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Associated Materials, LLC company guaranty sr. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>9 1/8s, 2017</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$260,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$210,600</FONT>&nbsp;</TD></TR>

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   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Atkore International, Inc. 144A sr. notes 9 7/8s, 2018</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>177,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>160,185</FONT>&nbsp;</TD></TR>

<TR>

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</TD></TR>

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   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Catalyst Paper Corp. 144A company guaranty sr. notes 11s,</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>2016 (Canada)</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>27,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>17,550</FONT>&nbsp;</TD></TR>

<TR>

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   <HR SIZE=1 noShade>

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<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Celanese US Holdings, LLC company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>6 5/8s, 2018 (Germany)</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>270,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>279,113</FONT>&nbsp;</TD></TR>

<TR>

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</TD></TR>

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   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Celanese US Holdings, LLC sr. notes 5 7/8s, 2021 (Germany)</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>185,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>182,225</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Clondalkin Acquisition BV 144A company guaranty sr. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>FRN 2.347s, 2013 (Netherlands)</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>75,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>66,750</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Dynacast International, LLC/Dynacast Finance, Inc. 144A notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>9 1/4s, 2019</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>60,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>56,250</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Exopack Holding Corp. 144A sr. notes 10s, 2018</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>150,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>140,250</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Ferro Corp. sr. unsec. notes 7 7/8s, 2018</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>423,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>423,000</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>FMG Resources August 2006 Pty, Ltd. 144A sr. notes 7s,</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>2015 (Australia)</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>284,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>268,380</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>FMG Resources August 2006 Pty, Ltd. 144A sr. notes 6 7/8s,</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>2018 (Australia)</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>180,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>166,500</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Grohe Holding GmbH 144A company guaranty sr. notes FRN</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>5.528s, 2017 (Germany)</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>313,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>378,689</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>company guaranty notes 9s, 2020</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$205,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>150,163</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>company guaranty sr. notes 8 7/8s, 2018</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>160,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>132,000</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Huntsman International, LLC company guaranty sr. unsec.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>sub. notes 8 5/8s, 2021</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>287,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>274,803</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>INEOS Finance PLC 144A company guaranty sr. notes 9s, 2015</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>(United Kingdom)</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>200,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>197,000</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>INEOS Group Holdings, Ltd. company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Ser. REGS, 7 7/8s, 2016 (United Kingdom)</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>238,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>221,326</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Kronos International, Inc. sr. notes 6 1/2s, 2013 (Germany)</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>288,800</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>373,761</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Lyondell Chemical Co. sr. notes 11s, 2018</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$935,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,009,800</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Lyondell Chemical Co. 144A company guaranty sr. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>8s, 2017</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>439,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>473,023</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Momentive Performance Materials, Inc. notes 9s, 2021</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>296,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>202,760</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>NewPage Corp. company guaranty sr. notes 11 3/8s, 2014</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>(In default) &#8224;</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>105,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>77,963</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Nexeo Solutions, LLC/Nexeo Solutions Finance Corp. 144A</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>company guaranty sr. sub. notes 8 3/8s, 2018</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>60,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>59,250</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Novelis, Inc. company guaranty sr. unsec. notes 8 3/4s, 2020</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>215,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>210,700</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Novelis, Inc. company guaranty sr. unsec. notes 7 1/4s, 2015</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>243,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>238,748</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>PE Paper Escrow GmbH sr. notes Ser. REGS, 11 3/4s, 2014</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>(Austria)</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>405,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>562,506</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Pregis Corp. company guaranty sr. sub. notes 12 3/8s, 2013</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$110,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>100,100</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Rockwood Specialties Group, Inc. company</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>guaranty sr. unsec. sub. notes 7 5/8s, 2014</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>50,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>66,000</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Sealed Air Corp. 144A sr. unsec. notes 8 3/8s, 2021&nbsp;<FONT lang=EN-US size=1 face=Arial>&#8710;</FONT></FONT></TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$80,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>80,800</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>21</FONT></P></DIV>

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<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="59%"></TD>

   <TD width="10%" align=right></TD>

   <TD width="15%"></TD>

   <TD width="15%"></TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><B><FONT size=1 face=sans-serif>CORPORATE BONDS AND NOTES (29.1%)* </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Principal amount</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR height=20>

   <TD width="99%" colSpan=4 noWrap align=left><B><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><B><FONT size=1 face=sans-serif>Basic materials </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>SGL Carbon SE company guaranty sr. sub. notes FRN</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Ser. EMTN, 2.785s, 2015 (Germany)</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>152,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$193,807</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Smurfit Kappa Funding PLC sr. unsec. sub. notes 7 3/4s,</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>2015 (Ireland)</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$115,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>110,400</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Solutia, Inc. company guaranty sr. unsec. notes 8 3/4s, 2017</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>143,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>152,295</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Solutia, Inc. company guaranty sr. unsec. notes 7 7/8s, 2020</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>321,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>337,050</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>7 3/8s, 2012</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>25,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>25,563</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Steel Dynamics, Inc. sr. unsec. unsub. notes 7 3/4s, 2016</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>269,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>267,655</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Styrolution Group GmbH 144A sr. notes 7 5/8s, 2016 (Germany)</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>100,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>99,132</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Teck Resources Limited sr. notes 10 1/4s, 2016 (Canada)</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$177,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>208,081</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Thompson Creek Metals Co., Inc. 144A company guaranty</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>sr. notes 7 3/8s, 2018 (Canada)</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>105,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>94,500</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>TPC Group, LLC 144A sr. notes 8 1/4s, 2017</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>231,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>226,380</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Tube City IMS Corp. company guaranty sr. unsec. sub. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>9 3/4s, 2015</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>218,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>208,190</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Verso Paper Holdings, LLC/Verso Paper, Inc. company guaranty</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>sr. notes 8 3/4s, 2019</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>85,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>58,650</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Verso Paper Holdings, LLC/Verso Paper, Inc. sr. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>11 1/2s, 2014</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>175,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>182,000</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>8,943,898</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><B><FONT size=1 face=sans-serif>Capital goods (1.5%)</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Alliant Techsystems, Inc. sr. sub. notes 6 3/4s, 2016</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>199,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>199,498</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Altra Holdings, Inc. company guaranty sr. notes 8 1/8s, 2016</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>95,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>96,900</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>American Axle &amp; Manufacturing, Inc. company guaranty</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>sr. unsec. notes 5 1/4s, 2014</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>104,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>97,760</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>American Axle &amp; Manufacturing, Inc. company guaranty</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>sr. unsec. unsub. notes 7 7/8s, 2017</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>35,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>32,900</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>American Axle &amp; Manufacturing, Inc. 144A company guaranty</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>sr. notes 9 1/4s, 2017</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>81,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>84,240</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Ardagh Packaging Finance PLC sr. notes Ser. REGS, 7 3/8s,</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>2017 (Ireland)</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>140,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>174,796</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>BE Aerospace, Inc. sr. unsec. unsub. notes 6 7/8s, 2020</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$298,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>312,155</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Berry Plastics Corp. company guaranty notes FRN 4.222s, 2014</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>200,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>168,000</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Berry Plastics Corp. company guaranty sr. notes 9 1/2s, 2018</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>97,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>82,450</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Berry Plastics Corp. notes 9 3/4s, 2021</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>24,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>20,400</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Briggs &amp; Stratton Corp. company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>6 7/8s, 2020</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$147,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>148,470</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Crown Americas, LLC/Crown Americas Capital Corp. III 144A</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>sr. notes 6 1/4s, 2021</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>140,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>140,000</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Crown Euro Holdings SA 144A sr. notes 7 1/8s, 2018 (France)</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>50,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>64,879</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Graham Packaging Co., LP/GPC Capital Corp. company</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>guaranty sr. unsec. notes 8 1/4s, 2017</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$100,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>100,625</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Kratos Defense &amp; Security Solutions, Inc. company guaranty</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>sr. notes 10s, 2017</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>382,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>380,090</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Kratos Defense &amp; Security Solutions, Inc. 144A company</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>guaranty sr. notes 10s, 2017</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>36,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>35,820</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Mueller Water Products, Inc. company guaranty sr. unsec.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>unsub. notes 8 3/4s, 2020</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>24,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>23,640</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Pittsburgh Glass Works, LLC 144A sr. notes 8 1/2s, 2016</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>253,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>232,760</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>22</FONT></P></DIV>

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<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="59%"></TD>

   <TD width="10%" align=right></TD>

   <TD width="15%"></TD>

   <TD width="15%"></TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><B><FONT size=1 face=sans-serif>CORPORATE BONDS AND NOTES (29.1%)* </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Principal amount</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR height=20>

   <TD width="99%" colSpan=4 noWrap align=left><B><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><B><FONT size=1 face=sans-serif>Capital goods </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Polypore International, Inc. company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>7 1/2s, 2017</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$115,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$115,575</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Rexel SA company guaranty sr. unsec. notes 8 1/4s, 2016</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>(France)</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>229,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>306,624</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Reynolds Group DL Escrow, Inc./Reynolds Group Escrow, LLC</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>144A sr. notes 8 3/4s, 2016 (Luxembourg)</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>377,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>484,604</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Reynolds Group Issuer, Inc. 144A company guaranty sr. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>7 1/8s, 2019</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$130,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>120,900</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Reynolds Group Issuer, Inc. 144A company guaranty sr. unsec.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>notes 9s, 2019</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>100,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>85,000</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Reynolds Group Issuer Lu 144A sr. notes 7 7/8s, 2019</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>100,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>96,500</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Reynolds Group Issuer Lu 144A sr. unsec. notes 9 7/8s, 2019</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>100,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>88,000</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Ryerson, Inc. company guaranty sr. notes 12s, 2015</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>334,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>334,000</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Tenneco, Inc. company guaranty sr. unsec. unsub. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>7 3/4s, 2018</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>150,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>150,750</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Tenneco, Inc. company guaranty sr. unsub. notes 6 7/8s, 2020</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>140,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>135,800</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Terex Corp. sr. unsec. sub. notes 8s, 2017</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>58,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>51,330</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Thermadyne Holdings Corp. company guaranty sr. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>9s, 2017</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>323,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>316,540</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Thermon Industries, Inc. company guaranty sr. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>9 1/2s, 2017</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>117,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>121,680</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>TransDigm, Inc. company guaranty unsec. sub. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>7 3/4s, 2018</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>290,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>295,075</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Zinc Capital SA 144A sr. notes 8 7/8s, 2018 (Luxembourg)</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>110,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>113,790</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>5,211,551</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><B><FONT size=1 face=sans-serif>Communication services (3.7%)</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>AMC Networks, Inc. 144A company guaranty sr. unsec notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>7 3/4s, 2021</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$85,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>87,125</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Bresnan Broadband Holdings, LLC 144A company guaranty</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>sr. unsec. unsub. notes 8s, 2018</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>75,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>75,750</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Cablevision Systems Corp. sr. unsec. unsub. notes 8 5/8s, 2017</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>200,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>208,250</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Cablevision Systems Corp. sr. unsec. unsub. notes 8s, 2020</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>150,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>152,625</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>CCO Holdings, LLC/CCO Holdings Capital Corp. company</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>guaranty sr. unsec. notes 6 1/2s, 2021</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>199,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>187,060</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>CCO Holdings, LLC/CCO Holdings Capital Corp. company</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>guaranty sr. unsub. notes 7s, 2019</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>172,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>166,840</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Cequel Communications Holdings I LLC/Cequel Capital Corp.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>144A sr. notes 8 5/8s, 2017</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>146,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>144,540</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Cincinnati Bell, Inc. company guaranty sr. unsec. notes 7s, 2015</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>88,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>86,900</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Cincinnati Bell, Inc. company guaranty sr. unsec. sub. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>8 3/4s, 2018</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>270,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>237,600</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Clearwire Communications, LLC/Clearwire Finance, Inc. 144A</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>company guaranty sr. notes 12s, 2015</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>760,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>644,100</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Cricket Communications, Inc. company guaranty sr. unsec.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>notes 7 3/4s, 2020</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>258,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>224,460</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Cricket Communications, Inc. company guaranty sr. unsec.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>unsub. notes 10s, 2015</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>354,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>351,345</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>23</FONT></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="59%"></TD>

   <TD width="10%" align=right></TD>

   <TD width="15%"></TD>

   <TD width="15%"></TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><B><FONT size=1 face=sans-serif>CORPORATE BONDS AND NOTES (29.1%)* </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Principal amount</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR height=20>

   <TD width="99%" colSpan=4 noWrap align=left><B><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><B><FONT size=1 face=sans-serif>Communication services </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Cricket Communications, Inc. company guaranty sr. unsub.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>notes 7 3/4s, 2016</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$480,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$481,800</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Crown Castle International Corp. sr. unsec. notes 7 1/8s, 2019</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>70,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>72,100</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>CSC Holdings LLC sr. notes 6 3/4s, 2012</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>81,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>82,418</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>CSC Holdings LLC sr. unsec. unsub. notes 8 1/2s, 2014</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>60,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>64,725</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Digicel, Ltd. 144A sr. unsec. notes 8 1/4s, 2017 (Jamaica)</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>326,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>306,440</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>EH Holding Corp. 144A sr. notes 6 1/2s, 2019</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>150,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>144,375</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>EH Holding Corp. 144A sr. unsec. notes 7 5/8s, 2021</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>301,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>289,713</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Equinix, Inc. sr. unsec. notes 7s, 2021</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>130,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>129,350</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Frontier Communications Corp. sr. unsec. notes 8 1/8s, 2018</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>753,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>724,763</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Inmarsat Finance PLC 144A company guaranty sr. notes 7 3/8s,</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>2017 (United Kingdom)</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>365,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>365,913</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Intelsat Jackson Holdings SA 144A company guaranty sr. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>7 1/2s, 2021 (Bermuda)</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>212,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>197,160</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Intelsat Luxembourg SA company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>11 1/2s, 2017 (Luxembourg) &#8225;&#8225;</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>871,812</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>749,758</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Intelsat Luxembourg SA company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>11 1/4s, 2017 (Luxembourg)</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>253,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>219,478</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Intelsat Luxembourg SA 144A company guaranty sr. unsec.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>notes 11 1/2s, 2017 (Luxembourg) &#8225;&#8225;</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>135,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>116,100</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Kabel BW Erste Beteiligungs GmbH/Kabel Baden-Wurttemberg</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>GmbH &amp; Co. KG 144A company guaranty sr. notes 7 1/2s, 2019</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>(Germany)</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>130,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>168,719</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Kabel Deutchland GmbH 144A sr. notes 6 1/2s, 2018 (Germany)</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>105,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>140,344</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Level 3 Escrow, Inc. 144A sr. unsec. notes 8 1/8s, 2019</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$40,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>35,350</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Level 3 Financing, Inc. company guaranty sr. unsec. unsub.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>notes 9 1/4s, 2014</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>220,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>217,250</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Level 3 Financing, Inc. 144A company guaranty sr. unsec. unsub.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>notes 9 3/8s, 2019</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>124,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>115,320</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Mediacom LLC/Mediacom Capital Corp. sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>9 1/8s, 2019</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>59,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>58,705</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>MetroPCS Wireless, Inc. company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>7 7/8s, 2018</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>407,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>396,825</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>NII Capital Corp. company guaranty sr. unsec. unsub. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>10s, 2016</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>360,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>394,200</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>NII Capital Corp. company guaranty sr. unsec. unsub. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>7 5/8s, 2021</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>65,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>66,300</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>PAETEC Holding Corp. company guaranty sr. notes 8 7/8s, 2017</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>261,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>274,050</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>PAETEC Holding Corp. company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>9 7/8s, 2018</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>156,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>163,410</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Phones4U Finance PLC 144A sr. notes 9 1/2s, 2018</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>(United Kingdom)</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>GBP</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>180,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>205,280</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Qwest Communications International, Inc. company guaranty</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>7 1/2s, 2014</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$181,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>181,000</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Qwest Corp. sr. unsec. notes 7 1/2s, 2014</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>75,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>81,000</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>SBA Telecommunications, Inc. company guaranty sr. unsec.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>notes 8 1/4s, 2019</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>105,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>110,250</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>SBA Telecommunications, Inc. company guaranty sr. unsec.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>notes 8s, 2016</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>180,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>188,550</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>24</FONT></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="59%"></TD>

   <TD width="10%" align=right></TD>

   <TD width="15%"></TD>

   <TD width="15%"></TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><B><FONT size=1 face=sans-serif>CORPORATE BONDS AND NOTES (29.1%)* </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Principal amount</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR height=20>

   <TD width="99%" colSpan=4 noWrap align=left><B><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><B><FONT size=1 face=sans-serif>Communication services </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Sprint Nextel Corp. sr. notes 8 3/8s, 2017</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$1,100,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$1,023,000</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Sprint Nextel Corp. sr. unsec. notes 6s, 2016</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>117,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>100,620</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Sunrise Communications Holdings SA 144A company</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>guaranty sr. notes 8 1/2s, 2018 (Luxembourg)</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>100,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>124,899</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Unitymedia GmbH company guaranty sr. notes Ser. REGS,</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>9 5/8s, 2019 (Germany)</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>293,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>380,864</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Unitymedia Hessen GmbH &amp; Co. KG/Unitymedia NRW GmbH</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>144A company guaranty sr. notes 8 1/8s, 2017 (Germany)</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>218,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>291,313</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>UPC Holdings BV sr. notes 9 3/4s, 2018 (Netherlands)</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>361,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>480,805</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Virgin Media Finance PLC company guaranty sr. unsec. bond</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>8 7/8s, 2019 (United Kingdom)</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>GBP</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>50,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>81,968</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Wind Acquisition Finance SA sr. notes Ser. REGS, 11 3/4s,</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>2017 (Netherlands)</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>130,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>144,052</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Wind Acquisition Finance SA 144A company guaranty sr. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>7 3/8s, 2018 (Netherlands)</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>325,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>368,263</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Wind Acquisition Holding company guaranty sr. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Ser. REGS, 12 1/4s, 2017 (Luxembourg) &#8225;&#8225;</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>145,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>158,235</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Windstream Corp. company guaranty sr. unsec. unsub. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>8 1/8s, 2018</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$60,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>60,450</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Windstream Corp. company guaranty sr. unsec. unsub. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>7 7/8s, 2017</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>247,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>250,088</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Windstream Corp. company guaranty sr. unsec. unsub. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>7 3/4s, 2021</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>109,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>105,185</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>12,876,983</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><B><FONT size=1 face=sans-serif>Conglomerates (0.1%)</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>SPX Corp. company guaranty sr. unsec. notes 6 7/8s, 2017</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>70,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>71,750</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>SPX Corp. sr. unsec. notes 7 5/8s, 2014</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>115,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>123,050</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>194,800</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><B><FONT size=1 face=sans-serif>Consumer cyclicals (5.3%)</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Academy Ltd./Academy Finance Corp. 144A company</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>guaranty sr. unsec. notes 9 1/4s, 2019</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>25,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>23,250</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Affinion Group Holdings, Inc. company guaranty sr. unsec.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>notes 11 5/8s, 2015</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>20,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>15,400</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Affinion Group, Inc. company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>7 7/8s, 2018</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>407,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>313,390</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Affinion Group, Inc. company guaranty sr. unsec. sub. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>11 1/2s, 2015</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>250,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>195,000</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>AMC Entertainment, Inc. company guaranty sr. sub. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>9 3/4s, 2020</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>170,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>153,850</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>American Casino &amp; Entertainment Properties LLC sr. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>11s, 2014</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>238,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>230,265</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Ameristar Casinos, Inc. 144A sr. notes 7 1/2s, 2021</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>170,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>164,475</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>ARAMARK Holdings Corp. 144A sr. unsec. notes 8 5/8s, 2016 &#8225;&#8225;</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>74,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>72,890</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Autonation, Inc. company guaranty sr. unsec. notes 6 3/4s 2018</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>255,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>260,100</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Beazer Homes USA, Inc. company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>6 7/8s, 2015</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>75,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>50,625</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Beazer Homes USA, Inc. sr. unsec. notes 9 1/8s, 2019</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>71,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>45,085</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Bon-Ton Department Stores, Inc. (The) company guaranty</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>10 1/4s, 2014</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>285,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>228,000</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Brickman Group Holdings, Inc. 144A sr. notes 9 1/8s, 2018</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>52,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>45,890</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>25</FONT></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="59%"></TD>

   <TD width="10%" align=right></TD>

   <TD width="15%"></TD>

   <TD width="15%"></TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><B><FONT size=1 face=sans-serif>CORPORATE BONDS AND NOTES (29.1%)* </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Principal amount</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR height=20>

   <TD width="99%" colSpan=4 noWrap align=left><B><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><B><FONT size=1 face=sans-serif>Consumer cyclicals </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Building Materials Corp. 144A company guaranty sr. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>7 1/2s, 2020</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$100,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$102,000</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Building Materials Corp. 144A sr. notes 6 7/8s, 2018</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>75,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>72,750</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Building Materials Corp. 144A sr. notes 6 3/4s, 2021</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>180,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>171,000</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Burlington Coat Factory Warehouse Corp. 144A company</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>guaranty sr. unsec. notes 10s, 2019</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>140,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>119,000</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Caesars Entertainment Operating Co., Inc. company guaranty</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>sr. notes 10s, 2018</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>500,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>297,500</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Caesars Entertainment Operating Co., Inc. sr. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>11 1/4s, 2017</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>350,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>353,063</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Carlson Wagonlit BV company guaranty sr. sec. notes FRN</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Ser. REGS, 7.36s, 2015 (Netherlands)</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>275,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>276,374</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Cedar Fair LP/Canada&#8217;s Wonderland Co./Magnum</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Management Corp. company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>9 1/8s, 2018</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$70,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>72,275</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Cenveo Corp. company guaranty sr. notes 8 7/8s, 2018</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>110,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>86,625</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Cenveo Corp. 144A company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>10 1/2s, 2016</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>120,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>96,000</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Chrysler Group, LLC/CG Co-Issuer, Inc. 144A company</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>guaranty sr. notes 8 1/4s, 2021</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>305,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>235,613</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Cinemark USA, Inc. company guaranty sr. unsec. sub. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>7 3/8s, 2021</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>40,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>37,800</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>CityCenter Holdings LLC/CityCenter Finance Corp. 144A</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>company guaranty sr. notes 10 3/4s, 2017 &#8225;&#8225;</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>286,063</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>259,602</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Clear Channel Communications, Inc. company guaranty sr. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>9s, 2021</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>135,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>100,238</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Clear Channel Communications, Inc. company guaranty unsec.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>unsub. notes 10 3/4s, 2016</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>99,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>51,233</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Clear Channel Worldwide Holdings, Inc. company guaranty</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>sr. unsec. unsub. notes Ser. B, 9 1/4s, 2017</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>453,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>463,193</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Compucom Systems, Inc. 144A sr. sub. notes 12 1/2s, 2015</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>155,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>155,775</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Conti-Gummi Finance B.V. company guaranty bonds Ser. REGS,</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>7 1/8s, 2018 (Netherlands)</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>307,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>385,178</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Cumulus Media, Inc. 144A sr. notes 7 3/4s, 2019</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$235,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>197,988</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>DIRECTV Holdings, LLC/DIRECTV Financing Co., Inc. company</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>guaranty sr. unsec. notes 7 5/8s, 2016</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>117,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>125,775</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>DISH DBS Corp. company guaranty 6 5/8s, 2014</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>517,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>522,816</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>DISH DBS Corp. company guaranty sr. unsec. notes 7 3/4s, 2015</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>117,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>119,925</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>DISH DBS Corp. 144A company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>6 3/4s, 2021</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>192,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>183,360</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>FelCor Lodging Escrow, LP 144A sr. notes 6 3/4s, 2019 </FONT><B><SUP><FONT size=1 face=sans-serif>R</FONT></SUP></B>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>300,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>268,500</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Ford Motor Credit Co., LLC sr. unsec. notes 7s, 2015</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>125,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>131,250</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Ford Motor Credit Co., LLC sr. unsec. notes 5s, 2018</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>385,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>371,878</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Ford Motor Credit Co., LLC sr. unsec. unsub. notes 5 7/8s, 2021</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>410,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>407,950</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>General Motors Financial Co., Inc. 144A sr. notes 6 3/4s, 2018</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>135,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>132,300</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Gray Television, Inc. company guaranty sr. notes 10 1/2s, 2015</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>210,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>190,050</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Grupo Televisa, S.A.B sr. unsec. notes 6s, 2018 (Mexico)</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>460,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>501,400</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Hanesbrands, Inc. company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>6 3/8s, 2020</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>175,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>169,750</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>26</FONT></P></DIV>

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   <TD width="59%" noWrap align=left><B><FONT size=1 face=sans-serif>CORPORATE BONDS AND NOTES (29.1%)* </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Principal amount</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR height=20>

   <TD width="99%" colSpan=4 noWrap align=left><B><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><B><FONT size=1 face=sans-serif>Consumer cyclicals </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Interactive Data Corp. company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>10 1/4s, 2018</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$434,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$466,550</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Isle of Capri Casinos, Inc. company guaranty 7s, 2014</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>150,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>136,313</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Isle of Capri Casinos, Inc. company guaranty sr. unsec. unsub.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>notes 7 3/4s, 2019</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>356,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>324,850</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>ISS Holdings A/S sr. sub. notes Ser. REGS, 8 7/8s, 2016</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>(Denmark)</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>505,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>599,909</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Jarden Corp. company guaranty sr. unsec. sub. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>7 1/2s, 2017</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$165,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>168,300</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Jarden Corp. company guaranty sr. unsec. sub. notes Ser. 1,</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>7 1/2s, 2020</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>50,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>61,557</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Lamar Media Corp. company guaranty sr. notes 9 3/4s, 2014</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$100,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>110,250</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Lender Processing Services, Inc. company guaranty sr. unsec.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>unsub. notes 8 1/8s, 2016</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>795,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>747,300</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Levi Strauss &amp; Co. sr. unsec. notes 8 7/8s, 2016</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>70,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>70,700</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Limited Brands, Inc. company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>6 5/8s, 2021</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>155,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>156,744</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Macy&#8217;s Retail Holdings, Inc. company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>5.9s, 2016</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>195,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>213,003</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Mashantucket Western Pequot Tribe 144A bonds Ser. A,</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>8 1/2s, 2015 (In default) &#8224;</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>340,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>19,550</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Masonite International Corp. 144A company guaranty sr. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>8 1/4s, 2021 (Canada)</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>55,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>49,638</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>MGM Resorts International company guaranty sr. notes 9s, 2020</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>105,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>109,069</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>MGM Resorts International company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>6 7/8s, 2016</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>65,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>55,250</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>MTR Gaming Group, Inc. 144A notes 11 1/2s, 2019</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>520,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>418,600</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Navistar International Corp. sr. notes 8 1/4s, 2021</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>330,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>338,250</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Needle Merger Sub Corp. 144A sr. unsec. notes 8 1/8s, 2019</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>135,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>117,450</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Nielsen Finance, LLC/Nielsen Finance Co. company guaranty</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>sr. unsec. notes 7 3/4s, 2018</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>145,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>147,900</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Nortek, Inc. 144A company guaranty sr. notes 8 1/2s, 2021</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>155,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>124,775</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Nortek, Inc. 144A company guaranty sr. unsec. notes 10s, 2018</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>115,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>106,375</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Owens Corning company guaranty sr. unsec. notes 9s, 2019</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>542,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>639,560</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Penn National Gaming, Inc. sr. unsec. sub. notes 8 3/4s, 2019</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>50,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>53,000</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Penske Automotive Group, Inc. company guaranty sr. unsec.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>sub. notes 7 3/4s, 2016</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>160,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>158,400</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>PETCO Animal Supplies, Inc. 144A company guaranty sr. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>9 1/4s, 2018</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>100,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>100,500</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>PHH Corp. sr. unsec. unsub. notes 9 1/4s, 2016</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>100,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>102,750</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Pinnacle Entertainment, Inc. company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>8 5/8s, 2017</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>55,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>55,413</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Pinnacle Entertainment, Inc. company guaranty sr. unsec. sub.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>notes 7 1/2s, 2015</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>320,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>308,000</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Ply Gem Industries, Inc. company guaranty sr. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>8 1/4s, 2018</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>30,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>24,450</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Polish Television Holding BV sr. notes stepped-coupon</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Ser. REGS, 11 1/4s (13s, 11/15/14), 2017 (Netherlands) &#8224;&#8224;</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>380,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>522,204</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>QVC Inc. 144A sr. notes 7 1/2s, 2019</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$120,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>127,800</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

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<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>27</FONT></P></DIV>

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   <TD width="59%" noWrap align=left><B><FONT size=1 face=sans-serif>CORPORATE BONDS AND NOTES (29.1%)* </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Principal amount</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR height=20>

   <TD width="99%" colSpan=4 noWrap align=left><B><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

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   <TD width="59%" noWrap align=left><B><FONT size=1 face=sans-serif>Consumer cyclicals </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Realogy Corp. 144A company guaranty sr. notes 7 7/8s, 2019</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$50,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$37,750</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Roofing Supply Group, LLC/Roofing Supply Finance, Inc. 144A</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>sr. notes 8 5/8s, 2017</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>140,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>131,950</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Sabre Holdings Corp. sr. unsec. unsub. notes 8.35s, 2016</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>152,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>124,260</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Scotts Miracle-Gro Co. (The) 144A sr. notes 6 5/8s, 2020</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>140,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>137,200</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Sealy Mattress Co. sr. sub. notes 8 1/4s, 2014</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>75,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>70,688</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Sealy Mattress Co. 144A company guaranty sr. sec. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>10 7/8s, 2016</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>140,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>147,700</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Sears Holdings Corp. company guaranty 6 5/8s, 2018</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>139,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>114,675</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

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   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Standard Pacific Corp. company guaranty sr. unsec. unsub.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>notes 7s, 2015</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>36,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>33,840</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Gaming Finance Corp. 144A notes 8 5/8s, 2016</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>70,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>70,350</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

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   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Toys R Us, Inc. sr. unsec. unsub. notes 7 7/8s, 2013</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>30,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>29,625</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Toys R Us &#8212; Delaware, Inc. 144A company guaranty sr. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>7 3/8s, 2016</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>45,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>43,313</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Toys R Us Property Co., LLC company guaranty sr. unsec.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>notes 10 3/4s, 2017</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>293,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>309,848</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Travelport LLC company guaranty 11 7/8s, 2016</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>127,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>50,165</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Travelport LLC company guaranty 9 7/8s, 2014</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>70,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>45,850</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Travelport, LLC/Travelport, Inc. company guaranty sr. unsec.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>notes 9s, 2016</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>244,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>142,740</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>TRW Automotive, Inc. company guaranty sr. unsec. unsub.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>notes Ser. REGS, 6 3/8s, 2014</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>110,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>147,958</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>TRW Automotive, Inc. 144A company guaranty sr. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>7 1/4s, 2017</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$350,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>367,500</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Universal City Development Partners, Ltd. company guaranty</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>sr. unsec. notes 8 7/8s, 2015</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>159,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>172,515</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Univision Communications, Inc. 144A sr. notes 6 7/8s, 2019</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>200,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>178,000</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Vertis, Inc. company guaranty sr. notes 13 1/2s, 2014</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>(In default) &#8224; &#8225;&#8225; </FONT><B><SUP><FONT size=1 face=sans-serif>F</FONT></SUP></B>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>281,131</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9,558</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. company</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>guaranty 1st mtge. notes 7 3/4s, 2020</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>105,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>110,250</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>XM Satellite Radio, Inc. 144A company guaranty sr. unsec.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>notes 13s, 2013</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>65,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>72,800</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>XM Satellite Radio, Inc. 144A sr. unsec. notes 7 5/8s, 2018</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>524,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>529,240</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Yankee Candle Co. company guaranty sr. notes Ser. B,</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>8 1/2s, 2015</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>125,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>120,000</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>YCC Holdings, LLC/Yankee Finance, Inc. sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>10 1/4s, 2016 &#8225;&#8225;</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>135,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>114,750</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Yonkers Racing Corp. 144A sr. notes 11 3/8s, 2016</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>275,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>280,500</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>18,683,816</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><B><FONT size=1 face=sans-serif>Consumer staples (1.7%)</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Anheuser-Busch InBev Worldwide, Inc. company guaranty</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>sr. unsec. notes 9 3/4s, 2015</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>BRL</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,400,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>756,187</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Archibald Candy Corp. company guaranty sub. notes 10s,</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>2011 (In default) &#8224; </FONT><B><SUP><FONT size=1 face=sans-serif>F</FONT></SUP></B>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$88,274</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,825</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Avis Budget Car Rental, LLC company guaranty sr. unsec. unsub.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>notes 9 5/8s, 2018</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>105,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>103,950</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>28</FONT></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="59%"></TD>

   <TD width="10%" align=right></TD>

   <TD width="15%"></TD>

   <TD width="15%"></TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><B><FONT size=1 face=sans-serif>CORPORATE BONDS AND NOTES (29.1%)* </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Principal amount</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR height=20>

   <TD width="99%" colSpan=4 noWrap align=left><B><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><B><FONT size=1 face=sans-serif>Consumer staples </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Avis Budget Car Rental, LLC company guaranty sr. unsec.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>unsub. notes 7 3/4s, 2016</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$345,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$332,925</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Burger King Corp. company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>9 7/8s, 2018</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>184,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>189,520</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Central Garden &amp; Pet Co. company guaranty sr. sub. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>8 1/4s, 2018</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>166,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>158,530</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>CKE Holdings, Inc. 144A sr. notes 10 1/2s, 2016 &#8225;&#8225;</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>95,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>84,075</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Claire&#8217;s Stores, Inc. company guaranty sr. notes 8 7/8s, 2019</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>140,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>100,800</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Constellation Brands, Inc. company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>7 1/4s, 2017</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>23,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>24,150</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Constellation Brands, Inc. company guaranty sr. unsec. unsub.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>notes 7 1/4s, 2016</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>111,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>116,550</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Corrections Corporation of America company guaranty sr. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>7 3/4s, 2017</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>257,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>269,850</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Dean Foods Co. company guaranty sr. unsec. unsub. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>7s, 2016</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>118,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>111,215</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>DineEquity, Inc. company guaranty sr. unsec. notes 9 1/2s, 2018</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>115,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>114,138</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Dole Food Co. 144A sr. notes 8s, 2016</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>87,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>88,958</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>EC Finance PLC company guaranty sr. bonds Ser. REGS, 9 3/4s,</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>2017 (United Kingdom)</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>424,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>412,736</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Elizabeth Arden, Inc. sr. unsec. unsub. notes 7 3/8s, 2021</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$165,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>165,000</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Enterprise Inns PLC sr. unsub. mtge. notes 6 1/2s, 2018</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>(United Kingdom)</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>GBP</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>100,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>111,970</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Foodcorp (Pty), Ltd. 144A company guaranty sr. notes 8 3/4s,</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>2018 (South Africa)</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>100,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>113,349</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Hertz Corp. company guaranty sr. unsec. notes 8 7/8s, 2014</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$5,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>5,000</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Hertz Corp. company guaranty sr. unsec. notes 7 1/2s, 2018</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>65,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>62,075</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Hertz Holdings Netherlands BV 144A sr. bonds 8 1/2s, 2015</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>(Netherlands)</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>156,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>204,977</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>JBS USA LLC/JBS USA Finance, Inc. 144A sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>7 1/4s, 2021</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$620,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>511,500</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Landry&#8217;s Restaurants, Inc. 144A company guaranty sr. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>11 5/8s, 2015</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>72,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>72,360</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Libbey Glass, Inc. sr. notes 10s, 2015</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>49,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>51,328</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Prestige Brands, Inc. company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>8 1/4s, 2018</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>215,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>219,300</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Rite Aid Corp. company guaranty sr. notes 7 1/2s, 2017</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>315,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>300,825</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Rite Aid Corp. company guaranty sr. unsec. unsub. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>9 1/2s, 2017</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>321,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>253,590</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Rite Aid Corp. company guaranty sr. unsub. notes 8s, 2020</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>55,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>57,338</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Roadhouse Financing, Inc. notes 10 3/4s, 2017</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>115,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>106,663</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Service Corporation International sr. notes 7s, 2019</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>80,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>80,800</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Spectrum Brands, Inc. sr. notes 9 1/2s, 2018</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>385,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>410,025</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Stewart Enterprises, Inc. company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>6 1/2s, 2019</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>185,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>178,988</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>United Rentals North America, Inc. company guaranty sr. unsec.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>sub. notes 8 3/8s, 2020</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>70,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>64,050</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>West Corp. company guaranty sr. unsec. notes 8 5/8s, 2018</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>7,780</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>West Corp. company guaranty sr. unsec. notes 7 7/8s, 2019</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>191,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>179,540</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>6,022,867</FONT></B>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>29</FONT></P></DIV>

<HR align=center SIZE=2 width="100%" noShade>



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<DIV style="PADDING-LEFT: 0%; PADDING-RIGHT: 0%">

<DIV align=left>

<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="59%"></TD>

   <TD width="10%" align=right></TD>

   <TD width="15%"></TD>

   <TD width="15%"></TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><B><FONT size=1 face=sans-serif>CORPORATE BONDS AND NOTES (29.1%)* </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="25%" colSpan=2 noWrap align=right><B><FONT size=1 face=sans-serif>Principal amount</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR height=20>

   <TD width="99%" colSpan=4 noWrap align=left><B><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><B><FONT size=1 face=sans-serif>Energy (5.5%)</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Alpha Natural Resources, Inc. company guaranty sr. unsec.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>notes 6 1/4s, 2021</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$150,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$139,875</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Alpha Natural Resources, Inc. company guaranty sr. unsec.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>notes 6s, 2019</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>159,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>148,665</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Anadarko Petroleum Corp. sr. notes 5.95s, 2016</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>283,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>308,797</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Anadarko Petroleum Corp. sr. unsec. notes 6 3/8s, 2017</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>164,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>183,979</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Arch Coal, Inc. company guaranty sr. unsec. notes 7 1/4s, 2020</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>305,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>292,800</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Arch Coal, Inc. 144A company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>7s, 2019</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>200,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>190,000</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Arch Western Finance, LLC company guaranty sr. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>6 3/4s, 2013</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>221,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>220,448</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>ATP Oil &amp; Gas Corp. company guaranty sr. notes 11 7/8s, 2015</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>65,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>45,256</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Brigham Exploration Co. company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>6 7/8s, 2019</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>50,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>48,750</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Brigham Exploration Co. company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>8 3/4s, 2018</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>286,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>306,020</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Carrizo Oil &amp; Gas, Inc. company guaranty sr. unsec notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>8 5/8s, 2018</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>347,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>340,060</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Chaparral Energy, Inc. company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>9 7/8s, 2020</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>140,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>140,000</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Chaparral Energy, Inc. company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>8 7/8s, 2017</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>398,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>386,060</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Chesapeake Energy Corp. company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>9 1/2s, 2015</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>495,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>558,113</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Chesapeake Midstream Partners LP/CHKM Finance Corp. 144A</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>company guaranty sr. unsec. notes 5 7/8s, 2021</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>135,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>128,250</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Complete Production Services, Inc. company guaranty 8s, 2016</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>388,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>388,000</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Concho Resources, Inc. company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>6 1/2s, 2022</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>225,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>218,250</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Connacher Oil and Gas, Ltd. 144A notes 8 3/4s, 2018 (Canada)</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>CAD</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>225,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>169,472</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>CONSOL Energy, Inc. company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>8 1/4s, 2020</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$125,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>131,563</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>CONSOL Energy, Inc. company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>8s, 2017</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>710,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>741,950</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>CONSOL Energy, Inc. 144A company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>6 3/8s, 2021</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>30,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>28,950</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Crosstex Energy LP/Crosstex Energy Finance Corp. company</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>guaranty sr. unsec. notes 8 7/8s, 2018</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>365,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>374,125</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Denbury Resources, Inc. company guaranty sr. unsec. sub. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>8 1/4s, 2020</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>118,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>124,490</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Denbury Resources, Inc. company guaranty sr. unsec. sub. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>6 3/8s, 2021</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>95,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>91,675</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>EXCO Resources, Inc. company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>7 1/2s, 2018</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>405,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>362,475</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Ferrellgas LP/Ferrellgas Finance Corp. sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>6 1/2s, 2021</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>98,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>83,300</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Forbes Energy Services Ltd. 144A company guaranty sr. unsec.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>notes 9s, 2019</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>150,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>138,750</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Frac Tech Services, LLC/Frac Tech Finance, Inc. 144A company</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>guaranty sr. notes 7 1/8s, 2018</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>180,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>182,700</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>30</FONT></P></DIV>

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<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="59%"></TD>

   <TD width="10%" align=right></TD>

   <TD width="15%"></TD>

   <TD width="15%"></TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><B><FONT size=1 face=sans-serif>CORPORATE BONDS AND NOTES (29.1%)* </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Principal amount</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR height=20>

   <TD width="99%" colSpan=4 noWrap align=left><B><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><B><FONT size=1 face=sans-serif>Energy </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Gazprom OAO Via Gaz Capital SA 144A sr. sec. bond 9 1/4s,</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>2019 (Russia)</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$2,055,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$2,420,379</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Gazprom Via Gaz Capital SA 144A company guaranty sr. unsec.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>bond 8.146s, 2018 (Russia)</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>176,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>193,164</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Gazprom Via OAO White Nights Finance BV notes 10 1/2s, 2014</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>(Netherlands)</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>230,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>255,680</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Goodrich Petroleum Corp. 144A sr. notes 8 7/8s, 2019</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>195,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>188,175</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Helix Energy Solutions Group, Inc. 144A sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>9 1/2s, 2016</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>455,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>461,825</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Hornbeck Offshore Services, Inc. sr. notes Ser. B, 6 1/8s, 2014</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>340,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>334,900</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Inergy LP/Inergy Finance Corp. company guaranty sr. unsec.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>notes 6 7/8s, 2021</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>211,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>192,010</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Infinis PLC 144A sr. notes 9 1/8s, 2014 (United Kingdom)</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>GBP</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>98,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>152,433</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>James River Escrow, Inc. 144A sr. notes 7 7/8s, 2019</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$70,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>58,800</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Key Energy Services, Inc. company guaranty unsec. unsub.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>notes 6 3/4s, 2021</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>95,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>91,438</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Laredo Petroleum, Inc. 144A sr. notes 9 1/2s, 2019</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>188,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>197,400</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Lukoil International Finance BV 144A company guaranty</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>sr. unsec. unsub. notes 7 1/4s, 2019 (Russia)</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>200,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>201,584</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>MEG Energy Corp. 144A company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>6 1/2s, 2021 (Canada)</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>135,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>129,263</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Milagro Oil &amp; Gas 144A notes 10 1/2s, 2016</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>225,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>180,000</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Nak Naftogaz Ukraine govt. guaranty unsec. notes 9 1/2s,</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>2014 (Ukraine)</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>275,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>262,039</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Newfield Exploration Co. sr. unsec. sub. notes 6 5/8s, 2014</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>348,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>349,740</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Offshore Group Investments, Ltd. company guaranty sr. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>11 1/2s, 2015 (Cayman Islands)</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>115,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>118,450</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Offshore Group Investments, Ltd. 144A company guaranty</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>sr. notes 11 1/2s, 2015 (Cayman Islands)</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>50,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>51,500</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>OPTI Canada, Inc. company guaranty sr. sec. notes 8 1/4s,</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>2014 (Canada) (In default) &#8224;</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>138,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>86,940</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Peabody Energy Corp. company guaranty 7 3/8s, 2016</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>494,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>542,783</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Peabody Energy Corp. company guaranty sr. unsec. unsub.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>notes 6 1/2s, 2020</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>19,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>19,974</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Petrobras International Finance Co. company guaranty</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>sr. unsec. notes 7 7/8s, 2019 (Brazil)</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>440,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>506,000</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Petrobras International Finance Co. company guaranty</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>sr. unsec. notes 5 3/8s, 2021 (Brazil)</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>625,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>631,875</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Petrohawk Energy Corp. company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>10 1/2s, 2014</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>95,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>106,638</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Petroleos de Venezuela SA company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>5 1/4s, 2017 (Venezuela)</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,665,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>936,563</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Petroleos de Venezuela SA sr. unsec. notes 4.9s, 2014</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>(Venezuela)</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>395,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>269,094</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Petroleos de Venezuela SA sr. unsec. sub. bonds 5s, 2015</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>(Venezuela)</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>920,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>560,657</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Petroleos de Venezuela SA 144A company guaranty sr. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>8 1/2s, 2017 (Venezuela)</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>160,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>105,200</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Petroleos de Venezuela SA 144A company guaranty sr. unsec.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>notes 8s, 2013 (Venezuela)</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>225,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>200,250</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>31</FONT></P></DIV>

<HR align=center SIZE=2 width="100%" noShade>



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<DIV style="PADDING-LEFT: 0%; PADDING-RIGHT: 0%">

<DIV align=left>

<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="59%"></TD>

   <TD width="10%" align=right></TD>

   <TD width="15%"></TD>

   <TD width="15%"></TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><B><FONT size=1 face=sans-serif>CORPORATE BONDS AND NOTES (29.1%)* </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Principal amount</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR height=20>

   <TD width="99%" colSpan=4 noWrap align=left><B><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><B><FONT size=1 face=sans-serif>Energy </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Petroleos Mexicanos company guaranty sr. unsec. unsub. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>5 1/2s, 2021 (Mexico)</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$175,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$183,750</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Petroleum Co. of Trinidad &amp; Tobago Ltd. 144A sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>9 3/4s, 2019 (Trinidad)</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>545,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>644,463</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Petroleum Development Corp. company guaranty sr. unsec.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>notes 12s, 2018</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>240,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>256,800</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Plains Exploration &amp; Production Co. company guaranty</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>7 3/4s, 2015</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>70,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>72,100</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Plains Exploration &amp; Production Co. company guaranty 7s, 2017</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>85,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>85,000</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Plains Exploration &amp; Production Co. company guaranty sr. unsec.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>notes 10s, 2016</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>270,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>292,950</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Power Sector Assets &amp; Liabilities Management Corp. 144A</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>govt. guaranty sr. unsec. notes 7 1/4s, 2019 (Philippines)</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>425,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>482,375</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Range Resources Corp. company guaranty sr. sub. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>6 3/4s, 2020</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>150,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>159,750</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Rosetta Resources, Inc. company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>9 1/2s, 2018</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>124,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>126,480</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>SandRidge Energy, Inc. 144A company guaranty sr. unsec.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>notes 7 1/2s, 2021</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>40,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>36,800</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>SandRidge Energy, Inc. 144A company guaranty sr. unsec.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>unsub. notes 8s, 2018</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>578,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>543,320</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>SM Energy Co. 144A sr. unsec. notes 6 5/8s, 2019</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>85,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>84,575</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Unit Corp. company guaranty sr. sub. notes 6 5/8s, 2021</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>60,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>59,766</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>19,305,656</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><B><FONT size=1 face=sans-serif>Financials (4.5%)</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>ACE Cash Express, Inc. 144A sr. notes 11s, 2019</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>135,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>119,813</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Ally Financial, Inc. company guaranty sr. notes 6 1/4s, 2017</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>140,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>121,955</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Ally Financial, Inc. company guaranty sr. unsec. notes 7s, 2012</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>25,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>25,156</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Ally Financial, Inc. company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>6 7/8s, 2012</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>403,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>410,556</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Ally Financial, Inc. company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>6 5/8s, 2012</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>512,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>516,480</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Ally Financial, Inc. company guaranty sr. unsec. unsub. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>8.3s, 2015</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>65,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>64,269</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Ally Financial, Inc. company guaranty sr. unsec. unsub. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>7 1/2s, 2020</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>565,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>511,325</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Ally Financial, Inc. company guaranty sr. unsec. unsub. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>FRN 2.526s, 2014</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>39,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>33,482</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Banco do Brasil SA 144A sr. unsec. notes 9 3/4s, 2017 (Brazil)</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>BRL</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>436,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>238,382</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Banco do Brasil SA 144A unsec. sub. notes 5 7/8s, 2022 (Brazil)</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$990,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>945,274</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Bosphorus Financial Services, Ltd. 144A sr. notes FRN</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>2.086s, 2012</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>180,625</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>180,144</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>CB Richard Ellis Services, Inc. company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>6 5/8s, 2020</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>56,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>53,760</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>CIT Group, Inc. 144A bonds 7s, 2017</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,051,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,019,470</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>CIT Group, Inc. 144A bonds 7s, 2016</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>378,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>366,660</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>CIT Group, Inc. 144A company guaranty notes 6 5/8s, 2018</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>205,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>203,975</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>CNO Financial Group, Inc. 144A company guaranty sr. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>9s, 2018</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>55,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>56,925</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Community Choice Financial, Inc. 144A sr. notes 10 3/4s, 2019</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>170,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>164,900</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>32</FONT></P></DIV>

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<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="59%"></TD>

   <TD width="10%" align=right></TD>

   <TD width="15%"></TD>

   <TD width="15%"></TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><B><FONT size=1 face=sans-serif>CORPORATE BONDS AND NOTES (29.1%)* </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Principal amount</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR height=20>

   <TD width="99%" colSpan=4 noWrap align=left><B><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><B><FONT size=1 face=sans-serif>Financials </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>HUB International Holdings, Inc. 144A sr. sub. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>10 1/4s, 2015</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$95,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$87,875</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>HUB International Holdings, Inc. 144A sr. unsec. unsub. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>9s, 2014</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>65,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>62,400</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Icahn Enterprises LP/Icahn Enterprises Finance Corp.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>company guaranty sr. unsec. notes 8s, 2018</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>385,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>383,556</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>International Lease Finance Corp. sr. unsec. notes 6 1/4s, 2019</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>21,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>18,270</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>JPMorgan Chase &amp; Co. 144A sr. unsec. notes FRN zero %, 2017</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,000,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,077,723</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>JPMorgan Chase &amp; Co. 144A unsec. unsub. notes 8s, 2012</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>INR</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>19,000,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>392,958</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Leucadia National Corp. sr. unsec. notes 7 1/8s, 2017</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$252,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>257,040</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Majapahit Holding BV 144A company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>8s, 2019 (Indonesia)</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>400,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>448,000</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Majapahit Holding BV 144A company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>7 3/4s, 2020 (Indonesia)</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,085,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,206,195</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>MPT Operating Partnership LP/MPT Finance Corp. 144A</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>company guaranty sr. notes 6 7/8s, 2021 </FONT><B><SUP><FONT size=1 face=sans-serif>R</FONT></SUP></B>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>75,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>71,250</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>National Money Mart Co. company guaranty sr. unsec. unsub.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>notes 10 3/8s, 2016 (Canada)</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>128,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>131,200</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Nuveen Investments, Inc. company guaranty sr. unsec. unsub.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>notes 10 1/2s, 2015</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>191,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>176,198</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Omega Healthcare Investors, Inc. company guaranty sr. unsec.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>notes 6 3/4s, 2022 </FONT><B><SUP><FONT size=1 face=sans-serif>R</FONT></SUP></B>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>85,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>81,069</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Russian Agricultural Bank OJSC Via RSHB Capital SA 144A</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>notes 9s, 2014 (Russia)</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,425,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,517,625</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Sabra Health Care LP/Sabra Capital Corp. company guaranty</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>sr. unsec. unsub. notes 8 1/8s, 2018 </FONT><B><SUP><FONT size=1 face=sans-serif>R</FONT></SUP></B>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>57,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>53,010</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Shinhan Bank 144A sr. unsec. bond 6s, 2012 (South Korea)</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>137,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>140,933</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>State Bank of India/London 144A sr. unsec. notes 4 1/2s,</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>2015 (India)</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>155,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>154,437</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Ukreximbank Via Biz Finance PLC sr. unsec. unsub. bonds</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>8 3/8s, 2015 (United Kingdom)</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>200,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>172,026</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>USI Holdings Corp. 144A company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>FRN 4.161s, 2014</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>60,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>52,200</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Ventas Realty LP/Capital Corp. company guaranty 9s, 2012 </FONT><B><SUP><FONT size=1 face=sans-serif>R</FONT></SUP></B>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>305,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>315,286</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 7 1/2s,</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>2011 (Russia)</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,090,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,090,000</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 6 7/8s,</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>2018 (Russia)</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,385,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,398,850</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 6 1/4s,</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>2035 (Russia)</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>130,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>125,450</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. unsub. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>6.609s, 2012 (Russia)</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,390,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,410,405</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>15,856,482</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><B><FONT size=1 face=sans-serif>Health care (1.5%)</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Aviv Healthcare Properties LP company guaranty sr. unsec.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>notes 7 3/4s, 2019</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$139,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>131,008</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Biomet, Inc. company guaranty sr. unsec. notes 10s, 2017</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>100,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>103,000</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Capella Healthcare, Inc. 144A company guaranty sr. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>9 1/4s, 2017</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>160,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>152,000</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>33</FONT></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="59%"></TD>

   <TD width="10%" align=right></TD>

   <TD width="15%"></TD>

   <TD width="15%"></TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><B><FONT size=1 face=sans-serif>CORPORATE BONDS AND NOTES (29.1%)* </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="25%" colSpan=2 noWrap align=right><B><FONT size=1 face=sans-serif>Principal amount</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR height=20>

   <TD width="99%" colSpan=4 noWrap align=left><B><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><B><FONT size=1 face=sans-serif>Health care </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Capsugel FinanceCo SCA 144A company guaranty sr. unsec.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>notes 9 7/8s, 2019</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>220,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$283,026</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>CDRT Merger Sub, Inc. 144A company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>8 1/8s, 2019</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$220,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>203,500</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>CHS/Community Health Systems, Inc. company guaranty</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>sr. unsec. sub. notes 8 7/8s, 2015</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>371,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>364,508</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>ConvaTec Healthcare E SA 144A sr. notes 7 3/8s, 2017</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>(Luxembourg)</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>100,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>122,825</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>ConvaTec Healthcare E SA 144A sr. unsec. notes 10 1/2s,</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>2018 (Luxembourg)</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$428,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>376,640</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>DaVita, Inc. company guaranty sr. unsec. notes 6 5/8s, 2020</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>45,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>43,200</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>DaVita, Inc. company guaranty sr. unsec. notes 6 3/8s, 2018</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>145,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>139,200</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Elan Finance PLC/Elan Finance Corp. company guaranty</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>sr. unsec. notes 8 3/4s, 2016 (Ireland)</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>203,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>210,105</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Endo Pharmaceuticals Holdings, Inc. 144A company guaranty</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>sr. unsec. notes 7s, 2019</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>130,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>130,488</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Giant Funding Corp. 144A sr. notes 8 1/4s, 2018 (Spain)</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>226,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>226,000</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>HCA, Inc. sr. notes 6 1/2s, 2020</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>688,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>669,080</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>HCA, Inc. sr. unsec. notes 7 1/2s, 2022</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>195,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>178,425</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>IASIS Healthcare, LLC/IASIS Capital Corp. 144A sr. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>8 3/8s, 2019</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>375,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>303,750</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Multiplan, Inc. 144A company guaranty sr. notes 9 7/8s, 2018</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>150,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>148,500</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Select Medical Corp. company guaranty 7 5/8s, 2015</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>91,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>78,829</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Surgical Care Affiliates, Inc. 144A sr. sub. notes 10s, 2017</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>310,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>294,500</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Surgical Care Affiliates, Inc. 144A sr. unsec. notes 8 7/8s, 2015 &#8225;&#8225;</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>120,841</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>116,007</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Teleflex, Inc. company guaranty sr. unsec. sub. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>6 7/8s, 2019</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>160,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>158,400</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Tenet Healthcare Corp. company guaranty sr. notes 10s, 2018</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>119,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>128,818</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Tenet Healthcare Corp. sr. notes 9s, 2015</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>285,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>300,675</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Tenet Healthcare Corp. sr. notes 8 7/8s, 2019</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>198,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>209,385</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Valeant Pharmaceuticals International 144A company guaranty</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>sr. notes 7s, 2020</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>30,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>26,550</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Valeant Pharmaceuticals International 144A company guaranty</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>sr. unsec. notes 6 7/8s, 2018</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>75,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>67,875</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Valeant Pharmaceuticals International 144A sr. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>6 3/4s, 2017</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>30,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>27,638</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Vanguard Health Systems, Inc. sr. unsec. notes zero %, 2016</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>7,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>4,550</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>5,198,482</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><B><FONT size=1 face=sans-serif>Technology (1.2%)</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Advanced Micro Devices, Inc. sr. unsec. notes 7 3/4s, 2020</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>261,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>255,780</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Avaya, Inc. company guaranty sr. unsec. notes 10 1/8s, 2015 &#8225;&#8225;</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>32,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>23,440</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Avaya, Inc. company guaranty sr. unsec. notes 9 3/4s, 2015</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>162,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>118,260</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Avaya, Inc. 144A company guaranty sr. notes 7s, 2019</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>76,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>64,600</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Ceridian Corp. company guaranty sr. unsec. notes 12 1/4s, 2015 &#8225;&#8225;</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>139,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>111,895</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Ceridian Corp. sr. unsec. notes 11 1/4s, 2015</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>316,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>260,700</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Eagle Parent Inc. 144A sr. notes 8 5/8s, 2019 (Canada)</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>120,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>108,600</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Fidelity National Information Services, Inc. company guaranty</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>sr. unsec. notes 7 7/8s, 2020</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>81,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>84,240</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>34</FONT></P></DIV>

<HR align=center SIZE=2 width="100%" noShade>



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<DIV style="PADDING-LEFT: 0%; PADDING-RIGHT: 0%">

<DIV align=left>

<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="59%"></TD>

   <TD width="10%" align=right></TD>

   <TD width="15%"></TD>

   <TD width="15%"></TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><B><FONT size=1 face=sans-serif>CORPORATE BONDS AND NOTES (29.1%)* </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Principal amount</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR height=20>

   <TD width="99%" colSpan=4 noWrap align=left><B><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><B><FONT size=1 face=sans-serif>Technology </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Fidelity National Information Services, Inc. company guaranty</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>sr. unsec. notes 7 5/8s, 2017</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$201,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$209,040</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>First Data Corp. company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>10.55s, 2015 &#8225;&#8225;</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>460,130</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>383,058</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>First Data Corp. company guaranty sr. unsec. sub. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>11 1/4s, 2016</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>141,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>95,175</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>First Data Corp. 144A company guaranty sr. notes 8 7/8s, 2020</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>75,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>70,500</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>First Data Corp. 144A company guaranty sr. notes 7 3/8s, 2019</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>50,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>44,375</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>First Data Corp. 144A sr. bonds 12 5/8s, 2021</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>401,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>296,740</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Freescale Semiconductor, Inc. company guaranty sr. unsec.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>notes 10 3/4s, 2020</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>43,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>43,000</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Freescale Semiconductor, Inc. 144A company guaranty</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>sr. notes 10 1/8s, 2018</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>368,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>382,720</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Iron Mountain, Inc. company guaranty sr. unsec. sub. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>8s, 2020</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>470,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>475,875</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>NXP BV/NXP Funding, LLC 144A company guaranty sr. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>9 3/4s, 2018 (Netherlands)</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>314,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>328,130</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Seagate HDD Cayman 144A company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>7 3/4s, 2018 (Cayman Islands)</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>186,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>182,280</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>SunGard Data Systems, Inc. company guaranty 10 1/4s, 2015</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>351,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>354,510</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>SunGard Data Systems, Inc. 144A sr. unsec. notes 7 5/8s, 2020</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>149,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>138,570</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Syniverse Holdings, Inc. company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>9 1/8s, 2019</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>188,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>184,240</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>4,215,728</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><B><FONT size=1 face=sans-serif>Transportation (0.2%)</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>AMGH Merger Sub, Inc. 144A company guaranty sr. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>9 1/4s, 2018</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>198,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>198,990</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Swift Services Holdings, Inc. company guaranty sr. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>10s, 2018</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>285,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>253,650</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Western Express, Inc. 144A sr. notes 12 1/2s, 2015</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>125,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>83,750</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>536,390</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><B><FONT size=1 face=sans-serif>Utilities and power (1.4%)</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>AES Corp. (The) sr. unsec. unsub. notes 8s, 2017</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>475,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>477,375</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>AES Corp. (The) 144A sr. notes 7 3/8s, 2021</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>135,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>127,575</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Aguila 3 SA company guaranty sr. notes Ser. REGS, 7 7/8s,</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>2018 (Luxembourg)</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>CHF</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>528,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>530,683</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Calpine Corp. 144A company guaranty sr. notes 7 7/8s, 2020</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$165,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>161,700</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Calpine Corp. 144A sr. notes 7 1/4s, 2017</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>425,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>410,125</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Dynegy Holdings, LLC sr. unsec. notes 7 3/4s, 2019</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>495,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>299,475</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Edison Mission Energy sr. unsec. notes 7 3/4s, 2016</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>151,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>101,170</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Edison Mission Energy sr. unsec. notes 7 1/2s, 2013</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>69,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>64,170</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Edison Mission Energy sr. unsec. notes 7.2s, 2019</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>147,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>83,790</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Edison Mission Energy sr. unsec. notes 7s, 2017</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>23,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>13,685</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>El Paso Natural Gas Co. debs. 8 5/8s, 2022</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>247,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>316,473</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Energy Future Holdings Corp. company guaranty sr. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>10s, 2020</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>595,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>577,150</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Energy Future Intermediate Holding Co., LLC/EFIH</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Finance, Inc. sr. notes 10s, 2020</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>296,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>288,600</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Energy Transfer Equity LP company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>7 1/2s, 2020</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>300,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>308,250</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>35</FONT></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="59%"></TD>

   <TD width="10%" align=right></TD>

   <TD width="15%"></TD>

   <TD width="15%"></TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><B><FONT size=1 face=sans-serif>CORPORATE BONDS AND NOTES (29.1%)* </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="25%" colSpan=2 noWrap align=right><B><FONT size=1 face=sans-serif>Principal amount</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR height=20>

   <TD width="99%" colSpan=4 noWrap align=left><B><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><B><FONT size=1 face=sans-serif>Utilities and power </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>GenOn Energy, Inc. sr. unsec. notes 9 7/8s, 2020</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$295,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$275,825</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>GenOn Energy, Inc. sr. unsec. notes 9 1/2s, 2018</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>45,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>42,300</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Ipalco Enterprises, Inc. 144A sr. notes 7 1/4s, 2016</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>115,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>118,163</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>NRG Energy, Inc. 144A company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>7 7/8s, 2021</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>595,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>544,425</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>NV Energy, Inc. sr. unsec. notes 6 1/4s, 2020</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>110,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>114,825</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>NV Energy, Inc. sr. unsec. unsub. notes 6 3/4s, 2017</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>40,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>40,429</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Texas Competitive/Texas Competitive Electric Holdings Co., LLC</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>144A company guaranty sr. notes 11 1/2s, 2020</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>135,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>108,000</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>5,004,188</FONT></B>&nbsp;</TD></TR>

<TR height=20>

   <TD width="59%" noWrap align=left><B><FONT size=1 face=sans-serif>&nbsp;</FONT></B></TD>

   <TD width="10%" noWrap align=right></TD>

   <TD width="15%" noWrap align=left></TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif></FONT></B></TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><B><FONT size=1 face=sans-serif>Total corporate bonds and notes (cost $107,896,706)</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>$102,050,841</FONT></B>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4></TD></TR>

<TR>

   <TD width="99%" colSpan=4>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><B><FONT size=1 face=sans-serif>MORTGAGE-BACKED SECURITIES (23.4%)*</FONT></B>&nbsp;</TD>

   <TD width="25%" colSpan=2 noWrap align=right><B><FONT size=1 face=sans-serif>Principal amount</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR height=20>

   <TD width="99%" colSpan=4 noWrap align=left><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Adjustable Rate Mortgage Trust FRB Ser. 07-1, Class 2A1,</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>4.864s, 2037</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$574,092</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$321,491</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Banc of America Commercial Mortgage, Inc. 144A</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 01-1, Class J, 6 1/8s, 2036</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>163,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>122,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 01-1, Class K, 6 1/8s, 2036</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>367,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>82,392</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 07-5, Class XW, IO, 0.587s, 2051</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>109,875,931</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,800,207</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Banc of America Funding Corp.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 06-D, Class 6A1, 5.358s, 2036</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,163,913</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,395,724</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 07-B, Class A1, 0.441s, 2047</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>919,234</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>526,262</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Barclays Capital, LLC Trust</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 07-AA2, Class 12A1, 0.445s, 2047</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,609,180</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>756,315</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 07-AA1, Class 2A1, 0.415s, 2037</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,301,644</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>670,347</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Bear Stearns Adjustable Rate Mortgage Trust FRB Ser. 07-1,</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Class 2A1, 5.626s, 2047</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,050,538</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>567,290</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Bear Stearns Alt-A Trust</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 06-3, Class 36A1, 5.935s, 2036</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>4,090,093</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,494,957</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 06-3, Class 35A1, 5.623s, 2036</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,918,316</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,794,764</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Bear Stearns Asset Backed Securities Trust</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 06-IM1, Class A3, 0.515s, 2036</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,249,206</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>288,879</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 06-IM1, Class A1, 0.465s, 2036</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,330,417</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>678,512</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Citigroup Mortgage Loan Trust, Inc.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 07-AR5, Class 1A1A, 5.305s, 2037</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>523,319</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>255,323</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 05-10, Class 1A1A, 3.007s, 2035</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,584,841</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>768,648</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Citigroup/Deutsche Bank Commercial Mortgage Trust 144A</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 07-CD5, Class XS, IO, 0.072s, 2044</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>33,413,103</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>143,109</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Cornerstone Titan PLC 144A</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 05-CT1A, Class D, 1.883s, 2014 (United Kingdom)</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>GBP</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>444,023</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>485,573</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 05-CT2A, Class E, 1.789s, 2014 (United Kingdom)</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>GBP</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>226,682</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>265,600</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Countrywide Alternative Loan Trust</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 05-84, Class 4A1, 5.736s, 2036</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$4,535,788</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,676,115</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 06-HY11, Class A1, 0.355s, 2036</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,784,428</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>963,591</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Countrywide Home Loans 144A</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 05-R3, Class AS, IO, 5.593s, 2035</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>102,047</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>14,426</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 05-R3, Class AF, 0.635s, 2035</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>100,237</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>83,197</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>CS First Boston Mortgage Securities Corp. 144A Ser. 02-CP5,</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Class M, 5 1/4s, 2035</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>354,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>118,435</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>36</FONT></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="59%"></TD>

   <TD width="10%" align=right></TD>

   <TD width="15%"></TD>

   <TD width="15%"></TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><B><FONT size=1 face=sans-serif>MORTGAGE-BACKED SECURITIES (23.4%)* </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Principal amount</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR height=20>

   <TD width="99%" colSpan=4 noWrap align=left><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Deutsche Alt-A Securities, Inc. Mortgage Loan Trust</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 06-AR1, Class 1A3, 0.565s, 2036</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$4,351,858</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$1,523,150</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 06-AR6, Class A6, 0.425s, 2037</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>717,458</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>337,205</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 06-AR3, Class A1, 0.425s, 2036</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,022,887</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>398,926</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 07-AR3, Class 2A2A, 0.415s, 2037</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,179,781</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,247,925</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 06-AR6, Class A4, 0.405s, 2037</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>667,178</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>376,955</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 06-AR3, Class A5, 0.405s, 2036</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,422,007</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,480,452</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>DLJ Commercial Mortgage Corp. Ser. 98-CF2, Class B4,</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>6.04s, 2031</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>286,492</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>272,167</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>European Prime Real Estate PLC 144A FRB Ser. 1-A, Class D,</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>1.683s, 2014 (United Kingdom) </FONT><B><SUP><FONT size=1 face=sans-serif>F</FONT></SUP></B>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>GBP</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>68,314</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>16,009</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Federal National Mortgage Association Grantor Trust</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 06-62, Class PS, 38.493s, 2036</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$416,009</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>768,216</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 07-53, Class SP, 23.34s, 2037</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>236,486</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>341,532</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 08-24, Class SP, 22.423s, 2038</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>203,063</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>321,607</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 05-75, Class GS, 19.546s, 2035</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>260,253</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>373,531</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 05-83, Class QP, 16.784s, 2034</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>270,110</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>369,498</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 10-135, Class SP, IO, 6.365s, 2040</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>4,592,299</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>803,652</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 11-51, Class SJ, IO, 6.315s, 2041</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3,669,177</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>564,540</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 10-35, Class SG, IO, 6.165s, 2040</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>4,468,048</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>729,945</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 11-51, Class SM, IO, 5.615s, 2041</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>6,288,510</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>798,515</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 10-46, Class WS, IO, 5.515s, 2040</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>4,881,639</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>511,742</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 374, Class 6, IO, 5 1/2s, 2036</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,089,983</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>144,325</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 10-21, Class IP, IO, 5s, 2039</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,470,467</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>341,480</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 10-92, Class CI, IO, 5s, 2039</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,429,227</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>164,361</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 398, Class C5, IO, 5s, 2039</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>990,979</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>117,728</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 10-13, Class EI, IO, 5s, 2038</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>656,434</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>54,397</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 378, Class 19, IO, 5s, 2035</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,787,868</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>347,168</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 366, Class 22, IO, 4 1/2s, 2035</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>998,033</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>83,885</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 406, Class 2, IO, 4s, 2041</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>4,281,280</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>599,379</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 406, Class 1, IO, 4s, 2041</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,680,409</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>375,257</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 03-W10, Class 1, IO, 1.469s, 2043</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>732,966</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>32,983</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 99-51, Class N, PO, zero %, 2029</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>34,216</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>31,854</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 06-48, Class FG, zero %, 2036</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>18,520</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>17,381</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Federal Home Loan Mortgage Corp.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3182, Class SP, 27.684s, 2032</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>308,138</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>499,317</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3408, Class EK, 24.872s, 2037</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>203,208</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>301,327</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 2979, Class AS, 23.434s, 2034</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>111,043</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>153,654</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3072, Class SM, 22.957s, 2035</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>267,761</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>422,916</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3072, Class SB, 22.81s, 2035</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>239,869</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>377,201</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3249, Class PS, 21.519s, 2036</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>219,575</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>317,894</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3031, Class BS, 16.152s, 2035</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>387,514</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>543,616</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3727, Class PS, IO, 6.471s, 2038</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3,030,350</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>440,202</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3287, Class SE, IO, 6.471s, 2037</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,419,753</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>197,885</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3835, Class SC, IO, 6.421s, 2038</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,801,049</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>473,573</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3706, Class BS, IO, 6.371s, 2040</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,236,820</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>237,037</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3677, Class SA, IO, 6.321s, 2040</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8,257,740</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>961,862</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3485, Class SI, IO, 6.321s, 2036</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>450,439</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>59,363</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3747, Class CS, IO, 6.271s, 2040</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>744,932</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>140,815</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3907, Class SA, IO, 6.221s, 2041</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>5,818,017</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,137,422</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3708, Class SA, IO, 6.221s, 2040</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>7,714,847</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,042,199</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>37</FONT></P></DIV>

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<TR>

   <TD width="69%"></TD>

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   <TD width="69%" noWrap align=left><B><FONT size=1 face=sans-serif>MORTGAGE-BACKED SECURITIES (23.4%)* </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Principal amount</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR height=20>

   <TD width="99%" colSpan=3 noWrap align=left><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Federal Home Loan Mortgage Corp.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3852, Class TB, 5.771s, 2041</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$1,277,270</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$1,338,017</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3768, Class PS, IO, 5.771s, 2036</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8,146,723</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,120,928</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 3645, Class ID, IO, 5s, 2040</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,237,460</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>140,798</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 3653, Class KI, IO, 5s, 2038</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,685,902</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>287,445</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 3632, Class CI, IO, 5s, 2038</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,414,915</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>156,207</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 3626, Class DI, IO, 5s, 2037</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>985,907</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>67,397</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 3623, Class CI, IO, 5s, 2036</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>893,969</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>93,838</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 3747, Class HI, IO, 4 1/2s, 2037</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>636,590</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>78,336</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 3738, Class MI, IO, 4s, 2034</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>6,482,106</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>715,794</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 3736, Class QI, IO, 4s, 2034</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8,024,885</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>854,838</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 3751, Class MI, IO, 4s, 2034</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8,827,989</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>850,930</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 3707, Class HI, IO, 4s, 2023</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,234,327</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>82,243</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 3707, Class KI, IO, 4s, 2023</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,086,143</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>112,631</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Ser. T-57, Class 1AX, IO, 0.43s, 2043</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,317,186</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>18,476</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 3124, Class DO, PO, zero %, 2036</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>21,090</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>18,266</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 3326, Class YF, zero %, 2037</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>65,427</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>62,314</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 3072, Class TJ, zero %, 2035</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3,206</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3,205</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 3326, Class WF, zero %, 2035</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>15,035</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>14,133</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 3030, Class EF, zero %, 2035</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>19,380</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>17,442</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 3412, Class UF, zero %, 2035</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>6,725</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>6,664</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Federal National Mortgage Association</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 11-101, Class SC, IO, 6.3s, 2040</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>647,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>123,338</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 404, Class S13, IO, 6.165s, 2040</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>6,335,795</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>863,732</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 11-101, Class BS, IO, 5.85s, 2039</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,580,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>399,952</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 10-124, Class SJ, IO, 5.815s, 2038</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>5,462,035</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>847,700</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 11-101, Class SA, IO, 5.7s, 2041</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>343,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>61,527</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 11-111, Class DS, IO, 4 1/2s, 2041&nbsp;<FONT lang=EN-US size=1 face=Arial>&#8710;</FONT></FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,075,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>363,773</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 11-111, Class SD, IO, 4 1/2s, 2041&nbsp;<FONT lang=EN-US size=1 face=Arial>&#8710;</FONT></FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,246,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>441,830</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>FFCA Secured Lending Corp. 144A Ser. 00-1, Class X, IO,</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>1.098s, 2020</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,848,402</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>74,058</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>GMAC Commercial Mortgage Securities, Inc. 144A Ser. 99-C3,</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Class G, 6.974s, 2036</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>67,302</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>58,553</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Government National Mortgage Association</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 11-56, Class SG, 6.843s, 2041</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,508,936</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,650,308</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 11-56, Class MS, 6.841s, 2041</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,717,644</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,954,161</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 10-142, Class SA, IO, 6.47s, 2039</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3,165,717</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>494,643</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 10-151, Class SL, IO, 6.47s, 2039</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,576,745</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>290,894</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 10-85, Class AS, IO, 6.42s, 2039</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3,099,216</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>532,678</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 10-163, Class SI, IO, 6.4s, 2037</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>4,253,992</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>693,869</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 10-98, Class QS, IO, 6.37s, 2040</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3,177,307</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>528,831</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 10-47, Class HS, IO, 6.37s, 2039</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,930,833</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>328,338</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 10-157, Class SN, IO, 6.321s, 2038</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,918,892</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>463,462</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 10-88, Class SA, IO, 6.32s, 2040</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3,124,075</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>513,692</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 10-62, Class PS, IO, 6.27s, 2040</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,594,039</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>431,337</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 11-140, Class BI, IO, 6s, 2040&nbsp;<FONT lang=EN-US size=1 face=Arial>&#8710;</FONT></FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,763,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>240,209</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 11-79, Class AS, IO, 5.88s, 2037</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3,670,849</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>459,927</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 10-113, Class DS, IO, 5.87s, 2039</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,436,575</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>357,616</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 10-115, Class SN, IO, 5.87s, 2038</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,480,124</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>228,724</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 10-115, Class AS, IO, 5.82s, 2040</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,559,098</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>269,319</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 10-116, Class SL, IO, 5.82s, 2039</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,498,605</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>250,432</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>38</FONT></P></DIV>

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<TR>

   <TD width="69%"></TD>

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   <TD width="69%" noWrap align=left><B><FONT size=1 face=sans-serif>MORTGAGE-BACKED SECURITIES (23.4%)* </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Principal amount</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR height=20>

   <TD width="99%" colSpan=3 noWrap align=left><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Government National Mortgage Association</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 10-168, Class SL, IO, 5.77s, 2040</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$1,939,524</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$323,319</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 10-121, Class SE, IO, 5.77s, 2040</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,626,808</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>383,120</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 11-70, Class SM, IO, 5.661s, 2041</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,415,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>685,015</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 11-70, Class SH, IO, 5.661s, 2041</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,481,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>704,505</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 11-116, Class IB, IO, 5s, 2040</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>5,251,020</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>555,610</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 11-81, Class MI, IO, 5s, 2040</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,231,856</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>204,796</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 11-12, Class IB, IO, 4.579s, 2040</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,827,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>279,933</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 10-168, Class PI, IO, 4 1/2s, 2039</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,757,755</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>270,255</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 10-158, Class IP, IO, 4 1/2s, 2039</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>5,217,519</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>848,995</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 11-70, PO, zero %, 2041</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>5,445,191</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>4,365,791</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 06-36, Class OD, PO, zero %, 2036</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>14,208</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>13,528</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>GS Mortgage Securities Corp. II 144A Ser. 05-GG4, Class XC,</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>IO, 0.382s, 2039</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>70,507,907</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,248,617</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>HSI Asset Loan Obligation FRB Ser. 07-AR1, Class 2A1,</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>5.057s, 2037</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,699,897</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,457,945</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>IndyMac Indx Mortgage Loan Trust</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 06-AR25, Class 3A1, 2.932s, 2036</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>760,023</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>342,011</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 06-AR39, Class A1, 0.415s, 2037</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3,681,011</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,693,265</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 06-AR35, Class 2A1A, 0.405s, 2037</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,098,060</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>556,039</FONT>&nbsp;</TD></TR>

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   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>JPMorgan Alternative Loan Trust</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 07-A2, Class 12A1, 0.435s, 2037</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>776,504</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>345,989</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 06-A7, Class 1A1, 0.395s, 2036</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,779,491</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>854,156</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 06-A6, Class 1A1, 0.395s, 2036</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>801,904</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>429,542</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 07-A1, Class 1A1A, 0 3/8s, 2037</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>878,634</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>325,094</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>JPMorgan Chase Commercial Mortgage Securities Corp. 144A</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 07-CB20, Class X1, IO, 0.186s, 2051</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>64,116,091</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>641,481</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>LB Commercial Conduit Mortgage Trust 144A Ser. 99-C1,</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Class G, 6.41s, 2031</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>253,101</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>222,729</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>LB-UBS Commercial Mortgage Trust 144A Ser. 02-C2, Class K,</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>6.529s, 2035</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>922,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>920,198</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Lehman XS Trust FRB Ser. 07-8H, Class A1, 0.365s, 2037 </FONT><B><SUP><FONT size=1 face=sans-serif>F</FONT></SUP></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>748,799</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>366,912</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Merrill Lynch Mortgage Investors, Inc. Ser. 96-C2, Class JS, IO,</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>2.424s, 2028</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>627,522</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>18,041</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Mezz Cap Commercial Mortgage Trust 144A</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 04-C1, Class X, IO, 8.357s, 2037</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>733,440</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>44,006</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 07-C5, Class X, IO, 5.082s, 2049</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,210,886</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>160,289</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Morgan Stanley Capital I 144A FRB Ser. 04-RR, Class F7, 6s, 2039</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,730,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,384,000</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Morgan Stanley ReREMIC Trust 144A FRB Ser. 10-C30A,</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Class A3B, 10.236s, 2043</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,215,429</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,241,038</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Mortgage Capital Funding, Inc. Ser. 97-MC2, Class X, IO,</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>1.987s, 2012</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,059</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>PNC Mortgage Acceptance Corp. 144A Ser. 00-C1, Class J,</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>6 5/8s, 2033</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>123,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>4,920</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>STRIPS 144A Ser. 03-1A, Class N, 5s, 2018</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>193,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>193,000</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Structured Adjustable Rate Mortgage Loan Trust</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 07-4, Class 1A1, 0.475s, 2037</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>747,170</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>298,868</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 07-6, Class 2A1, 0.425s, 2037</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>925,639</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>514,768</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Structured Asset Securities Corp.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 07-4, Class 1A3, IO, 6.023s, 2045</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3,506,611</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>490,926</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 07-4, Class 1A4, IO, 1s, 2045</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>4,729,873</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>192,151</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>39</FONT></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="59%"></TD>

   <TD width="10%" align=right></TD>

   <TD width="15%"></TD>

   <TD width="15%"></TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><B><FONT size=1 face=sans-serif>MORTGAGE-BACKED SECURITIES (23.4%)* </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Principal amount</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR height=20>

   <TD width="99%" colSpan=4 noWrap align=left><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Wachovia Bank Commercial Mortgage Trust Ser. 07-C34, IO,</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>0.544s, 2046</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$17,716,754</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$285,948</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Wachovia Mortgage Loan Trust, LLC FRB Ser. 06-AMN1,</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Class A2, 0.385s, 2036</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,663,715</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>682,123</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Washington Mutual Mortgage Pass-Through Certificates FRB</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 07-0C2, Class A3, 0.545s, 2037</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,008,578</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>504,289</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><B><FONT size=1 face=sans-serif>Total mortgage-backed securities (cost $84,694,923)</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>$82,141,475</FONT></B>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4></TD></TR>

<TR>

   <TD width="99%" colSpan=4>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><B><FONT size=1 face=sans-serif>ASSET-BACKED SECURITIES (10.3%)*</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Principal amount</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR height=20>

   <TD width="99%" colSpan=4 noWrap align=left><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

</FONT><FONT size=1 face=sans-serif></FONT><FONT size=1 face=sans-serif>&nbsp;</FONT></TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Ace Securities Corp. FRB Ser. 06-HE3, Class A2C, 0.385s, 2036</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$115,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$43,629</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Bear Stearns Asset Backed Securities, Inc. FRB Ser. 04-FR3,</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Class M6, 5.11s, 2034</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>45,724</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>13,564</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Bombardier Capital Mortgage Securitization Corp. Ser. 00-A,</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Class A4, 8.29s, 2030</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>443,455</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>303,634</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Citigroup Mortgage Loan Trust, Inc. FRB Ser. 07-OPX1,</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Class A1A, 0.305s, 2037</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>413,522</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>144,733</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Conseco Finance Securitizations Corp.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 00-1, Class A5, 8.06s, 2031</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>772,866</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>552,599</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 00-4, Class A5, 7.97s, 2032</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>155,450</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>119,308</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 01-4, Class M1, 1.972s, 2033</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>295,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>159,749</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Countrywide Asset Backed Certificates</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 06-6, Class 2A3, 0.515s, 2036</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>4,059,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,217,700</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 07-7, Class 2A3, 0.465s, 2047</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,847,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,085,419</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 07-3, Class 2A2, 0.405s, 2047</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,302,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>892,156</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 07-6, Class 2A2, 0.405s, 2037</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>538,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>414,260</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 06-8, Class 2A3, 0.395s, 2046</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>660,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>415,800</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 07-8, Class 2A2, 0.365s, 2037</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,864,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,444,600</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 06-25, Class 2A2, 0.355s, 2047</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>835,384</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>737,226</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 07-1, Class 2A2, 0.335s, 2037</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,467,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,232,280</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Crest, Ltd. 144A Ser. 03-2A, Class E2, 8s, 2038</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>475,859</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>19,034</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>First Franklin Mortgage Loan Asset Backed Certificates FRB</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 06-FF11, Class 2A3, 0.385s, 2036</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>871,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>431,145</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Granite Mortgages PLC</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 03-2, Class 2C1, 3.562s, 2043</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,028,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>841,542</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 03-2, Class 3C, 3.326s, 2043</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>GBP</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>384,009</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>365,950</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Green Tree Financial Corp.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 94-6, Class B2, 9s, 2020</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$858,870</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>523,911</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 94-4, Class B2, 8.6s, 2019</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>317,865</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>158,474</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 93-1, Class B, 8.45s, 2018</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>151,039</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>114,285</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 97-6, Class M1, 7.21s, 2029</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,087,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>942,606</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 98-2, Class A6, 6.81s, 2028</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>249,669</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>266,470</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 99-2, Class A7, 6.44s, 2030</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>33,128</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>35,210</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 99-1, Class A6, 6.37s, 2025</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>7,979</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8,179</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Greenpoint Manufactured Housing Ser. 00-3, Class IA,</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>8.45s, 2031</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,302,924</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,301,296</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>GSAA Home Equity Trust</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 06-3, Class A3, 0.535s, 2036</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,630,433</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,242,880</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 05-15, Class 2A2, 0.485s, 2036</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,262,047</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>749,876</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 05-14, Class 2A2, 0.485s, 2035</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>906,609</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>457,837</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 05-11, Class 3A4, 0.485s, 2035</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,229,265</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>952,681</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 06-19, Class A3A, 0.475s, 2036</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>658,231</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>269,875</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>40</FONT></P></DIV>

<HR align=center SIZE=2 width="100%" noShade>



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<TR>

   <TD width="69%"></TD>

   <TD width="15%"></TD>

   <TD width="15%"></TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><B><FONT size=1 face=sans-serif>ASSET-BACKED SECURITIES (10.3%)* </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Principal amount</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR height=20>

   <TD width="99%" colSpan=3 noWrap align=left><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>GSAA Home Equity Trust</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 07-3, Class A4A, 0.455s, 2047</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$1,664,795</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$724,186</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 06-1, Class A2, 0.455s, 2036</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,224,695</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>514,372</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 07-4, Class A2, 0.435s, 2037</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>850,466</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>335,934</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 06-17, Class A2, 0.415s, 2036</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>752,714</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>297,322</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 06-8, Class 2A2, 0.415s, 2036</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>5,231,237</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,092,495</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 06-11, Class 2A2, 0.395s, 2036</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>4,484,776</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,793,911</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 06-12, Class A2A, 0.385s, 2036</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,019,135</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>448,419</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 06-19, Class A1, 0.325s, 2036</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,554,395</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>621,758</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 06-17, Class A1, 0.295s, 2036</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,277,300</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>526,886</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 06-16, Class A1, 0.295s, 2036</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,672,108</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>668,843</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 06-8, Class 2A1, 0.295s, 2036</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,540,382</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>569,941</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 06-14, Class A1, 0.285s, 2036</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>892,432</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>325,738</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 06-12, Class A1, 0.285s, 2036</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,962,485</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>873,306</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 07-3, Class 2A1A, 0.207s, 2047</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,196,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>514,280</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Guggenheim Structured Real Estate Funding, Ltd. 144A FRB</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 05-2A, Class E, 2.235s, 2030</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>399,026</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>10,973</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Lehman XS Trust FRB Ser. 05-6, Class 1A4, 0.615s, 2035</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,218,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>468,343</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Merrill Lynch First Franklin Mortgage Loan Asset Backed</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Certificates FRB Ser. 07-1, Class A2B, 0.405s, 2037</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,026,780</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>462,051</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Mid-State Trust Ser. 11, Class B, 8.221s, 2038</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>95,824</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>95,762</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Morgan Stanley Capital, Inc. FRB Ser. 04-HE8, Class B3,</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>3.435s, 2034</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>47,893</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>11,414</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Novastar Home Equity Loan</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 06-1, Class A2C, 0.395s, 2036</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>921,120</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>382,059</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 06-2, Class A2C, 0.385s, 2036</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,275,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>658,906</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Oakwood Mortgage Investors, Inc.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 99-D, Class A1, 7.84s, 2029</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>675,591</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>639,278</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 95-B, Class B1, 7.55s, 2021</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>174,713</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>131,265</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 00-D, Class A4, 7.4s, 2030</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,554,482</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>952,121</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 02-A, Class A4, 6.97s, 2032</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>40,408</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>39,436</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 01-D, Class A4, 6.93s, 2031</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>544,352</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>432,590</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 01-E, Class A4, 6.81s, 2031</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>863,624</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>752,972</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 99-B, Class A3, 6.45s, 2017</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>154,196</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>146,535</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 01-C, Class A2, 5.92s, 2017</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>797,312</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>395,666</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 02-C, Class A1, 5.41s, 2032</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,081,671</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,041,108</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 02-A, Class A2, 5.01s, 2020</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>177,585</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>170,042</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Oakwood Mortgage Investors, Inc. 144A Ser. 01-B, Class A4,</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>7.21s, 2030</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>472,711</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>453,803</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Residential Asset Mortgage Products, Inc. FRB Ser. 07-RZ1,</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Class A2, 0.395s, 2037</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>169,255</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>96,430</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Residential Asset Securities Corp. Ser. 01-KS3, Class AII,</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>0.695s, 2031</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,174,179</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>879,539</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>SG Mortgage Securities Trust FRB Ser. 06-OPT2, Class A3D,</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>0.445s, 2036</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>246,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>71,271</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>TIAA Real Estate CDO, Ltd. Ser. 03-1A, Class E, 8s, 2038</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>496,508</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>59,581</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>TIAA Real Estate CDO, Ltd. 144A Ser. 02-1A, Class IV,</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>6.84s, 2037</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>390,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>195,000</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><B><FONT size=1 face=sans-serif>Total asset-backed securities (cost $42,833,203)</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>$36,311,444</FONT></B>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>41</FONT></P></DIV>

<HR align=center SIZE=2 width="100%" noShade>



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<DIV style="PADDING-LEFT: 0%; PADDING-RIGHT: 0%">

<DIV align=left>

<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="59%"></TD>

   <TD width="10%" align=right></TD>

   <TD width="15%"></TD>

   <TD width="15%"></TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><B><FONT size=1 face=sans-serif>U.S. GOVERNMENT AND AGENCY</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><B><FONT size=1 face=sans-serif>MORTGAGE OBLIGATIONS (8.9%)*</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Principal amount</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR height=20>

   <TD width="99%" colSpan=4 noWrap align=left><B><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><B><FONT size=1 face=sans-serif>U.S. Government Guaranteed Mortgage Obligations (0.3%)</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Government National Mortgage Association Pass-Through</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Certificates 6 1/2s, November 20, 2038</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$951,706</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$1,061,748</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>1,061,748</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><B><FONT size=1 face=sans-serif>U.S. Government Agency Mortgage Obligations (8.6%)</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Federal Home Loan Mortgage Corporation Pass-Through</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Certificates 3 1/2s, January 1, 2041</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>815,149</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>837,821</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Federal National Mortgage Association</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Pass-Through Certificates</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>4 1/2s, TBA, October 1, 2041</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>23,000,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>24,401,563</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>4s, TBA, October 1, 2041</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>4,000,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>4,192,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>3 1/2s, December 1, 2040</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>737,848</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>758,830</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>30,190,714</FONT></B>&nbsp;</TD></TR>

<TR height=20>

   <TD width="84%" colSpan=3 noWrap align=left><B><FONT size=1 face=sans-serif>&nbsp;</FONT></B></TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif></FONT></B></TD></TR>

<TR vAlign=bottom>

   <TD width="84%" colSpan=3 noWrap align=left><B><FONT size=1 face=sans-serif>Total U.S. government and agency mortgage obligations (cost $30,930,983)</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>$31,252,462</FONT></B>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4></TD></TR>

<TR>

   <TD width="99%" colSpan=4>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><B><FONT size=1 face=sans-serif>U.S. TREASURY OBLIGATIONS (1.4%)*</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Principal amount</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR height=20>

   <TD width="99%" colSpan=4 noWrap align=left><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>U.S. Treasury Inflation Protected Securities</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>2s January 15, 2016 </FONT><B><SUP><FONT size=1 face=sans-serif>i</FONT></SUP></B>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$934,470</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$1,042,794</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>1.125s January 15, 2021 </FONT><B><SUP><FONT size=1 face=sans-serif>i</FONT></SUP></B>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,266,798</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,481,215</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>0.125s April 15, 2016 </FONT><B><SUP><FONT size=1 face=sans-serif>i</FONT></SUP></B>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>362,305</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>374,808</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>3s. July 15, 2018 </FONT><B><SUP><FONT size=1 face=sans-serif>i</FONT></SUP></B>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>922,227</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>954,103</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><B><FONT size=1 face=sans-serif>Total U.S. treasury obligations (cost $4,852,920)</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>$4,852,920</FONT></B>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4></TD></TR>

<TR>

   <TD width="99%" colSpan=4>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><B><FONT size=1 face=sans-serif>FOREIGN GOVERNMENT AND AGENCY</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><B><FONT size=1 face=sans-serif>BONDS AND NOTES (8.7%)*</FONT></B>&nbsp;</TD>

   <TD width="25%" colSpan=2 noWrap align=right><B><FONT size=1 face=sans-serif>Principal amount/units</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR height=20>

   <TD width="99%" colSpan=4 noWrap align=left><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

</FONT><FONT size=1 face=sans-serif></FONT><FONT size=1 face=sans-serif>&nbsp;</FONT></TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Argentina (Republic of) sr. unsec. bonds 7s, 2017</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$1,520,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$1,216,000</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Argentina (Republic of) sr. unsec. bonds Ser. VII, 7s, 2013</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>197,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>187,845</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Argentina (Republic of) sr. unsec. bonds FRB 0.45s, 2013</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,431,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>324,222</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Argentina (Republic of) sr. unsec. unsub. bonds 7s, 2015</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>5,501,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>4,661,920</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Argentina (Republic of) sr. unsec. unsub. bonds Ser. $V,</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>10 1/2s, 2012</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>ARS</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,039,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>481,165</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Argentina (Republic of) sr. unsec. unsub. bonds FRB</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>0.439s, 2012</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$21,601,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,513,276</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Brazil (Federal Republic of) notes 10s, 2017</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>BRL</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,500</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>770,016</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Brazil (Federal Republic of) unsub. notes 10s, 2014</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>BRL</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>990</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>528,610</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Chile (Republic of) notes 5 1/2s, 2020</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>CLP</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>170,000,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>342,184</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Colombia (Republic of) unsec. unsub. bonds 4 3/8s, 2021</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$600,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>612,000</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Croatia (Republic of) 144A sr. unsec. unsub. notes 6 3/8s, 2021</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>265,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>244,463</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Export-Import Bank of Korea 144A sr. unsec. unsub. notes 5.1s,</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>2013 (India)</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>INR</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>22,600,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>458,276</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Ghana (Republic of) 144A unsec. notes 8 1/2s, 2017</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$690,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>721,595</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Hungary (Republic of) sr. unsec. unsub. notes 6 3/8s, 2021</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>70,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>67,550</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Indonesia (Republic of) 144A sr. unsec. notes 4 7/8s, 2021</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>310,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>313,100</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Indonesia (Republic of) 144A sr. unsec. unsub. bonds</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>6 7/8s, 2018</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>550,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>617,375</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Indonesia (Republic of) 144A sr. unsec. unsub. bonds</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>6 3/4s, 2014</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,590,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,712,510</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Industrial Bank of Korea 144A sr. notes 7 1/8s, 2014</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>325,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>355,540</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>42</FONT></P></DIV>

<HR align=center SIZE=2 width="100%" noShade>



<!--$$/page=--><A name="page_44"></A><BR>

<DIV style="PADDING-LEFT: 0%; PADDING-RIGHT: 0%">

<DIV align=left>

<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="59%"></TD>

   <TD width="10%" align=right></TD>

   <TD width="15%"></TD>

   <TD width="15%"></TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><B><FONT size=1 face=sans-serif>FOREIGN GOVERNMENT AND AGENCY</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><B><FONT size=1 face=sans-serif>BONDS AND NOTES (8.7%)* </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="25%" colSpan=2 noWrap align=right><B><FONT size=1 face=sans-serif>Principal amount/units</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR height=20>

   <TD width="99%" colSpan=4 noWrap align=left><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>International Bank for Reconstruction &amp; Development</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>sr. disc. unsec. unsub. notes Ser. GDIF, 5 1/4s, 2014</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>RUB</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9,750,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$289,703</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Philippines (Republic of) sr. unsec. unsub. bonds 6 1/2s, 2020</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$1,350,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,566,000</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Russia (Federation of) 144A unsec. unsub. bonds 7 1/2s, 2030</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,110,600</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,417,650</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>South Africa (Republic of) sr. unsec. unsub. notes 6 7/8s, 2019</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>430,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>511,700</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Sri Lanka (Republic of) 144A notes 7.4s, 2015</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>200,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>209,094</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Turkey (Republic of) bonds 16s, 2012</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>TRY</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>175,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>97,442</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Turkey (Republic of) sr. unsec. notes 7 1/2s, 2019</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$810,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>929,767</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Turkey (Republic of) sr. unsec. notes 7 1/2s, 2017</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,505,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,707,167</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Ukraine (Government of ) Financing of Infrastructural Projects</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>State Enterprise 144A govt. guaranty notes 8 3/8s, 2017</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>175,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>161,000</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Ukraine (Government of) sr. unsec. bonds 6.385s, 2012</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>925,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>905,547</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Ukraine (Government of) 144A bonds 7 3/4s, 2020</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,175,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,057,500</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Ukraine (Government of) 144A sr. unsec. notes 7.95s, 2021</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>960,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>878,131</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Ukraine (Government of) 144A sr. unsec. unsub. notes</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>7.65s, 2013</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>400,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>385,000</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Venezuela (Republic of) bonds 8 1/2s, 2014</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>225,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>197,111</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Venezuela (Republic of) unsec. notes 10 3/4s, 2013</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,985,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,947,742</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Venezuela (Republic of) 144A unsec. bonds 13 5/8s, 2018</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,285,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,229,694</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>Total foreign government and agency bonds and notes (cost $28,976,242)</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>$30,617,895</FONT></B>&nbsp;</TD></TR>

<TR>

   <TD width="69%" colSpan=2>&nbsp;</TD>

   <TD width="15%"></TD>

   <TD width="15%">&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="59%"></TD>

   <TD width="10%"></TD>

   <TD width="15%"></TD>

   <TD width="15%"></TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><B><FONT size=1 face=sans-serif>PURCHASED OPTIONS</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=left><B><FONT size=1 face=sans-serif>Expiration date/</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Contract</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><B><FONT size=1 face=sans-serif>OUTSTANDING (8.0%)*</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=left><B><FONT size=1 face=sans-serif>strike price</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>amount</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR height=20>

   <TD width="99%" colSpan=4 noWrap align=left><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Barclay&#8217;s Bank</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>PLC for the right to receive a fixed rate of 3.37% versus</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>August 3, 2022.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Aug-12/3.37</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$14,787,763</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$1,503,620</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Barclay&#8217;s Bank</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>PLC for the right to pay a fixed rate of 3.37% versus</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>August 3, 2022.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Aug-12/3.37</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>14,787,763</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>139,596</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman Sachs</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>International for the right to pay a fixed rate of 0.476%</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>December 23, 2013.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Dec-11/0.476</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>27,505,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>93,792</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman Sachs</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>International for the right to receive a fixed rate</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>of 0.476% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>maturing December 23, 2013.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Dec-11/0.476</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>27,505,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>12,652</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman Sachs</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>International for the right to pay a fixed rate of 0.53%</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>December 21, 2013.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Dec-11/0.53</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>27,505,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>73,438</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman Sachs</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>International for the right to receive a fixed rate</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>of 0.53% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>maturing December 21, 2013.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Dec-11/0.53</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>27,505,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>21,729</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Bank of America,</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>N.A. for the right to pay a fixed rate of 0.5325%</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>December 5, 2013.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Dec-11/0.5325</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>23,593,538</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>54,501</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>43</FONT></P></DIV>

<HR align=center SIZE=2 width="100%" noShade>



<!--$$/page=--><A name="page_45"></A><BR>

<DIV style="PADDING-LEFT: 0%; PADDING-RIGHT: 0%">

<DIV align=left>

<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="59%"></TD>

   <TD width="10%"></TD>

   <TD width="15%"></TD>

   <TD width="15%"></TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><B><FONT size=1 face=sans-serif>PURCHASED OPTIONS</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=left><B><FONT size=1 face=sans-serif>Expiration date/</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Contract</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><B><FONT size=1 face=sans-serif>OUTSTANDING (8.0%)* </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="10%" noWrap align=left><B><FONT size=1 face=sans-serif>strike price</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>amount</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Bank of America,</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>N.A. for the right to receive a fixed rate of 0.5325%</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>December 5, 2013.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Dec-11/0.5325</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$23,593,538</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$16,751</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Barclay&#8217;s Bank</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>PLC for the right to pay a fixed rate of 0.6075% versus</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>January 3, 2014.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Dec-11/0.6075</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>14,142,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>28,567</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Barclay&#8217;s Bank</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>PLC for the right to receive a fixed rate of 0.6075%</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>January 3, 2014.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Dec-11/0.6075</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>14,142,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>21,779</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman Sachs</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>International for the right to pay a fixed rate of 0.61%</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>January 4, 2014.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Dec-11/0.61</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>13,752,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>25,909</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman Sachs</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>International for the right to receive a fixed rate</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>of 0.61% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>maturing January 4, 2014.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Dec-11/0.61</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>13,752,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>21,871</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman Sachs</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>International for the right to pay a fixed rate of 0.745%</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>December 19, 2041.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Dec-11/0.745</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>21,213,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>84,852</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman Sachs</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>International for the right to receive a fixed rate</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>of 0.745% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>maturing December 19, 2041</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Dec-11/0.745</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>21,213,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>40,941</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Barclay&#8217;s Bank</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>PLC for the right to pay a fixed rate of 1.3525% versus</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>December 19, 2016.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Dec-11/1.3525</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>12,292,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>85,921</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Barclay&#8217;s Bank</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>PLC for the right to receive a fixed rate of 1.3525%</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>December 19, 2016.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Dec-11/1.3525</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>12,292,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>82,971</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman Sachs</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>International for the right to pay a fixed rate of 2.01%</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>December 28, 2021.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Dec-11/2.01</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>7,744,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>215,593</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman Sachs</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>International for the right to receive a fixed rate</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>of 2.01% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>maturing December 28, 2021.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Dec-11/2.01</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>7,744,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>94,244</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Bank of America,</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>N.A. for the right to receive a fixed rate of 2.355%</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>December 19, 2021.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Dec-11/2.355</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>12,292,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>352,780</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Bank of America,</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>N.A. for the right to pay a fixed rate of 2.355% versus</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>December 19,2021.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Dec-11/2.355</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>12,292,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>148,610</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>44</FONT></P></DIV>

<HR align=center SIZE=2 width="100%" noShade>



<!--$$/page=--><A name="page_46"></A><BR>

<DIV style="PADDING-LEFT: 0%; PADDING-RIGHT: 0%">

<DIV align=left>

<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="59%"></TD>

   <TD width="10%"></TD>

   <TD width="15%"></TD>

   <TD width="15%"></TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><B><FONT size=1 face=sans-serif>PURCHASED OPTIONS</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=left><B><FONT size=1 face=sans-serif>Expiration date/</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Contract</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><B><FONT size=1 face=sans-serif>OUTSTANDING (8.0%)* </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="10%" noWrap align=left><B><FONT size=1 face=sans-serif>strike price</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>amount</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman Sachs</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>International for the right to receive a fixed rate</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>of 2.99% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>maturing December 14, 2041.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Dec-11/2.99</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$21,702,801</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$1,831,282</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman Sachs</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>International for the right to pay a fixed rate of 2.99%</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>December 14, 2041.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Dec-11/2.99</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>21,702,801</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>598,563</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Deutsche</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Bank AG for the right to receive a fixed rate of 3.855%</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>December 6, 2041.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Dec-11/3.855</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>6,331,167</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,517,771</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Credit Suisse</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>International for the right to receive a fixed rate</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>of 4.11% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>maturing December 8, 2041.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Dec-11/4.11</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3,782,612</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,104,787</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Credit Suisse</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>International for the right to pay a fixed rate of 4.11%</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>December 8, 2041.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Dec-11/4.11</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3,782,612</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,459</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Citibank, N.A.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>for the right to receive a fixed rate of 4.1175% versus</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>December 9, 2041.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Dec-11/4.1175</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>5,369,350</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,576,119</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Citibank, N.A.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>for the right to pay a fixed rate of 4.1175% versus the</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>December 9, 2041.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Dec-11/4.1175</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>5,369,350</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3,544</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Barclay&#8217;s Bank</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>PLC for the right to receive a fixed rate of 4.12% versus</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>December 16, 2041.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Dec-11/4.12</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8,285,038</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,432,984</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Barclay&#8217;s Bank</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>PLC for the right to pay a fixed rate of 4.12% versus</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>December 16, 2041.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Dec-11/4.12</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8,285,038</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>7,208</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Deutsche</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Bank AG for the right to pay a fixed rate of 4.355%</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>December 6, 2041.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Dec-11/4.355</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>6,331,167</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,203</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Deutsche</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Bank AG for the right to pay a fixed rate of 0.555%</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>February 3, 2014.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Feb-12/0.555</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>23,593,538</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>71,960</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Deutsche</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Bank AG for the right to receive a fixed rate of 0.555%</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>February 3, 2014.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Feb-12/0.555</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>23,593,538</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>27,369</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Bank of America,</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>N.A. for the right to receive a fixed rate of 1.81%</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>February 7, 2017.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Feb-12/1.81</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>14,770,875</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>334,413</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>45</FONT></P></DIV>

<HR align=center SIZE=2 width="100%" noShade>



<!--$$/page=--><A name="page_47"></A><BR>

<DIV style="PADDING-LEFT: 0%; PADDING-RIGHT: 0%">

<DIV align=left>

<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="59%"></TD>

   <TD width="10%"></TD>

   <TD width="15%"></TD>

   <TD width="15%"></TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><B><FONT size=1 face=sans-serif>PURCHASED OPTIONS</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=left><B><FONT size=1 face=sans-serif>Expiration date/</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Contract</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><B><FONT size=1 face=sans-serif>OUTSTANDING (8.0%)* </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="10%" noWrap align=left><B><FONT size=1 face=sans-serif>strike price</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>amount</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Bank of America,</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>N.A. for the right to pay a fixed rate of 1.81% versus</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>February 7, 2017.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Feb-12/1.81</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$14,770,875</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$49,312</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman Sachs</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>International for the right to pay a fixed rate of 2.0525%</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>February 24, 2022.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Feb-12/2.0525</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>7,744,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>256,249</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman Sachs</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>International for the right to receive a fixed rate</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>of 2.0525% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>maturing February 24, 2022.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Feb-12/2.0525</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>7,744,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>133,739</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Deutsche</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Bank AG for the right to pay a fixed rate of 0.545%</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>January 5, 2014.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Jan-12/0.545</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>23,593,538</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>64,646</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Deutsche</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Bank AG for the right to receive a fixed rate of 0.545%</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>January 5, 2014.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Jan-12/0.545</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>23,593,538</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>23,122</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with UBS AG for</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>the right to pay a fixed rate of 1.722% versus the</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>six month CHF-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>January 23, 2014.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Jan-12/1.722</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>15,780,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8,714</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman Sachs</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>International for the right to pay a fixed rate of 2.03%</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>January 25, 2022.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Jan-12/2.03</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>7,744,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>238,360</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman Sachs</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>International for the right to receive a fixed rate</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>of 2.03% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>maturing January 25, 2022.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Jan-12/2.03</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>7,744,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>116,005</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman Sachs</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>International for the right to receive a fixed rate</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>of 3.60% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>maturing January 5, 2042.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Jan-12/3.60</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8,372,569</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,592,044</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman Sachs</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>International for the right to pay a fixed rate of 4.60%</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>January 5, 2042.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Jan-12/4.60</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8,372,569</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,763</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Barclay&#8217;s Bank</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>PLC for the right to receive a fixed rate of 3.36% versus</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>August 1, 2022.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Jul-12/3.36</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>12,323,136</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,244,267</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Barclay&#8217;s Bank</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>PLC for the right to pay a fixed rate of 3.36% versus</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>August 1, 2022.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Jul-12/3.36</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>12,323,136</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>116,823</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with JPMorgan Chase</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Bank, N.A. for the right to receive a fixed rate of 3.49%</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>July 24, 2022.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Jul-12/3.49</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>12,356,514</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,377,010</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>46</FONT></P></DIV>

<HR align=center SIZE=2 width="100%" noShade>



<!--$$/page=--><A name="page_48"></A><BR>

<DIV style="PADDING-LEFT: 0%; PADDING-RIGHT: 0%">

<DIV align=left>

<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="59%"></TD>

   <TD width="10%"></TD>

   <TD width="15%"></TD>

   <TD width="15%"></TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><B><FONT size=1 face=sans-serif>PURCHASED OPTIONS</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=left><B><FONT size=1 face=sans-serif>Expiration date/</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Contract</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><B><FONT size=1 face=sans-serif>OUTSTANDING (8.0%)* </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="10%" noWrap align=left><B><FONT size=1 face=sans-serif>strike price</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>amount</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with JPMorgan Chase</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Bank, N.A. for the right to pay a fixed rate of 3.49%</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>July 24, 2022.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Jul-12/3.49</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$12,356,514</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$93,786</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Barclay&#8217;s Bank</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>PLC for the right to receive a fixed rate of 3.51%</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>July 30, 2022.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Jul-12/3.51</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>4,929,254</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>555,971</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Barclay&#8217;s Bank</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>PLC for the right to pay a fixed rate of 3.51% versus</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>July 30, 2022.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Jul-12/3.51</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>4,929,254</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>37,462</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Barclay&#8217;s Bank</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>PLC for the right to receive a fixed rate of 3.52%</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>August 1, 2022.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Jul-12/3.52</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>12,323,136</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,399,415</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Barclay&#8217;s Bank</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>PLC for the right to pay a fixed rate of 3.52% versus</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>August 1, 2022.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Jul-12/3.52</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>12,323,136</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>93,902</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Barclay&#8217;s Bank</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>PLC for the right to receive a fixed rate of 3.5375%</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>July 27, 2022.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Jul-12/3.5375</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>12,323,136</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,419,256</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Barclay&#8217;s Bank</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>PLC for the right to pay a fixed rate of 3.5375% versus</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>July 27, 2022.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Jul-12/3.5375</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>12,323,136</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>89,466</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with JPMorgan</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Chase Bank, N.A. for the right to receive a fixed rate</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>of 3.54% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>maturing July 25, 2022.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Jul-12/3.54</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>6,931,154</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>800,202</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with JPMorgan</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Chase Bank, N.A. for the right to pay a fixed rate</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>of 3.54% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>maturing July 25 2022.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Jul-12/3.54</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>6,931,154</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>49,627</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Barclay&#8217;s Bank</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>PLC for the right to pay a fixed rate of 0.52% versus</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>March 23, 2014.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Mar-12/0.52</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>27,505,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>112,495</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Barclay&#8217;s Bank</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>PLC for the right to receive a fixed rate of 0.52%</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>March 23, 2014.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Mar-12/0.52</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>27,505,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>27,505</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman Sachs</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>International for the right to receive a fixed rate</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>of 1.86% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>maturing March 7, 2017.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Mar-12/1.86</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>10,702,406</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>259,961</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman Sachs</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>International for the right to pay a fixed rate of 1.86%</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>March 7, 2017.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Mar-12/1.86</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>10,702,406</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>45,260</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>47</FONT></P></DIV>

<HR align=center SIZE=2 width="100%" noShade>



<!--$$/page=--><A name="page_49"></A><BR>

<DIV style="PADDING-LEFT: 0%; PADDING-RIGHT: 0%">

<DIV align=left>

<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="59%"></TD>

   <TD width="10%"></TD>

   <TD width="15%"></TD>

   <TD width="15%"></TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><B><FONT size=1 face=sans-serif>PURCHASED OPTIONS</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=left><B><FONT size=1 face=sans-serif>Expiration date/</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Contract</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><B><FONT size=1 face=sans-serif>OUTSTANDING (8.0%)* </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="10%" noWrap align=left><B><FONT size=1 face=sans-serif>strike price</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>amount</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman Sachs</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>International for the right to pay a fixed rate of 2.075%</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>March 26, 2022.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Mar-12/2.075</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$7,744,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$271,582</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman Sachs</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>International for the right to receive a fixed rate</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>of 2.075% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>maturing March 26, 2022.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Mar-12/2.075</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>7,744,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>148,607</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Bank of America,</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>N.A. for the right to pay a fixed rate of 0.5175%</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>November 3, 2013.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Nov-11/0.5175</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>23,593,538</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>49,546</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Bank of America,</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>N.A. for the right to receive a fixed rate of 0.5175%</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>November 3, 2013.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Nov-11/0.5175</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>23,593,538</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>13,212</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman Sachs</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>International for the right to pay a fixed rate of</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>0.715% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>maturing November 17, 2014.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Nov-11/0.715</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>21,213,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>70,364</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman Sachs</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>International for the right to receive a fixed rate</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>of 0.715% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>maturing November 17, 2014</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Nov-11/0.715</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>21,213,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>28,001</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Deutsche</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Bank AG for the right to pay a fixed rate of 1.30%</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>November 17, 2016.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Nov-11/1.30</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>12,292,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>68,589</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Deutsche</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Bank AG for the right to receive a fixed rate of 1.30%</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>November 17, 2016.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Nov-11/1.30</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>12,292,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>58,387</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman Sachs</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>International for the right to receive a fixed rate</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>of 2.31% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>maturing November 30, 2016.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Nov-11/2.31</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8,783,082</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>418,163</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman Sachs</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>International for the right to pay a fixed rate of 2.31%</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>November 30, 2016.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Nov-11/2.31</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8,783,082</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>703</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with JPMorgan Chase</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Bank, N.A. for the right to receive a fixed rate</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>of 2.3175% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>maturing November 17, 2021.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Nov-11/2.3175</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>12,292,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>298,204</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with JPMorgan Chase</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Bank, N.A. for the right to pay a fixed rate of 2.3175%</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>November 17, 2021.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Nov-11/2.3175</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>12,292,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>106,203</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Barclay&#8217;s Bank</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>PLC for the right to receive a fixed rate of 2.85%</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>November 7, 2021.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Nov-11/2.85</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>4,806,572</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>316,176</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>48</FONT></P></DIV>

<HR align=center SIZE=2 width="100%" noShade>



<!--$$/page=--><A name="page_50"></A><BR>

<DIV style="PADDING-LEFT: 0%; PADDING-RIGHT: 0%">

<DIV align=left>

<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="59%"></TD>

   <TD width="10%"></TD>

   <TD width="15%"></TD>

   <TD width="15%"></TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><B><FONT size=1 face=sans-serif>PURCHASED OPTIONS</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=left><B><FONT size=1 face=sans-serif>Expiration date/</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Contract</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><B><FONT size=1 face=sans-serif>OUTSTANDING (8.0%)* </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="10%" noWrap align=left><B><FONT size=1 face=sans-serif>strike price</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>amount</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Barclay&#8217;s Bank</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>PLC for the right to pay a fixed rate of 2.85% versus</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>November 7, 2021.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Nov-11/2.85</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$4,806,572</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$2,355</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Barclay&#8217;s Bank</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>PLC for the right to receive a fixed rate of 3.21%</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>November 23, 2021.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Nov-11/3.21</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>11,135,420</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,084,367</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Barclay&#8217;s Bank</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>PLC for the right to pay a fixed rate of 3.21% versus</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>November 23, 2021.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Nov-11/3.21</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>11,135,420</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3,341</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Credit Suisse</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>International for the right to receive a fixed rate</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>of 3.425% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>maturing November 16, 2041.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Nov-11/3.425</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>59,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9,075</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Credit Suisse</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>International for the right to pay a fixed rate</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>of 3.425% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>maturing November 16, 2041.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Nov-11/3.425</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>59,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>230</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman Sachs</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>International for the right to receive a fixed rate</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>of 4.0325% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>maturing November 4, 2041.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Nov-11/4.0325</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>5,529,675</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,538,632</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman Sachs</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>International for the right to pay a fixed rate</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>of 4.0325% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>maturing November 4, 2041.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Nov-11/4.0325</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>5,529,675</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>332</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Barclay&#8217;s Bank</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>PLC for the right to receive a fixed rate of 3.17%</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>October 21, 2021.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Oct-11/3.17</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9,702,795</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>932,050</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Barclay&#8217;s Bank</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>PLC for the right to pay a fixed rate of 3.17% versus</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>October 21, 2021.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Oct-11/3.17</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9,702,795</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>34</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>Total purchased options outstanding (cost $16,673,939)</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>$28,255,294</FONT></B>&nbsp;</TD></TR>

<TR>

   <TD width="69%" colSpan=2>&nbsp;</TD>

   <TD width="15%"></TD>

   <TD width="15%">&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="69%"></TD>

   <TD width="15%"></TD>

   <TD width="15%"></TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><B><FONT size=1 face=sans-serif>SENIOR LOANS (2.7%)* </FONT></B><B><SUP><FONT size=1 face=sans-serif>c</FONT></SUP></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Principal amount</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR height=20>

   <TD width="99%" colSpan=3 noWrap align=left><B><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><B><FONT size=1 face=sans-serif>Basic materials (0.2%)</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Exopack, LLC bank term loan FRN Ser. B, 6 1/2s, 2017</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$89,775</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$83,491</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>INEOS Group Holdings, Ltd. bank term loan FRN Ser. C2,</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>8s, 2014</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>95,240</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>94,049</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>INEOS U.S. Finance, LLC bank term loan FRN Ser. B2,</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>7 1/2s, 2013</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>89,760</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>88,638</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Momentive Performance Materials, Inc. bank term loan FRN</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>3 3/4s, 2013</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>157,927</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>147,267</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Nexeo Solutions, LLC bank term loan FRN Ser. B, 5s, 2017</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>89,550</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>84,065</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Univar, Inc. bank term loan FRN Ser. B, 5s, 2017</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>89,549</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>83,579</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>581,089</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><B><FONT size=1 face=sans-serif>Capital goods (&#8212;%)</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>SRAM Corp. bank term loan FRN 8 1/2s, 2018</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>60,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>59,401</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>59,401</FONT></B>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>49</FONT></P></DIV>

<HR align=center SIZE=2 width="100%" noShade>



<!--$$/page=--><A name="page_51"></A><BR>

<DIV style="PADDING-LEFT: 0%; PADDING-RIGHT: 0%">

<DIV align=left>

<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="69%"></TD>

   <TD width="15%"></TD>

   <TD width="15%"></TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><B><FONT size=1 face=sans-serif>SENIOR LOANS (2.7%)* </FONT></B><B><SUP><FONT size=1 face=sans-serif>c </FONT></SUP></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Principal amount</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR height=20>

   <TD width="99%" colSpan=3 noWrap align=left><B><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><B><FONT size=1 face=sans-serif>Communication services (0.4%)</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Charter Communications Operating, LLC bank term loan FRN</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Ser. l, 7 1/4s, 2014</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$6,197</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$6,166</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Charter Communications, Inc. bank term loan FRN Ser. C,</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>3 1/2s, 2016</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>809,141</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>795,487</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Insight Midwest, LP bank term loan FRN Ser. B, 2s, 2014</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>117,132</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>114,716</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Intelsat Jackson Holdings SA bank term loan FRN 3.246s,</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>2014 (Luxembourg)</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>460,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>426,650</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Level 3 Communications, Inc. bank term loan FRN 2.492s, 2014</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>15,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>13,950</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Level 3 Financing, Inc. bank term loan FRN Ser. B, 11 1/2s, 2014</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>95,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>98,800</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>1,455,769</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><B><FONT size=1 face=sans-serif>Consumer cyclicals (1.2%)</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Brickman Group Holdings, Inc. bank term loan FRN Ser. B,</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>7 1/4s, 2016</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>436,700</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>430,150</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Burlington Coat Factory Warehouse Corp. bank term loan FRN</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Ser. B, 6 1/4s, 2017</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>49,375</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>47,365</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Caesars Entertainment Operating Co., Inc. bank term loan</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>FRN Ser. B1, 3.253s, 2015</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>265,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>221,882</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Caesars Entertainment Operating Co., Inc. bank term loan</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>FRN Ser. B2, 3.218s, 2015</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>309,439</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>258,511</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>CCM Merger, Inc. bank term loan FRN Ser. B, 7s, 2017</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>245,432</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>236,535</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Cengage Learning Acquisitions, Inc. bank term loan FRN</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Ser. B, 2 1/2s, 2014</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>286,703</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>225,881</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Clear Channel Communications, Inc. bank term loan FRN</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Ser. B, 3.871s, 2016</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>436,042</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>309,644</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Compucom Systems, Inc. bank term loan FRN 3.73s, 2014</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>105,376</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>99,053</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Federal Mogul Corp. bank term loan FRN Ser. B, 2.158s, 2014</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>36,679</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>33,684</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Federal Mogul Corp. bank term loan FRN Ser. C, 2.158s, 2015</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>18,714</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>17,186</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>GateHouse Media, Inc. bank term loan FRN Ser. B, 2.48s, 2014</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>217,466</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>55,454</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>GateHouse Media, Inc. bank term loan FRN Ser. B, 2.23s, 2014</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>185,167</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>47,218</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>GateHouse Media, Inc. bank term loan FRN Ser. DD, 2.23s, 2014</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>69,092</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>17,619</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Golden Nugget, Inc. bank term loan FRN Ser. B, 3.23s, 2014 &#8225;&#8225;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>101,431</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>81,737</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Golden Nugget, Inc. bank term loan FRN Ser. DD, 3.23s, 2014 &#8225;&#8225;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>57,739</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>46,528</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Goodman Global, Inc. bank term loan FRN 9s, 2017</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>180,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>180,300</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Goodman Global, Inc. bank term loan FRN 5 3/4s, 2016</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>177,585</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>175,550</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>KAR Auction Services, Inc. bank term loan FRN Ser. B, 5s, 2017</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>69,825</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>67,556</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Michaels Stores, Inc. bank term loan FRN Ser. B, 2 1/2s, 2013</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>107,457</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>102,532</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>National Bedding Co., LLC bank term loan FRN Ser. B,</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>3 7/8s, 2013</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>72,213</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>70,949</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Neiman Marcus Group, Inc. (The) bank term loan FRN</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>4 3/4s, 2018</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>160,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>148,156</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Nortek, Inc. bank term loan FRN Ser. B, 5 1/4s, 2017</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>59,850</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>56,857</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>R.H. Donnelley, Inc. bank term loan FRN Ser. B, 9s, 2014</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>509,066</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>229,080</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Realogy Corp. bank term loan FRN Ser. B, 4.522s, 2016</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>422,232</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>343,239</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>ServiceMaster Co. (The) bank term loan FRN Ser. B, 2.83s, 2014</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>224,075</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>209,174</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>ServiceMaster Co. (The) bank term loan FRN Ser. DD,</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>2.72s, 2014</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>22,704</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>21,194</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Six Flags Theme Parks bank term loan FRN Ser. B, 5 1/4s, 2016</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>212,857</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>210,196</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>50</FONT></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="69%"></TD>

   <TD width="15%"></TD>

   <TD width="15%"></TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><B><FONT size=1 face=sans-serif>SENIOR LOANS (2.7%)* </FONT></B><B><SUP><FONT size=1 face=sans-serif>c </FONT></SUP></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Principal amount</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR height=20>

   <TD width="99%" colSpan=3 noWrap align=left><B><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><B><FONT size=1 face=sans-serif>Consumer cyclicals </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Tribune Co. bank term loan FRN Ser. B, 5 1/4s, 2014 (In default) &#8224;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$289,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$156,692</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Univision Communications, Inc. bank term loan FRN 4.471s, 2017</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>171,147</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>153,604</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>4,253,526</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><B><FONT size=1 face=sans-serif>Consumer staples (0.2%)</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Claire&#8217;s Stores, Inc. bank term loan FRN 2.996s, 2014</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>238,089</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>200,887</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Del Monte Corp. bank term loan FRN Ser. B, 4 1/2s, 2018</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>114,713</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>105,937</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Revlon Consumer Products bank term loan FRN Ser. B,</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>4 3/4s, 2017</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>245,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>236,548</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>RiteAid Corp. bank term loan FRN Ser. B, 1.98s, 2014</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>94,519</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>87,253</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>West Corp. bank term loan FRN Ser. B2, 2.702s, 2013</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>23,026</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>22,292</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>West Corp. bank term loan FRN Ser. B5, 4.577s, 2016</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>56,002</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>53,995</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>706,912</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><B><FONT size=1 face=sans-serif>Energy (0.1%)</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>EPCO Holdings, Inc. bank term loan FRN Ser. A, 1.222s, 2012</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>149,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>144,530</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Frac Tech International, LLC bank term loan FRN Ser. B,</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>6 1/4s, 2016</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>145,175</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>142,362</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Hercules Offshore, Inc. bank term loan FRN Ser. B, 7 1/2s, 2013</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>125,501</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>120,638</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>407,530</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><B><FONT size=1 face=sans-serif>Financials (0.1%)</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>AGFS Funding Co. bank term loan FRN Ser. B, 5 1/2s, 2017</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>170,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>148,325</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>HUB International Holdings, Inc. bank term loan FRN</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>6 3/4s, 2014</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>71,723</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>69,885</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>218,210</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><B><FONT size=1 face=sans-serif>Health care (0.4%)</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Ardent Health Services bank term loan FRN 6 1/2s, 2015</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>75,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>72,938</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Ardent Health Services bank term loan FRN Ser. B, 6 1/2s, 2015</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>149,108</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>145,007</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Emergency Medical Services Corp. bank term loan FRN Ser. B,</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>5 1/4s, 2018</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>184,538</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>175,118</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Grifols SA bank term loan FRN Ser. B, 6s, 2016 (Spain)</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>99,750</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>97,655</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Health Management Associates, Inc. bank term loan FRN</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>1.996s, 2014</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>640,295</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>601,677</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>IASIS Healthcare, LLC bank term loan FRN Ser. B, 5s, 2018</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>268,650</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>250,180</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Multiplan, Inc. bank term loan FRN Ser. B, 4 3/4s, 2017</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>139,961</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>131,564</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>1,474,139</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><B><FONT size=1 face=sans-serif>Utilities and power (0.1%)</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Texas Competitive Electric Holdings Co., LLC bank term loan</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>FRN 4.726s, 2017</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>640,516</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>428,145</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>428,145</FONT></B>&nbsp;</TD></TR>

<TR height=20>

   <TD width="69%" noWrap align=left><B><FONT size=1 face=sans-serif>&nbsp;</FONT></B></TD>

   <TD width="15%" noWrap align=left></TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif></FONT></B></TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><B><FONT size=1 face=sans-serif>Total senior loans (cost $10,985,301)</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>$9,584,721</FONT></B>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3></TD></TR>

<TR>

   <TD width="99%" colSpan=3>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><B><FONT size=1 face=sans-serif>CONVERTIBLE BONDS AND NOTES (0.1%)*</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Principal amount</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR height=20>

   <TD width="99%" colSpan=3 noWrap align=left><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

</FONT><FONT size=1 face=sans-serif></FONT><FONT size=1 face=sans-serif>&nbsp;</FONT></TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Ford Motor Co. cv. sr. unsec. notes 4 1/4s, 2016</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$157,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$206,282</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Steel Dynamics, Inc. cv. sr. notes 5 1/8s, 2014</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>195,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>200,606</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><B><FONT size=1 face=sans-serif>Total convertible bonds and notes (cost $352,000)</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>$406,888</FONT></B>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>51</FONT></P></DIV>

<HR align=center SIZE=2 width="100%" noShade>



<A name="page_53"></A><BR>

<DIV style="PADDING-LEFT: 0%; PADDING-RIGHT: 0%">

<DIV align=left>

<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="69%"></TD>

   <TD width="15%"></TD>

   <TD width="15%"></TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><B><FONT size=1 face=sans-serif>CONVERTIBLE PREFERRED STOCKS (0.1%)*</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Shares</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR height=20>

   <TD width="99%" colSpan=3 noWrap align=left><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

</FONT><FONT size=1 face=sans-serif></FONT><FONT size=1 face=sans-serif>&nbsp;</FONT></TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>General Motors Co. Ser. B, $2.375 cv. pfd.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3,856</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$134,719</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Lehman Brothers Holdings, Inc. Ser. P,</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>7.25% cv. pfd. (In default) &#8224;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>667</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>600</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Lucent Technologies Capital Trust I 7.75% cv. pfd.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>176</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>146,069</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><B><FONT size=1 face=sans-serif>Total convertible preferred stocks (cost $994,199)</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>$281,388</FONT></B>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3></TD></TR>

<TR>

   <TD width="99%" colSpan=3>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><B><FONT size=1 face=sans-serif>PREFERRED STOCKS (&#8212;%)*</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Shares</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR height=20>

   <TD width="99%" colSpan=3 noWrap align=left><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

</FONT><FONT size=1 face=sans-serif></FONT><FONT size=1 face=sans-serif>&nbsp;</FONT></TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Ally Financial, Inc. 144A Ser. G, 7.00% cum. pfd.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>198</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$132,592</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><B><FONT size=1 face=sans-serif>Total preferred stocks (cost $66,176)</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>$132,592</FONT></B>&nbsp;</TD></TR>

<TR>

   <TD width="69%">&nbsp;</TD>

   <TD width="15%"></TD>

   <TD width="15%">&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="45%"></TD>

   <TD width="12%"></TD>

   <TD width="12%" colSpan=2></TD>

   <TD width="15%"></TD>

   <TD width="15%"></TD></TR>

<TR vAlign=bottom>

   <TD width="45%" noWrap align=left><B><FONT size=1 face=sans-serif>WARRANTS (&#8212;%)* &#8224;</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif>Expiration</FONT></B>&nbsp;</TD>

   <TD width="12%" colSpan=2 noWrap align=right><B><FONT size=1 face=sans-serif>Strike</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="45%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif>date</FONT></B>&nbsp;</TD>

   <TD width="12%" colSpan=2 noWrap align=right><B><FONT size=1 face=sans-serif>price</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Warrants</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR height=20>

   <TD width="99%" colSpan=6 noWrap align=left><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

</FONT><FONT size=1 face=sans-serif></FONT><FONT size=1 face=sans-serif></FONT><FONT size=1 face=sans-serif></FONT><FONT size=1 face=sans-serif>&nbsp;</FONT></TD></TR>

<TR vAlign=bottom>

   <TD width="45%" noWrap align=left><FONT size=1 face=sans-serif>Charter Communications, Inc. Class A</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>11/30/14</FONT>&nbsp;</TD>

   <TD width="12%" colSpan=2 noWrap align=right><FONT size=1 face=sans-serif>$0.01</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>20</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$230</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="45%" noWrap align=left><FONT size=1 face=sans-serif>Smurfit Kappa Group PLC 144A (Ireland) </FONT><B><SUP><FONT size=1 face=sans-serif>F</FONT></SUP></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>10/1/13</FONT>&nbsp;</TD>

   <TD width="6%" noWrap align=right><FONT size=1 face=sans-serif>EUR </FONT>&nbsp;</TD>

   <TD width="6%" noWrap align=right>&nbsp;<FONT size=1 face=sans-serif>0.001</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>508</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>15,889</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="45%" noWrap align=left><B><FONT size=1 face=sans-serif>Total warrants (cost $19,277)</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" colSpan=2 noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>$16,119</FONT></B>&nbsp;</TD></TR>

<TR>

   <TD width="45%">&nbsp;</TD>

   <TD width="39%" colSpan=4></TD>

   <TD width="15%">&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="69%"></TD>

   <TD width="15%"></TD>

   <TD width="15%"></TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><B><FONT size=1 face=sans-serif>COMMON STOCKS (&#8212;%)*</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Shares</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR height=20>

   <TD width="99%" colSpan=3 noWrap align=left><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

</FONT><FONT size=1 face=sans-serif></FONT><FONT size=1 face=sans-serif>&nbsp;</FONT></TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Bohai Bay Litigation, LLC (Escrow) </FONT><B><SUP><FONT size=1 face=sans-serif>F</FONT></SUP></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>991</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$3,091</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Trump Entertainment Resorts, Inc. </FONT><B><SUP><FONT size=1 face=sans-serif>F</FONT></SUP></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>94</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>400</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><B><FONT size=1 face=sans-serif>Total common stocks (cost $1,974)</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>$3,491</FONT></B>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3></TD></TR>

<TR>

   <TD width="99%" colSpan=3>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><B><FONT size=1 face=sans-serif>SHORT-TERM INVESTMENTS (43.2%)*</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Principal amount/shares</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR height=20>

   <TD width="99%" colSpan=3 noWrap align=left><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

</FONT><FONT size=1 face=sans-serif></FONT><FONT size=1 face=sans-serif>&nbsp;</FONT></TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Putnam Money Market Liquidity Fund 0.10% </FONT><B><SUP><FONT size=1 face=sans-serif>e</FONT></SUP></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>66,991,032</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$66,991,032</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>U.S. Treasury Bills with effective yields ranging</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>from 0.059% to 0.094%, July 26, 2012 # ##</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$8,952,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8,945,973</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>U.S. Treasury Bills with effective yields ranging</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>from 0.070% to 0.074%, June 28, 2012 ##</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3,087,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3,085,285</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>U.S. Treasury Bills with an effective yield of 0.088%,</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>May 3, 2012 ##</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>5,279,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>5,276,210</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>U.S. Treasury Bills with an effective yield of 0.100%,</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>April 5, 2012 ##</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3,000,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,998,436</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>U.S. Treasury Bills with an effective yield of 0.100%,</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>December 1, 2011 # ##</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>5,990,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>5,988,975</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>U.S. Treasury Bills with an effective yield of 0.094%,</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>November 17, 2011 # ##</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>32,724,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>32,715,764</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>U.S. Treasury Bills with effective yields ranging</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>from 0.229% to 0.259%, October 20, 2011 # ##</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>25,491,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>25,487,486</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><B><FONT size=1 face=sans-serif>Total short-term investments (cost $151,493,339)</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>$151,489,161</FONT></B>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3></TD></TR>

<TR>

   <TD width="99%" colSpan=3>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><B><FONT size=1 face=sans-serif>TOTAL INVESTMENTS</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR height=20>

   <TD width="99%" colSpan=3 noWrap align=left><B><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

</FONT></B><B><FONT size=1 face=sans-serif></FONT></B></TD></TR>

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><B><FONT size=1 face=sans-serif>Total investments (cost $480,771,182)</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>$477,396,691</FONT></B>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>52</FONT></P></DIV>

<HR align=center SIZE=2 width="100%" noShade>



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<DIV style="PADDING-LEFT: 0%;; PADDING-RIGHT: 0%">

<DIV align=left>

<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="10%"></TD>

   <TD width="89%"></TD></TR>

<TR vAlign=bottom>

   <TD width="99%" colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>Key to holding&#8217;s currency abbreviations</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>ARS</FONT>&nbsp;</TD>

   <TD width="89%" noWrap align=left><FONT size=1 face=sans-serif>Argentine Peso</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>AUD</FONT>&nbsp;</TD>

   <TD width="89%" noWrap align=left><FONT size=1 face=sans-serif>Australian Dollar</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>BRL</FONT>&nbsp;</TD>

   <TD width="89%" noWrap align=left><FONT size=1 face=sans-serif>Brazilian Real</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>CAD</FONT>&nbsp;</TD>

   <TD width="89%" noWrap align=left><FONT size=1 face=sans-serif>Canadian Dollar</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>CHF</FONT>&nbsp;</TD>

   <TD width="89%" noWrap align=left><FONT size=1 face=sans-serif>Swiss Franc</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>CLP</FONT>&nbsp;</TD>

   <TD width="89%" noWrap align=left><FONT size=1 face=sans-serif>Chilean Peso</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>

   <TD width="89%" noWrap align=left><FONT size=1 face=sans-serif>Euro</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>GBP</FONT>&nbsp;</TD>

   <TD width="89%" noWrap align=left><FONT size=1 face=sans-serif>British Pound</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>INR</FONT>&nbsp;</TD>

   <TD width="89%" noWrap align=left><FONT size=1 face=sans-serif>Indian Rupee</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>JPY</FONT>&nbsp;</TD>

   <TD width="89%" noWrap align=left><FONT size=1 face=sans-serif>Japanese Yen</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>KRW</FONT>&nbsp;</TD>

   <TD width="89%" noWrap align=left><FONT size=1 face=sans-serif>South Korean Won</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>MXN</FONT>&nbsp;</TD>

   <TD width="89%" noWrap align=left><FONT size=1 face=sans-serif>Mexican Peso</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>SEK</FONT>&nbsp;</TD>

   <TD width="89%" noWrap align=left><FONT size=1 face=sans-serif>Swedish Krona</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>TRY</FONT>&nbsp;</TD>

   <TD width="89%" noWrap align=left><FONT size=1 face=sans-serif>Turkish Lira</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>RUB</FONT>&nbsp;</TD>

   <TD width="89%" noWrap align=left><FONT size=1 face=sans-serif>Russian Ruble</FONT>&nbsp;</TD></TR>

<TR height=20>

   <TD width="99%" colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>&nbsp;</FONT></B></TD></TR>

<TR vAlign=bottom>

   <TD width="99%" colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>Key to holding&#8217;s abbreviations</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>EMTN</FONT>&nbsp;</TD>

   <TD width="89%" noWrap align=left><FONT size=1 face=sans-serif>Euro Medium Term Notes</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>FRB</FONT>&nbsp;</TD>

   <TD width="89%" noWrap align=left><FONT size=1 face=sans-serif>Floating Rate Bonds</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>FRN</FONT>&nbsp;</TD>

   <TD width="89%" noWrap align=left><FONT size=1 face=sans-serif>Floating Rate Notes</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>IFB</FONT>&nbsp;</TD>

   <TD width="89%" noWrap align=left><FONT size=1 face=sans-serif>Inverse Floating Rate Bonds</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>IO</FONT>&nbsp;</TD>

   <TD width="89%" noWrap align=left><FONT size=1 face=sans-serif>Interest Only</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>OAO</FONT>&nbsp;</TD>

   <TD width="89%" noWrap align=left><FONT size=1 face=sans-serif>Open Joint Stock Company</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>OJSC</FONT>&nbsp;</TD>

   <TD width="89%" noWrap align=left><FONT size=1 face=sans-serif>Open Joint Stock Company</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>PO</FONT>&nbsp;</TD>

   <TD width="89%" noWrap align=left><FONT size=1 face=sans-serif>Principal Only</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>TBA</FONT>&nbsp;</TD>

   <TD width="89%" noWrap align=left><FONT size=1 face=sans-serif>To Be Announced Commitments</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>Notes to the fund&#8217;s portfolio</FONT></B></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>Unless noted otherwise, the notes to the fund&#8217;s portfolio are for the close of the fund&#8217;s reporting period, which ran from October 1, 2010 through September 30, 2011 (the reporting period).</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>* Percentages indicated are based on net assets of $351,027,943.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>&#8224; Non-income-producing security.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>&#8224;<FONT size=1 face=sans-serif>&#8224; </FONT></FONT><FONT size=1 face=sans-serif>The interest or dividend rate and date shown parenthetically represent the new interest or dividend rate to be paid and the date the fund will begin accruing interest or dividend income at this rate.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>&#8225;&#8225; Income may be received in cash or additional securities at the discretion of the issuer.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif># This security, in part or in entirety, was 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=1 face=sans-serif>## This security, in part or in entirety, was 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=1 face=sans-serif><FONT lang=EN-US size=1 face=Arial>&#8710;</FONT>&nbsp;</FONT><FONT size=1 face=sans-serif>Forward commitment, in part or in entirety (Note 1).</FONT></P>

<P style="TEXT-ALIGN: left"><B><SUP><FONT size=1 face=sans-serif>c </FONT></SUP></B><FONT size=1 face=sans-serif>Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The 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 (Notes 1 and 7).</FONT></P>

<P style="TEXT-ALIGN: left"><B><SUP><FONT size=1 face=sans-serif>e </FONT></SUP></B><FONT size=1 face=sans-serif>See Note 6 to the financial statements regarding investments in Putnam Money Market Liquidity Fund. 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"><B><SUP><FONT size=1 face=sans-serif>F </FONT></SUP></B><FONT size=1 face=sans-serif>Is valued at fair value following procedures approved by the Trustees. Securities may be classified as Level 2 or Level 3 for Accounting Standards Codification ASC 820 </FONT><I><FONT size=1 face=sans-serif>Fair Value Measurements and Disclosures </FONT></I><FONT size=1 face=sans-serif>(ASC 820) based on the securities&#8217; valuation inputs.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>53</FONT></P></DIV>

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<DIV style="PADDING-LEFT: 0%; PADDING-RIGHT: 0%">

<P style="TEXT-ALIGN: left"><B><SUP><FONT size=1 face=sans-serif>i </FONT></SUP></B><FONT size=1 face=sans-serif>Security purchased with cash or security received, that was pledged to the fund for collateral on certain derivatives contracts (Note 1).</FONT></P>

<P style="TEXT-ALIGN: left"><B><SUP><FONT size=1 face=sans-serif>R </FONT></SUP></B><FONT size=1 face=sans-serif>Real Estate Investment Trust.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>At the close of the reporting period, the fund maintained liquid assets totaling $188,039,826 to cover certain derivatives contracts.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>Debt obligations are considered secured unless otherwise indicated.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>144A after the name of an issuer represents securities exempt from registration under Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>See Note 1 to the financial statements regarding TBA&#8217;s.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>The rates shown on FRB and FRN are the current interest rates at the close of the reporting period.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>The dates shown on debt obligations are the original maturity dates.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>IFB are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The interest rates shown are the current interest rates at the close of the reporting period.</FONT></P>

<DIV align=left>

<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="24%"></TD>

   <TD width="24%" align=right></TD>

   <TD width="3%"></TD>

   <TD width="24%"></TD>

   <TD width="24%" align=right></TD></TR>

<TR vAlign=bottom>

   <TD width="24%" noWrap align=left><B><FONT size=1 face=sans-serif>DIVERSIFICATION BY COUNTRY</FONT></B>&nbsp;</TD>

   <TD width="24%" noWrap align=right>&nbsp;</TD>

   <TD width="3%" noWrap align=left></TD>

   <TD width="24%" noWrap align=left>&nbsp;</TD>

   <TD width="24%" noWrap align=right>&nbsp;</TD></TR>

<TR height=20>

   <TD width="99%" colSpan=5 noWrap align=left><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="99%" colSpan=5 noWrap align=left><FONT size=1 face=sans-serif>Distribution of investments by country of risk at the close of the reporting period, excluding collateral received if</FONT>&nbsp;<FONT size=1 face=sans-serif>any (as a percentage of Portfolio&nbsp;Value):</FONT></TD></TR>

<TR vAlign=bottom>

   <TD width="24%" noWrap align=left></TD>

   <TD width="24%" noWrap align=right>&nbsp;</TD>

   <TD width="3%" noWrap align=left></TD>

   <TD width="24%" noWrap align=left>&nbsp;</TD>

   <TD width="24%" noWrap align=right>&nbsp;</TD></TR>

<TR height=20>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>&nbsp;</FONT></TD>

   <TD width="24%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="3%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="24%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD></TR>

<TR vAlign=bottom>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>United States</FONT>&nbsp;</TD>

   <TD width="24%" noWrap align=right><FONT size=1 face=sans-serif>86.5%</FONT>&nbsp;</TD>

   <TD width="3%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>Brazil</FONT>&nbsp;</TD>

   <TD width="24%" noWrap align=right><FONT size=1 face=sans-serif>0.8%</FONT>&nbsp;</TD></TR>

<TR height=20>

   <TD width="48%" colSpan=2 noWrap align=left><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

</FONT><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="3%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="48%" colSpan=2 noWrap align=left><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

</FONT><FONT size=1 face=sans-serif></FONT></TD></TR>

<TR vAlign=bottom>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>Russia</FONT>&nbsp;</TD>

   <TD width="24%" noWrap align=right><FONT size=1 face=sans-serif>2.3</FONT>&nbsp;</TD>

   <TD width="3%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>Netherlands</FONT>&nbsp;</TD>

   <TD width="24%" noWrap align=right><FONT size=1 face=sans-serif>0.6</FONT>&nbsp;</TD></TR>

<TR height=20>

   <TD width="48%" colSpan=2 noWrap align=left><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

</FONT><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="3%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="48%" colSpan=2 noWrap align=left><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

</FONT><FONT size=1 face=sans-serif></FONT></TD></TR>

<TR vAlign=bottom>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>Argentina</FONT>&nbsp;</TD>

   <TD width="24%" noWrap align=right><FONT size=1 face=sans-serif>2.0</FONT>&nbsp;</TD>

   <TD width="3%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>United Kingdom</FONT>&nbsp;</TD>

   <TD width="24%" noWrap align=right><FONT size=1 face=sans-serif>0.6</FONT>&nbsp;</TD></TR>

<TR height=20>

   <TD width="48%" colSpan=2 noWrap align=left><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

</FONT><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="3%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="48%" colSpan=2 noWrap align=left><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

</FONT><FONT size=1 face=sans-serif></FONT></TD></TR>

<TR vAlign=bottom>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>Venezuela</FONT>&nbsp;</TD>

   <TD width="24%" noWrap align=right><FONT size=1 face=sans-serif>1.2</FONT>&nbsp;</TD>

   <TD width="3%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>Turkey</FONT>&nbsp;</TD>

   <TD width="24%" noWrap align=right><FONT size=1 face=sans-serif>0.6</FONT>&nbsp;</TD></TR>

<TR height=20>

   <TD width="48%" colSpan=2 noWrap align=left><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

</FONT><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="3%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="48%" colSpan=2 noWrap align=left><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

</FONT><FONT size=1 face=sans-serif></FONT></TD></TR>

<TR vAlign=bottom>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>Indonesia</FONT>&nbsp;</TD>

   <TD width="24%" noWrap align=right><FONT size=1 face=sans-serif>0.9</FONT>&nbsp;</TD>

   <TD width="3%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>Germany</FONT>&nbsp;</TD>

   <TD width="24%" noWrap align=right><FONT size=1 face=sans-serif>0.5</FONT>&nbsp;</TD></TR>

<TR height=20>

   <TD width="48%" colSpan=2 noWrap align=left><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

</FONT><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="3%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="48%" colSpan=2 noWrap align=left><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

</FONT><FONT size=1 face=sans-serif></FONT></TD></TR>

<TR vAlign=bottom>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>Luxembourg</FONT>&nbsp;</TD>

   <TD width="24%" noWrap align=right><FONT size=1 face=sans-serif>0.8</FONT>&nbsp;</TD>

   <TD width="3%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>Other</FONT>&nbsp;</TD>

   <TD width="24%" noWrap align=right><FONT size=1 face=sans-serif>2.4</FONT>&nbsp;</TD></TR>

<TR height=20>

   <TD width="48%" colSpan=2 noWrap align=left><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

</FONT><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="3%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="48%" colSpan=2 noWrap align=left><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

</FONT><FONT size=1 face=sans-serif></FONT></TD></TR>

<TR vAlign=bottom>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>Ukraine</FONT>&nbsp;</TD>

   <TD width="24%" noWrap align=right><FONT size=1 face=sans-serif>0.8</FONT>&nbsp;</TD>

   <TD width="3%" noWrap align=left><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="24%" noWrap align=left><B><FONT size=1 face=sans-serif>Total</FONT></B>&nbsp;</TD>

   <TD width="24%" noWrap align=right><B><FONT size=1 face=sans-serif>100.0%</FONT></B>&nbsp;</TD></TR>

<TR>

   <TD width="48%" colSpan=2>

   <HR SIZE=1 noShade>

</TD>

   <TD width="3%"></TD>

   <TD width="48%" colSpan=2>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>FORWARD CURRENCY CONTRACTS at 9/30/11 (aggregate face value $189,885,331)</FONT></B></P>

<DIV align=left>

<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="19%"></TD>

   <TD width="20%"></TD>

   <TD width="12%"></TD>

   <TD width="8%"></TD>

   <TD width="10%"></TD>

   <TD width="15%"></TD>

   <TD width="15%"></TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="8%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif>Contract</FONT></B>&nbsp;</TD>

   <TD width="8%" noWrap align=left><B><FONT size=1 face=sans-serif>Delivery</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Aggregate</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>appreciation/</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left><B><FONT size=1 face=sans-serif>Counterparty</FONT></B>&nbsp;</TD>

   <TD width="20%" noWrap align=left><B><FONT size=1 face=sans-serif>Currency</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif>type</FONT></B>&nbsp;</TD>

   <TD width="8%" noWrap align=left><B><FONT size=1 face=sans-serif>date</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>face value</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>(depreciation)</FONT></B>&nbsp;</TD></TR>

<TR height=20>

   <TD width="99%" colSpan=7 noWrap align=left><B><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

</FONT></B></TD></TR>

<TR vAlign=bottom>

   <TD width="39%" colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>Bank of America, N.A.</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="8%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Australian Dollar</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>$1,714,171</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$1,854,792</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$(140,621)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Brazilian Real</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>309,356</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>351,454</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(42,098)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>British Pound</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>367,696</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>375,348</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>7,652</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Canadian Dollar</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>847,289</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>893,207</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>45,918</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Chilean Peso</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>47,360</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>52,950</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(5,590)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Czech Koruna</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>232,701</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>246,243</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(13,542)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Euro</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,025,825</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,068,534</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>42,709</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Hungarian Forint</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>16,603</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>18,405</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(1,802)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Japanese Yen</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,228,624</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,223,896</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>4,728</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Mexican Peso</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>154,797</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>166,134</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>11,337</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Norwegian Krone</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>289,960</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>314,293</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>24,333</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Russian Ruble</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>4,005</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>4,364</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(359)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Singapore Dollar</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>550,817</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>592,649</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(41,832)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>South African Rand</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>15,420</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>17,300</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,880</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>South Korean Won</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>24,394</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>26,650</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,256</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Swedish Krona</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>993,027</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,062,662</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(69,635)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Swiss Franc</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,863,852</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,964,255</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(100,403)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>54</FONT></P></DIV>

<HR align=center SIZE=2 width="100%" noShade>



<!--$$/page=--><A name="page_56"></A><BR>

<DIV style="PADDING-LEFT: 0%;; PADDING-RIGHT: 0%">

<P style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>FORWARD CURRENCY CONTRACTS at 9/30/11 (aggregate face value $189,885,331) </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I></P>

<DIV align=left>

<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="19%"></TD>

   <TD width="20%"></TD>

   <TD width="12%"></TD>

   <TD width="8%"></TD>

   <TD width="10%"></TD>

   <TD width="15%"></TD>

   <TD width="15%"></TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="8%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif>Contract</FONT></B>&nbsp;</TD>

   <TD width="8%" noWrap align=left><B><FONT size=1 face=sans-serif>Delivery</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Aggregate</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>appreciation/</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left><B><FONT size=1 face=sans-serif>Counterparty</FONT></B>&nbsp;</TD>

   <TD width="20%" noWrap align=left><B><FONT size=1 face=sans-serif>Currency</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif>type</FONT></B>&nbsp;</TD>

   <TD width="8%" noWrap align=left><B><FONT size=1 face=sans-serif>date</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>face value</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>(depreciation)</FONT></B>&nbsp;</TD></TR>

<TR height=20>

   <TD width="99%" colSpan=7 noWrap align=left><B><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

 </FONT></B></TD></TR>

<TR vAlign=bottom>

   <TD width="39%" colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>Bank of America, N.A. </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="8%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Taiwan Dollar</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>$610,728</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$639,234</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$28,506</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Turkish Lira</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>539,868</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>568,978</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>29,110</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="39%" colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>Barclays Bank PLC</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="8%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Australian Dollar</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>4,854,010</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>5,116,658</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>262,648</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Brazilian Real</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>299,151</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>338,357</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(39,206)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>British Pound</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>154,951</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>158,065</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(3,114)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Canadian Dollar</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,764,283</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,826,555</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>62,272</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Chilean Peso</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,397</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,557</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(160)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Czech Koruna</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>268,729</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>283,812</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(15,083)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Euro</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>4,243,119</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>4,330,995</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>87,876</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Hungarian Forint</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>304,899</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>337,024</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>32,125</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Indian Rupee</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,497,518</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,553,596</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>56,078</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Indonesian Rupiah</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>264,646</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>253,688</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(10,958)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Japanese Yen</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>866,669</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>862,219</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>4,450</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Malaysian Ringgit</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>50,150</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>53,493</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(3,343)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Mexican Peso</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>192,122</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>200,233</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8,111</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>New Zealand Dollar</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>106,523</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>116,172</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(9,649)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Norwegian Krone</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,439,344</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,437,656</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(1,688)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Polish Zloty</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>740,301</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>777,571</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>37,270</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Russian Ruble</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>4,005</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>4,358</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(353)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Singapore Dollar</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>11,786</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>12,681</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(895)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>South Korean Won</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>446,582</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>487,804</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>41,222</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Swedish Krona</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,070,239</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,142,759</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>72,520</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Swiss Franc</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,352,756</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,430,830</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>78,074</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Taiwan Dollar</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>569,029</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>574,889</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>5,860</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Thai Baht</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>55,911</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>56,322</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>411</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Turkish Lira</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>607,869</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>640,863</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(32,994)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left><B><FONT size=1 face=sans-serif>Citibank, N.A.</FONT></B>&nbsp;</TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="8%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Australian Dollar</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,101,538</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,191,049</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>89,511</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Brazilian Real</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,454,622</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,582,486</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>127,864</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>British Pound</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,650,727</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,683,588</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>32,861</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Canadian Dollar</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>565,689</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>594,659</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>28,970</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Chilean Peso</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>186,903</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>208,515</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>21,612</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Czech Koruna</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>244,057</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>254,525</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>10,468</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Danish Krone</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>242,762</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>253,952</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(11,190)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Euro</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,942,560</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,024,029</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>81,469</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Hungarian Forint</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>89,320</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>98,781</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(9,461)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Japanese Yen</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>2,475,781</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,465,286</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(10,495)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Mexican Peso</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>210,562</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>233,793</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(23,231)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>New Zealand Dollar</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>14,488</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>15,783</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(1,295)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Norwegian Krone</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>360,703</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>391,342</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(30,639)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Polish Zloty</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>893,521</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>976,283</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(82,762)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Singapore Dollar</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>621,075</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>633,363</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>12,288</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>South African Rand</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>532,009</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>597,694</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>65,685</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>55</FONT></P></DIV>

<HR align=center SIZE=2 width="100%" noShade>



<!--$$/page=--><A name="page_57"></A><BR>

<DIV style="PADDING-LEFT: 0%; PADDING-RIGHT: 0%">

<P style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>FORWARD CURRENCY CONTRACTS at 9/30/11 (aggregate face value $189,885,331) </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I></P>

<DIV align=left>

<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="19%"></TD>

   <TD width="20%"></TD>

   <TD width="12%"></TD>

   <TD width="8%"></TD>

   <TD width="10%"></TD>

   <TD width="15%"></TD>

   <TD width="15%"></TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="8%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif>Contract</FONT></B>&nbsp;</TD>

   <TD width="8%" noWrap align=left><B><FONT size=1 face=sans-serif>Delivery</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Aggregate</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>appreciation/</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left><B><FONT size=1 face=sans-serif>Counterparty</FONT></B>&nbsp;</TD>

   <TD width="20%" noWrap align=left><B><FONT size=1 face=sans-serif>Currency</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif>type</FONT></B>&nbsp;</TD>

   <TD width="8%" noWrap align=left><B><FONT size=1 face=sans-serif>date</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>face value</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>(depreciation)</FONT></B>&nbsp;</TD></TR>

<TR height=20>

   <TD width="99%" colSpan=7 noWrap align=left><B><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

</FONT></B></TD></TR>

<TR vAlign=bottom>

   <TD width="39%" colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>Citibank, N.A. </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="8%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>South Korean Won</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>$31,776</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$34,764</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$(2,988)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Swedish Krona</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>115,665</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>113,960</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(1,705)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Swiss Franc</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,276,191</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,345,267</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(69,076)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Taiwan Dollar</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>557,694</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>583,063</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>25,369</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Turkish Lira</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>220,706</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>232,712</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(12,006)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="39%" colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>Credit Suisse AG</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="8%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Australian Dollar</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,726,853</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,742,244</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>15,391</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Brazilian Real</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>437,994</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>495,306</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>57,312</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>British Pound</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>4,168,367</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>4,163,526</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>4,841</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Canadian Dollar</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>874,721</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>922,852</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>48,131</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Chilean Peso</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>7,796</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8,705</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(909)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Czech Koruna</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>24,156</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>25,531</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(1,375)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Euro</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,699,153</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,712,411</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>13,258</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Hungarian Forint</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>605,279</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>615,214</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9,935</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Indian Rupee</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,044,441</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,077,578</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>33,137</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Japanese Yen</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>3,007,176</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,987,917</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>19,259</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Malaysian Ringgit</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>297,176</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>306,721</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9,545</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Mexican Peso</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>390,970</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>416,788</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>25,818</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Norwegian Krone</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,285,863</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,395,915</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>110,052</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Polish Zloty</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>981,560</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,037,909</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>56,349</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Russian Ruble</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>2,719</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,957</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>238</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>South African Rand</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>343,737</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>385,085</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>41,348</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>South Korean Won</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>39,092</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>39,472</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(380)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Swedish Krona</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>242,778</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>259,920</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>17,142</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Swiss Franc</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>808,074</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>861,941</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>53,867</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Taiwan Dollar</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>613,272</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>630,605</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>17,333</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Turkish Lira</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>164,200</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>173,075</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8,875</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="39%" colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>Deutsche Bank AG</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="8%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Australian Dollar</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,564,304</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,688,430</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>124,126</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Brazilian Real</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>403,416</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>456,749</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(53,333)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>British Pound</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>767,413</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>782,985</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>15,572</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Canadian Dollar</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,966,028</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,084,313</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(118,285)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Chilean Peso</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>191,049</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>213,691</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(22,642)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Czech Koruna</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>15,800</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>16,707</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(907)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Euro</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>2,246,483</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,284,587</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(38,104)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Hungarian Forint</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>335,573</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>371,267</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>35,694</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Malaysian Ringgit</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>107,188</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>110,719</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3,531</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Mexican Peso</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>33,762</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>34,027</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>265</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>New Zealand Dollar</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>403,444</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>439,841</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>36,397</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Norwegian Krone</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>160,180</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>173,834</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(13,654)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Polish Zloty</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>361,768</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>395,525</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(33,757)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Singapore Dollar</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>353,971</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>358,055</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>4,084</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>South Korean Won</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>372,923</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>407,535</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>34,612</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Swedish Krona</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>2,537,460</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,574,348</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>36,888</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>56</FONT></P></DIV>

<HR align=center SIZE=2 width="100%" noShade>



<A name="page_58"></A><BR>

<DIV style="PADDING-LEFT: 0%; PADDING-RIGHT: 0%">

<P style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>FORWARD CURRENCY CONTRACTS at 9/30/11 (aggregate face value $189,885,331) </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I></P>

<DIV align=left>

<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="19%"></TD>

   <TD width="20%"></TD>

   <TD width="12%"></TD>

   <TD width="8%"></TD>

   <TD width="10%"></TD>

   <TD width="15%"></TD>

   <TD width="15%"></TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="8%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif>Contract</FONT></B>&nbsp;</TD>

   <TD width="8%" noWrap align=left><B><FONT size=1 face=sans-serif>Delivery</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Aggregate</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>appreciation/</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left><B><FONT size=1 face=sans-serif><B><FONT size=1 face=sans-serif>Counterparty </FONT></B></FONT></B>&nbsp;</TD>

   <TD width="20%" noWrap align=left><B><FONT size=1 face=sans-serif>Currency</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif>type</FONT></B>&nbsp;</TD>

   <TD width="8%" noWrap align=left><B><FONT size=1 face=sans-serif>date</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>face value</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>(depreciation)</FONT></B>&nbsp;</TD></TR>

<TR height=20>

   <TD width="99%" colSpan=7 noWrap align=left><B><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

</FONT></B><B><FONT size=1 face=sans-serif></FONT></B></TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left><B><FONT size=1 face=sans-serif><B><FONT size=1 face=sans-serif>Deutsche Bank AG </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I></FONT></B></TD>

   <TD width="20%" noWrap align=left></TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="8%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Swiss Franc</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>$619,700</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$653,067</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$(33,367)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Taiwan Dollar</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>213,915</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>223,900</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9,985</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Turkish Lira</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>285,538</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>300,798</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>15,260</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="39%" colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif><B><FONT size=1 face=sans-serif>Goldman Sachs International</FONT></B></FONT></B></TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="8%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Australian Dollar</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>993,979</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,074,975</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(80,996)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>British Pound</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,096,840</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,118,668</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(21,828)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Canadian Dollar</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>603,127</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>635,602</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>32,475</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Chilean Peso</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>497,339</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>523,174</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>25,835</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Euro</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>632,134</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>639,570</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>7,436</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Hungarian Forint</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>445,781</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>447,158</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,377</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Japanese Yen</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>562,488</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>559,153</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3,335</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Norwegian Krone</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,482,029</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,607,633</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>125,604</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Polish Zloty</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>569,861</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>583,635</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>13,774</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>South African Rand</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>42,106</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>46,557</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>4,451</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Swedish Krona</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>979,546</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,048,581</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>69,035</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Swiss Franc</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>95,678</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>100,709</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(5,031)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" colSpan=3 noWrap align=left><B><FONT size=1 face=sans-serif><B><FONT size=1 face=sans-serif>HSBC Bank USA, National Association</FONT></B></FONT></B></TD>

   <TD width="8%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Australian Dollar</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>2,685,774</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,904,547</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>218,773</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>British Pound</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,875,413</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,913,384</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>37,971</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Euro</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>4,239,094</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>4,324,369</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>85,275</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Indian Rupee</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,054,667</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,054,435</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(232)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Japanese Yen</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>355,469</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>353,411</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(2,058)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>New Zealand Dollar</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>11,514</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>12,553</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,039</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Norwegian Krone</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,640,636</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,780,392</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>139,756</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Singapore Dollar</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>554,873</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>596,998</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(42,125)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>South Korean Won</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>589,746</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>592,225</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,479</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Swiss Franc</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>915,906</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>963,617</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(47,711)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Taiwan Dollar</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>93,663</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>97,984</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>4,321</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left><B><FONT size=1 face=sans-serif><B><FONT size=1 face=sans-serif>JPMorgan Chase Bank, N.A.</FONT></B></FONT></B></TD>

   <TD width="20%" noWrap align=left></TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="8%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Australian Dollar</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,581,344</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,710,628</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>129,284</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Brazilian Real</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>302,059</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>341,217</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>39,158</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>British Pound</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,538,731</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,541,725</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(2,994)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Canadian Dollar</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>148,795</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>155,978</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(7,183)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Chilean Peso</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>58,478</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>65,073</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(6,595)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Czech Koruna</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>286,507</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>294,712</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8,205</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Euro</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>2,532,426</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,639,097</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>106,671</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Hungarian Forint</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>310,029</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>342,694</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>32,665</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Japanese Yen</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>742,183</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>739,943</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(2,240)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Malaysian Ringgit</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>378,068</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>390,525</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>12,457</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Mexican Peso</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>485,479</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>538,063</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>52,584</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>New Zealand Dollar</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>74,116</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>80,815</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(6,699)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Norwegian Krone</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>358,550</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>382,180</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(23,630)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Polish Zloty</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>2,983,728</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3,203,190</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>219,462</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Russian Ruble</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>313,285</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>321,134</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>7,849</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>57</FONT></P></DIV>

<HR align=center SIZE=2 width="100%" noShade>



<!--$$/page=--><A name="page_59"></A><BR>

<DIV style="PADDING-LEFT: 0%;; PADDING-RIGHT: 0%">

<P style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>FORWARD CURRENCY CONTRACTS at 9/30/11 (aggregate face value $189,885,331) </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I></P>

<DIV align=left>

<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="19%"></TD>

   <TD width="20%"></TD>

   <TD width="12%"></TD>

   <TD width="8%"></TD>

   <TD width="10%"></TD>

   <TD width="15%"></TD>

   <TD width="15%"></TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="8%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif>Contract</FONT></B>&nbsp;</TD>

   <TD width="8%" noWrap align=left><B><FONT size=1 face=sans-serif>Delivery</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Aggregate</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>appreciation/</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left><B><FONT size=1 face=sans-serif>Counterparty</FONT></B>&nbsp;</TD>

   <TD width="20%" noWrap align=left><B><FONT size=1 face=sans-serif>Currency</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif>type</FONT></B>&nbsp;</TD>

   <TD width="8%" noWrap align=left><B><FONT size=1 face=sans-serif>date</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>face value</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>(depreciation)</FONT></B>&nbsp;</TD></TR>

<TR height=20>

   <TD width="99%" colSpan=7 noWrap align=left><B><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

 </FONT></B></TD></TR>

<TR vAlign=bottom>

   <TD width="39%" colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>JPMorgan Chase Bank, N.A. </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="8%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Singapore Dollar</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>$84,570</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$85,538</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$968</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>South African Rand</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>568,031</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>598,389</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>30,358</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>South Korean Won</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>623,968</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>681,626</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>57,658</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Swedish Krona</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>612,682</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>617,852</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>5,170</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Swiss Franc</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,012,358</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,066,451</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>54,093</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Taiwan Dollar</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>391,619</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>409,266</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>17,647</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Thai Baht</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>52,196</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>52,546</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>350</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Turkish Lira</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>161,085</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>169,397</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8,312</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="39%" colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>Royal Bank of Scotland PLC (The)</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="8%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Australian Dollar</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>2,910,876</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,969,652</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>58,776</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Brazilian Real</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>548,338</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>619,386</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>71,048</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>British Pound</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>2,441,882</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,412,946</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>28,936</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Canadian Dollar</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,286,971</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,305,763</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>18,792</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Chilean Peso</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>24,180</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>27,005</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(2,825)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Czech Koruna</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>25,471</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>25,815</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>344</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Euro</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>3,804,208</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3,842,204</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>37,996</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Hungarian Forint</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>490,388</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>490,058</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(330)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Indian Rupee</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>892,362</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>942,656</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>50,294</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Japanese Yen</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>62,227</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>61,850</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>377</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Malaysian Ringgit</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>252,911</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>269,633</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(16,722)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Mexican Peso</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>745,557</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>820,972</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>75,415</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>New Zealand Dollar</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>38,431</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>41,898</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3,467</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Norwegian Krone</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>2,543,240</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,762,906</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>219,666</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Polish Zloty</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>50,750</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>55,594</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>4,844</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Russian Ruble</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>2,716</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,960</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>244</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Singapore Dollar</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>59,773</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>64,341</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(4,568)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>South African Rand</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>78,833</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>88,392</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9,559</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>South Korean Won</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>83,343</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>88,597</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>5,254</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Swedish Krona</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,495,951</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,525,864</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>29,913</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Swiss Franc</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,785,077</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,877,411</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>92,334</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Taiwan Dollar</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>729,335</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>742,858</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>13,523</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Turkish Lira</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>229,784</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>242,311</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(12,527)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="39%" colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>State Street Bank and Trust Co.</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="8%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Australian Dollar</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,386,653</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,399,243</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>12,590</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Brazilian Real</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>109,128</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>123,719</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>14,591</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>British Pound</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>598,404</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>610,363</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(11,959)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Canadian Dollar</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,723,877</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,815,853</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>91,976</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Czech Koruna</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>278,732</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>294,049</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(15,317)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Euro</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>4,048,823</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>4,130,342</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>81,519</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Hungarian Forint</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>185,178</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>204,573</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(19,395)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Indonesian Rupiah</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>544,035</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>505,992</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(38,043)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Japanese Yen</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>3,274,649</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3,271,308</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(3,341)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Malaysian Ringgit</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>343,194</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>366,129</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(22,935)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Mexican Peso</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>604,743</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>664,445</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>59,702</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>58</FONT></P></DIV>

<HR align=center SIZE=2 width="100%" noShade>



<!--$$/page=--><A name="page_60"></A><BR>

<DIV style="PADDING-LEFT: 0%;; PADDING-RIGHT: 0%">

<P style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>FORWARD CURRENCY CONTRACTS at 9/30/11 (aggregate face value $189,885,331) </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I></P>

<DIV align=left>

<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="19%"></TD>

   <TD width="20%"></TD>

   <TD width="12%"></TD>

   <TD width="8%"></TD>

   <TD width="10%"></TD>

   <TD width="15%"></TD>

   <TD width="15%"></TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="8%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif>Contract</FONT></B>&nbsp;</TD>

   <TD width="8%" noWrap align=left><B><FONT size=1 face=sans-serif>Delivery</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Aggregate</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>appreciation/</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left><B><FONT size=1 face=sans-serif>Counterparty</FONT></B>&nbsp;</TD>

   <TD width="20%" noWrap align=left><B><FONT size=1 face=sans-serif>Currency</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif>type</FONT></B>&nbsp;</TD>

   <TD width="8%" noWrap align=left><B><FONT size=1 face=sans-serif>date</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>face value</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>(depreciation)</FONT></B>&nbsp;</TD></TR>

<TR height=20>

   <TD width="99%" colSpan=7 noWrap align=left><B><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

 </FONT></B></TD></TR>

<TR vAlign=bottom>

   <TD width="39%" colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>State Street Bank and Trust Co. </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="8%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Norwegian Krone</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>$1,768,674</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$1,917,843</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$149,169</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Polish Zloty</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>597,964</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>614,221</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>16,257</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Russian Ruble</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>4,011</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>4,361</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(350)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Singapore Dollar</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>381,064</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>410,199</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(29,135)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>South African Rand</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>285,296</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>320,066</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>34,770</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>South Korean Won</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>470</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>513</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>43</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Swedish Krona</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,005,630</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,076,217</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(70,587)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Swiss Franc</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,472,631</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,551,363</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(78,732)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Taiwan Dollar</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>909,334</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>925,276</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>15,942</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Thai Baht</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>479,258</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>496,448</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(17,190)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Turkish Lira</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>6,123</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>6,450</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>327</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left><B><FONT size=1 face=sans-serif>UBS AG</FONT></B>&nbsp;</TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="8%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Australian Dollar</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>3,206,253</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3,301,511</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>95,258</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Brazilian Real</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>484,627</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>548,829</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>64,202</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>British Pound</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,129,798</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,116,399</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>13,399</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Canadian Dollar</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>2,028,361</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,052,144</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>23,783</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Czech Koruna</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>254,891</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>266,445</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>11,554</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Euro</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>5,447,004</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>5,538,177</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(91,173)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Hungarian Forint</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>311,496</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>344,147</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>32,651</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Indian Rupee</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,307,852</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,384,094</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>76,242</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Japanese Yen</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,740,566</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,730,344</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(10,222)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Mexican Peso</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>5,350</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>5,939</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>589</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>New Zealand Dollar</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>208,165</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>227,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(18,835)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Norwegian Krone</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>800,813</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>868,997</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(68,184)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Polish Zloty</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>723,081</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>734,086</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>11,005</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Russian Ruble</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>2,725</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,967</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>242</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Singapore Dollar</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>394,610</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>424,572</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(29,962)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>South African Rand</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>353,420</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>344,315</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(9,105)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>South Korean Won</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>140,829</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>149,601</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8,772</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Swedish Krona</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>544,155</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>559,275</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(15,120)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Swiss Franc</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,539,915</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,622,396</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>82,481</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Taiwan Dollar</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>364,781</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>381,545</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>16,764</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Thai Baht</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>55,911</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>56,226</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>315</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Turkish Lira</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>10,259</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>10,811</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(552)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="39%" colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>Westpac Banking Corp.</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="8%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Australian Dollar</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,172,212</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,267,296</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>95,084</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>British Pound</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>538,892</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>541,149</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(2,257)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Canadian Dollar</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>146,784</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>154,594</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>7,810</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Euro</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>525,324</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>547,399</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>22,075</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Japanese Yen</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,269,687</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,261,946</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>7,741</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>New Zealand Dollar</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>5,871</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>6,399</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(528)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Norwegian Krone</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>345,820</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>368,604</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(22,784)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Swedish Krona</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>793,760</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>849,928</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>56,168</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Swiss Franc</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Sell</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>10/19/11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>32,593</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>34,333</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,740</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="19%" noWrap align=left><B><FONT size=1 face=sans-serif>Total</FONT></B>&nbsp;</TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="8%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>$3,716,172</FONT></B>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>59</FONT></P></DIV>

<HR align=center SIZE=2 width="100%" noShade>



<!--$$/page=--><A name="page_61"></A><BR>

<DIV style="PADDING-LEFT: 0%;; PADDING-RIGHT: 0%">

<P style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>FUTURES CONTRACTS OUTSTANDING at 9/30/11</FONT></B></P>

<DIV align=left>

<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="32%"></TD>

   <TD width="15%"></TD>

   <TD width="17%"></TD>

   <TD width="10%"></TD>

   <TD width="10%"></TD>

   <TD width="15%"></TD></TR>

<TR vAlign=bottom>

   <TD width="32%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="32%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Number of</FONT></B>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="10%" noWrap align=left><B><FONT size=1 face=sans-serif>Expiration</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>appreciation/</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="32%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>contracts</FONT></B>&nbsp;</TD>

   <TD width="17%" noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=left><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="10%" noWrap align=left><B><FONT size=1 face=sans-serif>date</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>(depreciation)</FONT></B>&nbsp;</TD></TR>

<TR height=20>

   <TD width="99%" colSpan=6 noWrap align=left><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

</FONT></TD></TR>

<TR vAlign=bottom>

   <TD width="32%" noWrap align=left><FONT size=1 face=sans-serif>Australian Government</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="32%" noWrap align=left><FONT size=1 face=sans-serif>Treasury Bond 10 yr (Long)</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>11</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>$1,021,971</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Dec-11</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$(7,649)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="32%" noWrap align=left><FONT size=1 face=sans-serif>Canadian Government Bond</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="32%" noWrap align=left><FONT size=1 face=sans-serif>10 yr (Long)</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>39</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>4,965,029</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Dec-11</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>80,148</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="32%" noWrap align=left><FONT size=1 face=sans-serif>Euro-Bobl 5 yr (Short)</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>6</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>983,391</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Dec-11</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3,442</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="32%" noWrap align=left><FONT size=1 face=sans-serif>Euro-Bund 10 yr (Long)</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>61</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>11,173,352</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Dec-11</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(93,184)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="32%" noWrap align=left><FONT size=1 face=sans-serif>Euro-Schatz 2 yr (Long)</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>25</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>3,677,921</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Dec-11</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(10,482)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="32%" noWrap align=left><FONT size=1 face=sans-serif>Euro-Swiss Franc 3 Month (Short)</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>16</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>4,419,262</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Dec-11</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(31,645)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="32%" noWrap align=left><FONT size=1 face=sans-serif>Euro-Swiss Franc 3 Month (Short)</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>38</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>10,505,191</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Jun-12</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(127,428)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="32%" noWrap align=left><FONT size=1 face=sans-serif>Euro-Swiss Franc 3 Month (Short)</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>38</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>10,498,896</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Dec-12</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(158,327)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="32%" noWrap align=left><FONT size=1 face=sans-serif>Euro-Swiss Franc 3 Month (Short)</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>38</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>10,503,093</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Mar-12</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(100,755)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="32%" noWrap align=left><FONT size=1 face=sans-serif>Japanese Government Bond</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="32%" noWrap align=left><FONT size=1 face=sans-serif>10 yr (Long)</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>3,690,212</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Dec-11</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(13,244)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="32%" noWrap align=left><FONT size=1 face=sans-serif>Japanese Government Bond</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="32%" noWrap align=left><FONT size=1 face=sans-serif>10 yr Mini (Long)</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>11</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>2,029,759</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Dec-11</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(6,479)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="32%" noWrap align=left><FONT size=1 face=sans-serif>U.K. Gilt 10 yr (Short)</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>609,231</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Dec-11</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(11,351)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="32%" noWrap align=left><FONT size=1 face=sans-serif>U.S. Treasury Bond 20 yr (Short)</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>17</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>2,424,625</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Dec-11</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(60,501)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="32%" noWrap align=left><FONT size=1 face=sans-serif>U.S. Treasury Bond 30 yr (Long)</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>42</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>6,662,250</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Dec-11</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>669,623</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="32%" noWrap align=left><FONT size=1 face=sans-serif>U.S. Treasury Note 10 yr (Long)</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>343</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>44,622,156</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>Dec-11</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>101,457</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="32%" noWrap align=left><B><FONT size=1 face=sans-serif>Total</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>$233,625</FONT></B>&nbsp;</TD></TR>

<TR>

   <TD width="32%">&nbsp;</TD>

   <TD width="52%" colSpan=4></TD>

   <TD width="15%">&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="47%"></TD>

   <TD width="15%"></TD>

   <TD width="12%"></TD>

   <TD width="15%"></TD>

   <TD width="10%"></TD></TR>

<TR vAlign=bottom>

   <TD width="62%" colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>WRITTEN OPTIONS OUTSTANDING at 9/30/11 (premiums received $36,215,870)</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Contract</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="15%" noWrap align=left><B><FONT size=1 face=sans-serif>Expiration date/</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>amount</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="15%" noWrap align=left><B><FONT size=1 face=sans-serif>strike price</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR height=20>

   <TD width="99%" colSpan=5 noWrap align=left><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

 </FONT></TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with JPMorgan Chase</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Bank, N.A. for the obligation to receive a fixed rate</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>of 4.375% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>maturing August 10, 2045.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$5,571,800</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Aug-15/4.375</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>$351,971</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with JPMorgan Chase</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Bank, N.A. for the obligation to pay a fixed rate of</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>4.375% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>maturing August 10, 2045.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>5,571,800</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Aug-15/4.375</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,726,924</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with JPMorgan Chase</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Bank, N.A. for the obligation to receive a fixed rate</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>of 4.46% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>maturing August 7, 2045.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>5,571,800</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Aug-15/4.46</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>333,026</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with JPMorgan Chase</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Bank, N.A. for the obligation to pay a fixed rate of 4.46%</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>August 7, 2045.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>5,571,800</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Aug-15/4.46</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,797,797</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman Sachs</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>International for the obligation to receive a fixed rate</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>of 3.49% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>maturing September 14, 2026.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>526,562</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Sep-16/3.49</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>33,799</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman Sachs</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>International for the obligation to pay a fixed rate</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>of 3.49% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>maturing September 14, 2026.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>526,562</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Sep-16/3.49</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>45,874</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>60</FONT></P></DIV>

<HR align=center SIZE=2 width="100%" noShade>



<!--$$/page=--><A name="page_62"></A><BR>

<DIV style="PADDING-LEFT: 0%; PADDING-RIGHT: 0%">

<DIV align=left>

<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="47%"></TD>

   <TD width="15%"></TD>

   <TD width="12%"></TD>

   <TD width="15%"></TD>

   <TD width="10%"></TD></TR>

<TR vAlign=bottom>

   <TD width="62%" colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>WRITTEN OPTIONS OUTSTANDING at 9/30/11 (premiums received $36,215,870) </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Contract</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="15%" noWrap align=left><B><FONT size=1 face=sans-serif>Expiration date/</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>amount</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="15%" noWrap align=left><B><FONT size=1 face=sans-serif>strike price</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR height=20>

   <TD width="99%" colSpan=5 noWrap align=left><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

&nbsp;</FONT></TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Bank of America,</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>N.A. for the obligation to receive a fixed rate of 5.35%</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>August 8, 2026.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$26,715,351</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Aug-16/5.35</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>$714,636</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Bank of America,</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>N.A. for the obligation to pay a fixed rate of 4.35%</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>August 8, 2026.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>26,715,351</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Aug-16/4.35</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>3,591,879</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Bank of America,</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>N.A. for the obligation to receive a fixed rate of 4.28%</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>August 5, 2026.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>11,059,894</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Aug-16/4.28</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>474,093</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Bank of America,</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>N.A. for the obligation to pay a fixed rate of 4.28%</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>August 5, 2026.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>11,059,894</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Aug-16/4.28</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,440,441</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Barclay&#8217;s Bank</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>PLC for the obligation to receive a fixed rate of 4.68%</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>August 3, 2026.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>7,865,832</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Aug-16/4.68</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>276,877</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Barclay&#8217;s Bank</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>PLC for the obligation to pay a fixed rate of 4.68%</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>August 3, 2026.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>7,865,832</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Aug-16/4.68</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,216,058</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Barclay&#8217;s Bank</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>PLC for the obligation to receive a fixed rate of 4.67%</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>August 2, 2026.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>6,554,860</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Jul-16/4.67</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>231,387</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Barclay&#8217;s Bank</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>PLC for the obligation to pay a fixed rate of 4.67%</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>August 2, 2026.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>6,554,860</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Jul-16/4.67</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,009,448</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Barclay&#8217;s Bank</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>PLC for the obligation to receive a fixed rate of 4.80%</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>August 1, 2026.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>6,554,860</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Jul-16/4.80</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>216,966</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Barclay&#8217;s Bank</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>PLC for the obligation to pay a fixed rate of 4.80%</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>August 1, 2026.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>6,554,860</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Jul-16/4.80</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,064,509</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Barclay&#8217;s Bank</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>PLC for the obligation to receive a fixed rate of 4.80%</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>July&nbsp;28, 2026.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,621,944</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Jul-16/4.80</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>86,786</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Barclay&#8217;s Bank</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>PLC for the obligation to pay a fixed rate of 4.80%</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>July&nbsp;28, 2026.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,621,944</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Jul-16/4.80</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>425,804</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Barclay&#8217;s Bank</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>PLC for the obligation to receive a fixed rate of 4.815%</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>July&nbsp;27, 2026.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>6,554,860</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Jul-16/4.815</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>214,999</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>61</FONT></P></DIV>

<HR align=center SIZE=2 width="100%" noShade>



<!--$$/page=--><A name="page_63"></A><BR>

<DIV style="PADDING-LEFT: 0%; PADDING-RIGHT: 0%">

<DIV align=left>

<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="47%"></TD>

   <TD width="15%"></TD>

   <TD width="12%"></TD>

   <TD width="15%"></TD>

   <TD width="10%"></TD></TR>

<TR vAlign=bottom>

   <TD width="62%" colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>WRITTEN OPTIONS OUTSTANDING at 9/30/11 (premiums received $36,215,870) </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Contract</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="15%" noWrap align=left><B><FONT size=1 face=sans-serif>Expiration date/</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>amount</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="15%" noWrap align=left><B><FONT size=1 face=sans-serif>strike price</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR height=20>

   <TD width="99%" colSpan=5 noWrap align=left><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

 </FONT></TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Barclay&#8217;s Bank</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>PLC for the obligation to pay a fixed rate of 4.815%</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>July&nbsp;27, 2026.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$6,554,860</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Jul-16/4.815</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>$1,071,064</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with JPMorgan Chase</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Bank, N.A. for the obligation to receive a fixed rate</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>of 4.79% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>maturing July 26, 2026.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3,686,784</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Jul-16/4.79</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>125,498</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with JPMorgan Chase</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Bank, N.A. for the obligation to pay a fixed rate of 4.79%</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>July&nbsp;26, 2026.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3,686,784</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Jul-16/4.79</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>597,738</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with JPMorgan Chase</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Bank, N.A. for the obligation to receive a fixed rate</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>of 4.74% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>maturing July 22, 2026.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>6,572,614</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Jul-16/4.74</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>228,596</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with JPMorgan Chase</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Bank, N.A. for the obligation to pay a fixed rate of 4.74%</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>July&nbsp;22, 2026.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>6,572,614</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Jul-16/4.74</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,044,586</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Citibank, N.A. for</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>the obligation to receive a fixed rate of 5.86% versus the</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>three month USD-LIBOR-BBA maturing July 1, 2026.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3,945,779</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Jun-16/5.86</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>84,203</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Citibank, N.A. for</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>the obligation to pay a fixed rate of 4.86% versus the</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>three month USD-LIBOR-BBA maturing July 1, 2026.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3,945,779</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Jun-16/4.86</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>658,945</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Citibank, N.A.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>for the obligation to receive a fixed rate of 4.61%</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>June 24, 2021.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,659,222</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Jun-16/4.61</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>31,210</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Citibank, N.A.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>for the obligation to pay a fixed rate of 4.61% versus</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>June 24, 2021.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,659,222</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Jun-16/4.61</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>145,796</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with JPMorgan Chase</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Bank, N.A. for the obligation to receive a fixed rate</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>of 4.815% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>maturing June 10, 2026.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>6,121,390</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Jun-16/4.815</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>201,210</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with JPMorgan Chase</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Bank, N.A. for the obligation to pay a fixed rate of</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>4.815% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>maturing June 10, 2026.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>6,121,390</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Jun-16/4.815</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,006,112</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Citibank, N.A.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>for the obligation to receive a fixed rate of 5.12%</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>June 6, 2021.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>556,661</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Jun-16/5.12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>8,411</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Barclay&#8217;s Bank</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>PLC for the obligation to receive a fixed rate of 4.89%</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>June 6, 2021.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>547,769</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Jun-16/4.89</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>8,655</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>62</FONT></P></DIV>

<HR align=center SIZE=2 width="100%" noShade>



<!--$$/page=--><A name="page_64"></A><BR>

<DIV style="PADDING-LEFT: 0%;; PADDING-RIGHT: 0%">

<DIV align=left>

<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="47%"></TD>

   <TD width="15%"></TD>

   <TD width="12%"></TD>

   <TD width="15%"></TD>

   <TD width="10%"></TD></TR>

<TR vAlign=bottom>

   <TD width="62%" colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>WRITTEN OPTIONS OUTSTANDING at 9/30/11 (premiums received $36,215,870) </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Contract</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="15%" noWrap align=left><B><FONT size=1 face=sans-serif>Expiration date/</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>amount</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="15%" noWrap align=left><B><FONT size=1 face=sans-serif>strike price</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR height=20>

   <TD width="99%" colSpan=5 noWrap align=left><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

 </FONT></TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with JPMorgan Chase</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Bank, N.A. for the obligation to receive a fixed rate</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>of 4.575% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>maturing June 6, 2021.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$544,291</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Jun-16/4.575</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>$10,287</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Citibank, N.A.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>for the obligation to pay a fixed rate of 4.12% versus</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>June 6, 2021.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>556,661</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Jun-16/4.12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>39,668</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Barclay&#8217;s Bank</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>PLC for the obligation to pay a fixed rate of 4.39%</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>June 6, 2021.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>547,769</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Jun-16/4.39</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>43,822</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with JPMorgan Chase</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Bank, N.A. for the obligation to pay a fixed rate of</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>4.575% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>maturing June 6, 2021.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>544,291</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Jun-16/4.575</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>47,310</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Citibank, N.A.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>for the obligation to receive a fixed rate of 4.705%</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>May 17, 2021.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>24,507,428</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>May-16/4.705</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>432,556</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Citibank, N.A.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>for the obligation to pay a fixed rate of 4.705%</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>May 17, 2021.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>24,507,428</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>May-16/4.705</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>2,250,762</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with JPMorgan Chase</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Bank, N.A. for the obligation to receive a fixed rate</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>of 4.04% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>maturing September 11, 2025.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>41,033,400</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Sep-15/4.04</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,681,138</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with JPMorgan Chase</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Bank, N.A. for the obligation to pay a fixed rate of 4.04%</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>September 11, 2025.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>41,033,400</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Sep-15/4.04</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>4,863,700</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Barclays Bank PLC</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>for the obligation to receive a fixed rate of 5.36%</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>February 13, 2025.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,584,020</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Feb-15/5.36</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>26,897</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Barclays Bank PLC</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>for the obligation to pay a fixed rate of 5.36% versus</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>February 13, 2025.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,584,020</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Feb-15/5.36</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>340,770</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with JPMorgan Chase</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Bank, N.A. for the obligation to receive a fixed rate</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>of 5.27% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>maturing February 12, 2025.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>5,766,760</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Feb-15/5.27</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>102,360</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with JPMorgan Chase</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Bank, N.A. for the obligation to pay a fixed rate of 5.27%</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>February 12, 2025.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>5,766,760</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Feb-15/5.27</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,201,620</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Barclay&#8217;s Bank</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>PLC for the obligation to receive a fixed rate of 4.20%</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>August 5, 2024.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>4,860,379</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Aug-14/4.20</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>125,835</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>63</FONT></P></DIV>

<HR align=center SIZE=2 width="100%" noShade>



<!--$$/page=--><A name="page_65"></A><BR>

<DIV style="PADDING-LEFT: 0%;; PADDING-RIGHT: 0%">

<DIV align=left>

<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="47%"></TD>

   <TD width="15%"></TD>

   <TD width="12%"></TD>

   <TD width="15%"></TD>

   <TD width="10%"></TD></TR>

<TR vAlign=bottom>

   <TD width="62%" colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>WRITTEN OPTIONS OUTSTANDING at 9/30/11 (premiums received $36,215,870) </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Contract</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="15%" noWrap align=left><B><FONT size=1 face=sans-serif>Expiration date/</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>amount</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="15%" noWrap align=left><B><FONT size=1 face=sans-serif>strike price</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR height=20>

   <TD width="99%" colSpan=5 noWrap align=left><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

 </FONT></TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Barclay&#8217;s Bank</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>PLC for the obligation to pay a fixed rate of 4.20%</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>August 5, 2024.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$4,860,379</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Aug-14/4.20</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>$666,309</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Barclay&#8217;s Bank</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>PLC for the obligation to receive a fixed rate of 4.19%</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>July 31, 2024.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>4,050,316</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Jul-14/4.19</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>104,863</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Barclay&#8217;s Bank</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>PLC for the obligation to pay a fixed rate of 4.19%</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>July 31, 2024.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>4,050,316</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Jul-14/4.19</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>553,881</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Barclay&#8217;s Bank</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>PLC for the obligation to receive a fixed rate of 4.34%</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>July 30, 2024.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,620,126</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Jul-14/4.34</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>38,154</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Barclay&#8217;s Bank</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>PLC for the obligation to receive a fixed rate of 4.35%</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>July 30, 2024.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>4,050,316</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Jul-14/4.35</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>94,777</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Barclay&#8217;s Bank</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>PLC for the obligation to pay a fixed rate of 4.34%</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>July 30, 2024.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,620,126</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Jul-14/4.34</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>238,337</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Barclay&#8217;s Bank</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>PLC for the obligation to pay a fixed rate of 4.35%</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>July 30, 2024.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>4,050,316</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Jul-14/4.35</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>598,677</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Barclay&#8217;s Bank</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>PLC for the obligation to receive a fixed rate of 4.3725%</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>July 29, 2024.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>4,050,326</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Jul-14/4.3725</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>93,198</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Barclay&#8217;s Bank</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>PLC for the obligation to pay a fixed rate of 4.3725%</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>July 29, 2024.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>4,050,326</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Jul-14/4.375</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>605,564</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with JPMorgan Chase</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Bank, N.A. for the obligation to receive a fixed rate</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>of 4.36% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>maturing July 24, 2024.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,278,102</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Jul-14/4.36</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>52,601</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with JPMorgan Chase</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Bank, N.A. for the obligation to pay a fixed rate of 4.36%</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>July 24, 2024.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,278,102</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Jul-14/4.36</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>338,845</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with JPMorgan Chase</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Bank, N.A. for the obligation to receive a fixed rate</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>of 4.29% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>maturing July 23, 2024.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>4,061,287</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Jul-14/4.29</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>97,877</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with JPMorgan Chase</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Bank, N.A. for the obligation to pay a fixed rate of 4.29%</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>July 23, 2024.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>4,061,287</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Jul-14/4.29</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>584,094</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>64</FONT></P></DIV>

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   <TD width="62%" colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>WRITTEN OPTIONS OUTSTANDING at 9/30/11 (premiums received $36,215,870) </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

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   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Contract</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="15%" noWrap align=left><B><FONT size=1 face=sans-serif>Expiration date/</FONT></B>&nbsp;</TD>

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   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>amount</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="15%" noWrap align=left><B><FONT size=1 face=sans-serif>strike price</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>

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   <TD width="99%" colSpan=5 noWrap align=left><FONT size=1 face=sans-serif>

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</FONT></TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with JPMorgan Chase</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

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   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Bank, N.A. for the obligation to pay a fixed rate of 4.82%</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

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   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>September 12, 2018.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$1,469,000</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Sep-13/4.82</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>$189,369</FONT>&nbsp;</TD></TR>

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</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Credit Suisse</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

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<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>International for the obligation to receive a fixed rate</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>of 2.855% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>maturing August 15, 2022.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>26,365,900</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Aug-12/2.855</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>503,220</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=5>

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</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Credit Suisse</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

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   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>International for the obligation to pay a fixed rate</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>of 2.855% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

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   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>maturing August 15, 2022.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>26,365,900</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Aug-12/2.855</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,693,745</FONT>&nbsp;</TD></TR>

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<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Barclay&#8217;s Bank</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

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   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>PLC for the obligation to receive a fixed rate of</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

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   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>2.73% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

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   <TD width="15%" noWrap align=left>&nbsp;</TD>

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   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>August 14, 2022.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>5,475,900</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Aug-12/2.73</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>123,427</FONT>&nbsp;</TD></TR>

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   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Barclay&#8217;s Bank</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>PLC for the obligation to pay a fixed rate of 2.73%</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

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   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>August 14, 2022.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>5,475,900</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Aug-12/2.73</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>307,527</FONT>&nbsp;</TD></TR>

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   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with JPMorgan Chase</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Bank, N.A. for the obligation to pay a fixed rate of 5.51%</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

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   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>May 14, 2022.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>25,011,500</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>May-12/5.51</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>7,327,119</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with JPMorgan Chase</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Bank, N.A. for the obligation to receive a fixed rate</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>of 4.8675% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>maturing April 12, 2022.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>6,409,500</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Apr-12/4.8675</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,859</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with JPMorgan Chase</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Bank, N.A. for the obligation to pay a fixed rate of</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>4.8675% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>maturing April 12, 2022.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>6,409,500</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Apr-12/4.8675</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,521,487</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with UBS AG for</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>the obligation to pay a fixed rate of 0.722% versus</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>the six month CHF-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>January 23, 2014.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>CHF&nbsp;&nbsp; 15,780,000</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Jan-12/0.722</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>173,468</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Barclay&#8217;s Bank</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>PLC for the obligation to receive a fixed rate of 2.28%</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>December 16, 2016.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>20,435,264</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Dec-11/2.28</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>5,109</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Barclay&#8217;s Bank</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>PLC for the obligation to pay a fixed rate of 2.28%</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>December 16, 2016.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>20,435,264</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Dec-11/2.28</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>925,922</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman Sachs</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>International for the obligation to pay a fixed rate</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>of 1.29% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>maturing December 14, 2016.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>25,357,116</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Dec-11/1.29</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>130,843</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman Sachs</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>International for the obligation to receive a fixed rate</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>of 1.29% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>maturing December 14, 2016.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>25,357,116</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Dec-11/1.29</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>206,153</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>65</FONT></P></DIV>

<HR align=center SIZE=2 width="100%" noShade>



<!--$$/page=--><A name="page_67"></A><BR>

<DIV style="PADDING-LEFT: 0%;; PADDING-RIGHT: 0%">

<DIV align=left>

<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="47%"></TD>

   <TD width="15%"></TD>

   <TD width="12%"></TD>

   <TD width="15%"></TD>

   <TD width="10%"></TD></TR>

<TR vAlign=bottom>

   <TD width="62%" colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>WRITTEN OPTIONS OUTSTANDING at 9/30/11 (premiums received $36,215,870) </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Contract</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="15%" noWrap align=left><B><FONT size=1 face=sans-serif>Expiration date/</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>amount</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="15%" noWrap align=left><B><FONT size=1 face=sans-serif>strike price</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR height=20>

   <TD width="99%" colSpan=5 noWrap align=left><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

 </FONT></TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Citibank, N.A.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>for the obligation to receive a fixed rate of 2.225%</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>December 9, 2016.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$13,669,005</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Dec-11/2.225</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>$2,870</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Citibank, N.A.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>for the obligation to pay a fixed rate of 2.225%</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>December 9, 2016.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>13,669,005</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Dec-11/2.225</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>588,314</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Deutsche Bank AG</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>for the obligation to receive a fixed rate of 2.24%</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>December 8, 2016.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9,568,359</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Dec-11/2.24</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,818</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Deutsche Bank AG</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>for the obligation to pay a fixed rate of 2.24%</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>December 8, 2016.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9,568,359</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Dec-11/2.24</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>419,190</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Barclay&#8217;s Bank</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>PLC for the obligation to receive a fixed rate of 2.47%</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>October 11, 2016.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>773,326</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Oct-11/2.47</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Barclay&#8217;s Bank</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>PLC for the obligation to pay a fixed rate of 1.97%</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>October 11, 2016.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>773,326</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Oct-11/1.97</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>26,363</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with JPMorgan Chase</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Bank, N.A. for the obligation to receive a fixed rate</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>of 4.82% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>maturing September 12, 2018.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,469,000</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Sep-13/4.82</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>4,833</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with JPMorgan Chase</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Bank, N.A. for the obligation to receive a fixed rate</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>of 5.51% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>maturing May 14, 2022.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>25,011,500</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>May-12/5.51</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>4,002</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Citibank, N.A.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>for the obligation to receive a fixed rate of 5.11%</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>June 1, 2021.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>10,398,887</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>May-16/5.11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>157,127</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman Sachs</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>International for the obligation to receive a fixed rate</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>of 4.86% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>maturing June 1, 2021.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>10,238,704</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>May-16/4.86</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>167,300</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Deutsche Bank AG</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>for the obligation to receive a fixed rate of 4.60%</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>June 1, 2021.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>10,187,746</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>May-16/4.60</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>189,696</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Citibank, N.A.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>for the obligation to pay a fixed rate of 4.11% versus</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>June 1, 2021.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>10,398,887</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>May-16/4.11</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>737,801</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman Sachs</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>International for the obligation to pay a fixed rate</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>of 4.36% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>maturing June 1, 2021.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>10,238,704</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>May-16/4.36</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>811,008</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>66</FONT></P></DIV>

<HR align=center SIZE=2 width="100%" noShade>



<!--$$/page=--><A name="page_68"></A><BR>

<DIV style="PADDING-LEFT: 0%;; PADDING-RIGHT: 0%">

<DIV align=left>

<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="47%"></TD>

   <TD width="15%"></TD>

   <TD width="12%"></TD>

   <TD width="15%"></TD>

   <TD width="10%"></TD></TR>

<TR vAlign=bottom>

   <TD width="62%" colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>WRITTEN OPTIONS OUTSTANDING at 9/30/11 (premiums received $36,215,870) </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Contract</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="25%" colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>Expiration date/</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>amount</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="15%" noWrap align=left><B><FONT size=1 face=sans-serif>strike price</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=right><B><FONT size=1 face=sans-serif>Value</FONT></B>&nbsp;</TD></TR>

<TR height=20>

   <TD width="99%" colSpan=5 noWrap align=left><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

 </FONT></TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Deutsche Bank AG</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>for the obligation to pay a fixed rate of 4.60% versus</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>June 1, 2021.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$10,187,746</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>May-16/4.60</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>$894,892</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Deutsche Bank</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>AG for the obligation to receive a fixed rate of 4.765%</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>May 23, 2021.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>18,914,561</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>May-16/4.765</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>327,033</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Deutsche Bank AG</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>for the obligation to pay a fixed rate of 4.765%</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA maturing</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>May 23, 2021.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>18,914,561</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>May-16/4.765</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,777,401</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><B><FONT size=1 face=sans-serif>Total</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><B><FONT size=1 face=sans-serif>$54,918,096</FONT></B>&nbsp;</TD></TR>

<TR>

   <TD width="47%">&nbsp;</TD>

   <TD width="42%" colSpan=3></TD>

   <TD width="10%">&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>INTEREST RATE SWAP CONTRACTS OUTSTANDING at 9/30/11</FONT></B></P>

<DIV align=left>

<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="10%"></TD>

   <TD width="10%"></TD>

   <TD width="15%"></TD>

   <TD width="15%"></TD>

   <TD width="10%"></TD>

   <TD width="15%"></TD>

   <TD width="12%"></TD>

   <TD width="12%"></TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Upfront</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="15%" noWrap align=left><B><FONT size=1 face=sans-serif>Payments</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif>Payments</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=right><B><FONT size=1 face=sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>Swap counterparty /</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>premium</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Termination</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=left><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="15%" noWrap align=left><B><FONT size=1 face=sans-serif>made by</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif>received by</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=right><B><FONT size=1 face=sans-serif>appreciation/</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>Notional amount</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>received (paid)</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>date</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=left><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="15%" noWrap align=left><B><FONT size=1 face=sans-serif>fund per annum</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif>fund per annum</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=right><B><FONT size=1 face=sans-serif>(depreciation)</FONT></B>&nbsp;</TD></TR>

<TR height=20>

   <TD width="99%" colSpan=8 noWrap align=left><B><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

 </FONT></B></TD></TR>

<TR vAlign=bottom>

   <TD width="20%" colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>Bank of America, N.A.</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>$10,823,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$696,460</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8/16/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>4.765%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>$(1,997,337)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>5,530,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>356,132</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8/17/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>4.55%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(909,942)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>7,124,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>459,854</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8/19/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>4.475%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(1,120,516)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>93,275,300</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>10,721</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>7/8/13</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>0.68%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(279,042)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>20,224,200</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>64,882</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>7/8/26</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3.76%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(3,440,147)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>22,462,300</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/23/13</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>0.45%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(53,887)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>29,831,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/26/13</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>0.5075%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(38,459)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>3,161,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/30/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>2.1825%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>21,717</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>40,849,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>10/3/13</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>0.54875%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(22,875)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>5,357,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8/2/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.97236%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(452,910)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>100,775,800</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(150,873)</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2/7/15</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>1.891%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(3,962,908)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>AUD</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>2,550,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>4/18/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>6.10%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>6 month AUD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>BBR-BBSW</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(262,038)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>CAD</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,455,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/14/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.4075%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month CAD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>BA-CDOR</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>272</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>15,700,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>6/14/13</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>1 year EUR-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>EONIA-OIS-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>COMPOUND</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>1.711561%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>401,176</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>JPY</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>747,000,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/21/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>0.98375%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>6 month JPY-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>32,873</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>67</FONT></P></DIV>

<HR align=center SIZE=2 width="100%" noShade>



<!--$$/page=--><A name="page_69"></A><BR>

<DIV style="PADDING-LEFT: 0%;; PADDING-RIGHT: 0%">

<P style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>INTEREST RATE SWAP CONTRACTS OUTSTANDING at 9/30/11 </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I></P>

<DIV align=left>

<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="20%"></TD>

   <TD width="15%"></TD>

   <TD width="15%"></TD>

   <TD width="10%"></TD>

   <TD width="15%"></TD>

   <TD width="12%"></TD>

   <TD width="12%"></TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Upfront</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="15%" noWrap align=left><B><FONT size=1 face=sans-serif>Payments</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif>Payments</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=right><B><FONT size=1 face=sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left><B><FONT size=1 face=sans-serif>Swap counterparty /</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>premium</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Termination</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=left><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="15%" noWrap align=left><B><FONT size=1 face=sans-serif>made by</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif>received by</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=right><B><FONT size=1 face=sans-serif>appreciation/</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left><B><FONT size=1 face=sans-serif>Notional amount</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>received (paid)</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>date</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=left><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="15%" noWrap align=left><B><FONT size=1 face=sans-serif>fund per annum</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif>fund per annum</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=right><B><FONT size=1 face=sans-serif>(depreciation)</FONT></B>&nbsp;</TD></TR>

<TR height=20>

   <TD width="99%" colSpan=7 noWrap align=right><B><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

&nbsp;</FONT></B></TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left><B><FONT size=1 face=sans-serif>Barclays Bank PLC</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>$13,001,017</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$117,659</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/8/16</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.065%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>$(413,366)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>2,568,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/15/20</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.032%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(10,834)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>92,013,300</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>14,560</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/16/15</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>0.91%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(193,049)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>29,029,300</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(193,584)</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/16/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3.04%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>1,946,781</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>9,445,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/19/20</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.12%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(106,444)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>4,775,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/19/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3.035%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>345,972</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>9,186,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/20/20</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.136%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(115,333)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>18,755,700</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/21/13</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>0.4925%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(29,355)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>80,063,900</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>31,905</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/21/13</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>0.5%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>145,278</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>45,051,100</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/22/13</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>0.4775%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>84,308</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>6,511,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/22/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>2.18%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>47,245</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>2,981,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/22/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.975%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(177,712)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>29,831,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/26/13</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>0.50625%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(39,419)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>27,385,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/27/13</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>0.5175%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(30,466)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>15,254,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/28/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.041%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>91,679</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>92,615,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/28/13</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>0.511043%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(117,496)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>77,983,700</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(143,148)</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>6/17/16</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>1.93%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>2,983,906</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>19,398,800</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>71,980</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>6/17/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>4.04%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(5,611,177)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>4,100,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/29/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>2.857%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>140,788</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>3,838,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/29/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>2.155%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>16,962</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>37,756,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/30/13</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>0.53%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(34,264)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>2,091,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/30/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.165%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(10,998)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>567,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/30/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>2.225%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>6,113</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>4,700,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>6/20/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3.91625%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(1,252,362)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>68</FONT></P></DIV>

<HR align=center SIZE=2 width="100%" noShade>



<!--$$/page=--><A name="page_70"></A><BR>

<DIV style="PADDING-LEFT: 0%;; PADDING-RIGHT: 0%">

<P style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>INTEREST RATE SWAP CONTRACTS OUTSTANDING at 9/30/11 </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I></P>

<DIV align=left>

<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="20%"></TD>

   <TD width="15%"></TD>

   <TD width="15%"></TD>

   <TD width="10%"></TD>

   <TD width="15%"></TD>

   <TD width="12%"></TD>

   <TD width="12%"></TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Upfront</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="15%" noWrap align=left><B><FONT size=1 face=sans-serif>Payments</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif>Payments</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=right><B><FONT size=1 face=sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left><B><FONT size=1 face=sans-serif>Swap counterparty /</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>premium</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Termination</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=left><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="15%" noWrap align=left><B><FONT size=1 face=sans-serif>made by</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif>received by</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=right><B><FONT size=1 face=sans-serif>appreciation/</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left><B><FONT size=1 face=sans-serif>Notional amount</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>received (paid)</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>date</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=left><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="15%" noWrap align=left><B><FONT size=1 face=sans-serif>fund per annum</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif>fund per annum</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=right><B><FONT size=1 face=sans-serif>(depreciation)</FONT></B>&nbsp;</TD></TR>

<TR height=20>

   <TD width="99%" colSpan=7 noWrap align=right><B><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

 </FONT></B></TD></TR>

<TR vAlign=bottom>

   <TD width="35%" colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>Barclays Bank PLC </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>$994,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>10/3/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.8175%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>$(25,486)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>37,786,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>10/3/13</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>0.543%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(25,506)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>3,022,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>10/4/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.089%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>6,307</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>4,066,900</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3/10/18</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3.06%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(375,811)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>5,241,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>6/28/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3.885%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(1,358,237)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>3,230,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>6/28/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3.88%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>833,673</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>10,140,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>6/29/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3.85488%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>2,565,938</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>6,000,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>6/30/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3.92%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>1,600,372</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>7,342,100</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>7/5/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>4.08%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(2,196,433)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>6,067,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>7/13/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3.948%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(1,641,531)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>5,522,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>7/14/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3.88%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(1,414,143)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>1,019,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>7/20/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3.888%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>262,167</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>8,186,733</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(126,076)</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/21/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3.14%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>658,330</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>858,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(1,133)</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3/30/31</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>4.17%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(213,587)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>102,577,100</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>242,263</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>7/22/20</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>2.86%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>8,268,172</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>3,671,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>7/25/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3.97%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>1,006,370</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>2,946,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>7/28/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3.9675%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>805,339</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>3,532,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8/2/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3.8925%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(908,054)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>5,604,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8/3/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3.83375%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(1,370,935)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>4,114,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8/4/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3.6108%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(812,273)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>1,931,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8/5/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3.58%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>368,539</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>1,598,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8/9/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3.48375%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(272,015)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>5,584,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8/9/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3.49%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>957,830</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>829,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8/9/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3.575%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>157,066</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>69</FONT></P></DIV>

<HR align=center SIZE=2 width="100%" noShade>



<!--$$/page=--><A name="page_71"></A><BR>

<DIV style="PADDING-LEFT: 0%; PADDING-RIGHT: 0%">

<P style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>INTEREST RATE SWAP CONTRACTS OUTSTANDING at 9/30/11 </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I></P>

<DIV align=left>

<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="10%"></TD>

   <TD width="10%"></TD>

   <TD width="15%"></TD>

   <TD width="15%"></TD>

   <TD width="10%"></TD>

   <TD width="15%"></TD>

   <TD width="12%"></TD>

   <TD width="12%"></TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Upfront</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="15%" noWrap align=left><B><FONT size=1 face=sans-serif>Payments</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif>Payments</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=right><B><FONT size=1 face=sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>Swap counterparty /</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>premium</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Termination</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=left><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="15%" noWrap align=left><B><FONT size=1 face=sans-serif>made by</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif>received by</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=right><B><FONT size=1 face=sans-serif>appreciation/</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>Notional amount</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>received (paid)</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>date</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=left><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="15%" noWrap align=left><B><FONT size=1 face=sans-serif>fund per annum</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif>fund per annum</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=right><B><FONT size=1 face=sans-serif>(depreciation)</FONT></B>&nbsp;</TD></TR>

<TR height=20>

   <TD width="99%" colSpan=8 noWrap align=left><B><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

 </FONT></B></TD></TR>

<TR vAlign=bottom>

   <TD width="35%" colSpan=3 noWrap align=left><B><FONT size=1 face=sans-serif>Barclays Bank PLC </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>$6,677,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8/17/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3.343%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>$(933,853)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>17,213,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8/17/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>2.39%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>507,378</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>117,189,648 </FONT><B><SUP><FONT size=1 face=sans-serif>E</FONT></SUP></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3/21/13</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>0.44125%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(176,956)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,446,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8/19/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.27%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(26,382)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>2,709,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8/22/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.209%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(33,462)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>4,149,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8/23/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.23667%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(61,582)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,252,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8/23/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.215%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(16,075)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,972,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8/31/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.348%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(48,706)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>3,225,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8/31/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.3675%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(85,479)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>14,440,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(59,204)</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8/8/16</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>2.065%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>560,071</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>15,550,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(89,024)</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/8/16</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>2.14%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>603,150</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>10,479,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/6/20</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.231%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(226,344)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,453,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/6/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3.2375%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(168,662)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>5,058,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/8/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>2.17%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>37,540</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>5,058,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/8/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>2.18%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>42,226</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,164,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/8/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.958%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(66,436)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>6,425,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/8/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>2.186%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>57,197</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>2,409,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/12/20</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.032%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(10,611)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>568,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/12/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3.012%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(38,710)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>4,635,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/12/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.178%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(36,346)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>3,310,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/13/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.145%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(15,701)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>730,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/13/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.975%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(44,011)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>AUD</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>17,800,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3/21/16</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>5.57%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>6 month AUD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>BBR-BBSW</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(815,947)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>AUD</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>13,530,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3/21/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>6 month AUD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>BBR-BBSW</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>5.88%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>1,088,633</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>70</FONT></P></DIV>

<HR align=center SIZE=2 width="100%" noShade>



<!--$$/page=--><A name="page_72"></A><BR>

<DIV style="PADDING-LEFT: 0%; PADDING-RIGHT: 0%">

<P style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>INTEREST RATE SWAP CONTRACTS OUTSTANDING at 9/30/11 </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I></P>

<DIV align=left>

<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="10%"></TD>

   <TD width="10%"></TD>

   <TD width="15%"></TD>

   <TD width="15%"></TD>

   <TD width="10%"></TD>

   <TD width="15%"></TD>

   <TD width="12%"></TD>

   <TD width="12%"></TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Upfront</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="15%" noWrap align=left><B><FONT size=1 face=sans-serif>Payments</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif>Payments</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=right><B><FONT size=1 face=sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>Swap counterparty /</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>premium</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Termination</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=left><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="15%" noWrap align=left><B><FONT size=1 face=sans-serif>made by</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif>received by</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=right><B><FONT size=1 face=sans-serif>appreciation/</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>Notional amount</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>received (paid)</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>date</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=left><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="15%" noWrap align=left><B><FONT size=1 face=sans-serif>fund per annum</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif>fund per annum</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=right><B><FONT size=1 face=sans-serif>(depreciation)</FONT></B>&nbsp;</TD></TR>

<TR height=20>

   <TD width="99%" colSpan=8 noWrap align=left><B><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

</FONT></B></TD></TR>

<TR vAlign=bottom>

   <TD width="35%" colSpan=3 noWrap align=left><B><FONT size=1 face=sans-serif>Barclays Bank PLC </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>AUD</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>4,030,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>4/21/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>6.0675%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>6 month AUD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>BBR-BBSW</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>$(401,689)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>27,700,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>6/15/13</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>1 year EUR-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>EONIA-OIS-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>COMPOUND</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>1.67%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>668,413</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>34,625,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>6/15/13</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>1.95%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month EUR-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>EURIBOR-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>REUTERS</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(812,772)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>2,604,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/29/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>6 month EUR-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>EURIBOR-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>REUTERS</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>2.532%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>663</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,476,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>10/4/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.542%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>6 month EUR-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>EURIBOR-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>REUTERS</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(1,862)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>GBP</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>4,150,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/26/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>6 month GBP-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>2.54%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(31,571)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>GBP</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>6,110,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8/8/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.9785%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>6 month GBP-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(366,341)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>GBP</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>2,735,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8/15/31</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3.6%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>6 month GBP-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(282,999)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>GBP</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>9,240,000 </FONT><B><SUP><FONT size=1 face=sans-serif>E</FONT></SUP></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2/3/31</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>6 month GBP-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>4.86%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>764,343</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>Citibank, N.A.</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>$462,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/23/13</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>0.459%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>1,029</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,577,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/23/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>2.136%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>4,929</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>15,198,700</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(149,738)</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/26/20</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>1.96%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(190,736)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>20,317,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>10/3/13</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>0.55625%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(7,497)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>18,436,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>10/3/20</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.04%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(70,776)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>16,787,500</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>10/3/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>2.159%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>74,201</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,157,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>10/3/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.804%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(26,550)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>966,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8/4/16</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>1.54375%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(17,039)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>6,807,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8/5/16</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>1.4925%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>102,628</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>275,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8/8/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3.5825%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(52,561)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>2,033,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8/8/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3.517%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(360,479)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>10,000,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8/31/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>2.425%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>318,129</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>71</FONT></P></DIV>

<HR align=center SIZE=2 width="100%" noShade>



<!--$$/page=--><A name="page_73"></A><BR>

<DIV style="PADDING-LEFT: 0%;; PADDING-RIGHT: 0%">

<P style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>INTEREST RATE SWAP CONTRACTS OUTSTANDING at 9/30/11 </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I></P>

<DIV align=left>

<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="10%"></TD>

   <TD width="10%"></TD>

   <TD width="15%"></TD>

   <TD width="15%"></TD>

   <TD width="10%"></TD>

   <TD width="15%"></TD>

   <TD width="12%"></TD>

   <TD width="12%"></TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Upfront</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="15%" noWrap align=left><B><FONT size=1 face=sans-serif>Payments</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif>Payments</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=right><B><FONT size=1 face=sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>Swap counterparty /</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>premium</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Termination</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=left><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="15%" noWrap align=left><B><FONT size=1 face=sans-serif>made by</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif>received by</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=right><B><FONT size=1 face=sans-serif>appreciation/</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>Notional amount</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>received (paid)</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>date</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=left><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="15%" noWrap align=left><B><FONT size=1 face=sans-serif>fund per annum</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif>fund per annum</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=right><B><FONT size=1 face=sans-serif>(depreciation)</FONT></B>&nbsp;</TD></TR>

<TR height=20>

   <TD width="99%" colSpan=8 noWrap align=left><B><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

 </FONT></B></TD></TR>

<TR vAlign=bottom>

   <TD width="20%" colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>Citibank, N.A. </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>$11,060,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$712,817</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8/17/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>4.49%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>$(1,758,132)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>SEK</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>8,924,400</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>10/3/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.555%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month SEK-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>STIBOR-SIDE</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(7,979)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>SEK</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>9,064,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>10/4/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.5%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month SEK-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>STIBOR-SIDE</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(1,490)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>SEK</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>28,092,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>7/8/16</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3.275%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month SEK-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>STIBOR-SIDE</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(210,427)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>SEK</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>28,709,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>7/11/16</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3.2825%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month SEK-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>STIBOR-SIDE</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(216,388)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="35%" colSpan=3 noWrap align=left><B><FONT size=1 face=sans-serif>Credit Suisse International</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>$72,325,400</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(35,213)</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>5/27/16</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>2.02%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>3,276,873</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>18,646,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>6/30/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3.159%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>1,962,399</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>2,071,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/16/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>2.20375%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>20,509</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>29,778,700</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/21/13</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>0.5%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>41,661</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,700,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/22/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.15125%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(7,835)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>13,987,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/29/13</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>0.52375%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(14,283)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>25,810,400</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>10/3/20</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.055%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(121,825)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>23,502,500</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>10/3/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>2.172%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>131,849</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>51,053,600</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(68,044)</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3/14/16</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>2.35%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>2,752,554</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>26,200,000 </FONT><B><SUP><FONT size=1 face=sans-serif>E</FONT></SUP></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3/21/13</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>1.15625%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(146,458)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>54,425,800</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(11,135)</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2/24/15</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.04%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(2,311,555)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>5,028,100</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>25,961</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8/15/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>2.34%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>151,696</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,751,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8/18/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.4055%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(53,993)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>711,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8/18/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3.3688%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>103,249</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>606,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8/24/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3.0775%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(50,496)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>490,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8/26/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.362%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(12,819)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>32,517,200</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8/31/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.43125%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(1,053,495)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>9,144,900</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8/31/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3.264%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>1,125,573</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>72</FONT></P></DIV>

<HR align=center SIZE=2 width="100%" noShade>



<!--$$/page=--><A name="page_74"></A><BR>

<DIV style="PADDING-LEFT: 0%;; PADDING-RIGHT: 0%">

<P style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>INTEREST RATE SWAP CONTRACTS OUTSTANDING at 9/30/11 </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I></P>

<DIV align=left>

<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="10%"></TD>

   <TD width="10%"></TD>

   <TD width="15%"></TD>

   <TD width="15%"></TD>

   <TD width="10%"></TD>

   <TD width="15%"></TD>

   <TD width="12%"></TD>

   <TD width="12%"></TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Upfront</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="15%" noWrap align=left><B><FONT size=1 face=sans-serif>Payments</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif>Payments</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=right><B><FONT size=1 face=sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>Swap counterparty /</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>premium</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Termination</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=left><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="15%" noWrap align=left><B><FONT size=1 face=sans-serif>made by</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif>received by</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=right><B><FONT size=1 face=sans-serif>appreciation/</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>Notional amount</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>received (paid)</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>date</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=left><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="15%" noWrap align=left><B><FONT size=1 face=sans-serif>fund per annum</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif>fund per annum</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=right><B><FONT size=1 face=sans-serif>(depreciation)</FONT></B>&nbsp;</TD></TR>

<TR height=20>

   <TD width="99%" colSpan=8 noWrap align=left><B><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

 </FONT></B></TD></TR>

<TR vAlign=bottom>

   <TD width="35%" colSpan=3 noWrap align=left><B><FONT size=1 face=sans-serif>Credit Suisse International </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>$5,058,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/8/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>2.17%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>$37,540</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>2,777,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/14/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.944%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(149,092)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>CHF</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>5,437,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/28/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>6 month CHF-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>1.405%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(30,187)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>GBP</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>6,112,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8/15/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>6 month GBP-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>2.91%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>302,225</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>MXN</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>33,670,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>7/21/20</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>1 month MXN-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>TIIE-BANXICO</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>6.895%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>37,327</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>Deutsche Bank AG</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>$127,189,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(157,194)</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2/3/14</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.25%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(5,405,196)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>2,839,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/14/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.145%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(13,204)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>2,656,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/14/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>2.95%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>145,950</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>9,275,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/19/14</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>0.6625%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(17,418)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>5,271,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/27/18</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>1.515%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(64,210)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>27,385,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/27/13</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>0.5175%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(30,193)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>325,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/29/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>2.165%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>1,736</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>13,241,400</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(31,659)</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3/10/18</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3.41%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(1,545,309)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>165,330,400</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(117,153)</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3/16/14</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.25%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(6,795,185)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>3,161,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/30/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>2.1875%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>23,172</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>29,497,600</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>10/3/20</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.034%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(87,313)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>26,860,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>10/3/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>2.153%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>103,680</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>4,093,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>10/4/13</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>0.56125%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(1,347)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>3,188,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>10/4/14</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>0.7175%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(2,024)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>102,662,400</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(56,004)</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>7/18/14</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>0.96%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(962,447)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>2,791,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>7/27/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3.95%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(752,956)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>2,565,013</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8/8/20</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.547%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(129,548)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>30,595,700</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8/12/16</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>1.255%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>92,046</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>73</FONT></P></DIV>

<HR align=center SIZE=2 width="100%" noShade>



<!--$$/page=--><A name="page_75"></A><BR>

<DIV style="PADDING-LEFT: 0%;; PADDING-RIGHT: 0%">

<P style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>INTEREST RATE SWAP CONTRACTS OUTSTANDING at 9/30/11 </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I></P>

<DIV align=left>

<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="10%"></TD>

   <TD width="10%"></TD>

   <TD width="15%"></TD>

   <TD width="15%"></TD>

   <TD width="10%"></TD>

   <TD width="15%"></TD>

   <TD width="12%"></TD>

   <TD width="12%"></TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Upfront</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="15%" noWrap align=left><B><FONT size=1 face=sans-serif>Payments</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif>Payments</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=right><B><FONT size=1 face=sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>Swap counterparty /</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>premium</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Termination</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=left><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="15%" noWrap align=left><B><FONT size=1 face=sans-serif>made by</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif>received by</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=right><B><FONT size=1 face=sans-serif>appreciation/</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>Notional amount</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>received (paid)</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>date</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=left><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="15%" noWrap align=left><B><FONT size=1 face=sans-serif>fund per annum</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif>fund per annum</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=right><B><FONT size=1 face=sans-serif>(depreciation)</FONT></B>&nbsp;</TD></TR>

<TR height=20>

   <TD width="99%" colSpan=8 noWrap align=left><B><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

 </FONT></B></TD></TR>

<TR vAlign=bottom>

   <TD width="35%" colSpan=3 noWrap align=left><B><FONT size=1 face=sans-serif>Deutsche Bank AG </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>$8,912,800</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8/12/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3.32%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>$(1,206,875)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>22,358,900</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8/15/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3.300791%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(2,931,566)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>6,031,100</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8/16/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>2.4775%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>227,048</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>6,602,300</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8/16/16</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>1.24%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(13,332)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>2,261,400</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8/16/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>2.435%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>76,239</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>433,800</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8/16/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3.36%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(62,259)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>2,137,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8/18/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3.37%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(310,864)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>7,140,200</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8/22/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>2.218%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>94,122</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>10,049,300</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8/24/16</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>1.23%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(10,136)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>16,865,900</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8/24/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.271%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(302,380)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>10,831,200</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8/24/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3.081%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>910,482</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>29,438,700</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8/30/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.4075%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(881,768)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>10,263,500</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8/30/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3.2425%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>1,208,101</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,000,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8/31/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.407%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(30,148)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>11,396,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/12/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>2.2125%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>125,583</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>6,910,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/12/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3.065%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(548,031)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>3,196,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/14/16</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>1.175%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>9,611</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>106,000,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3/4/14</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.54%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(5,053,267)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>9,348,258</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(299,144)</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8/25/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>4.09%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>2,473,825</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>23,640,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>12/23/20</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3.325%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>6 month EUR-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>EURIBOR-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>REUTERS</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(2,957,288)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>KRW </FONT></TD>

   <TD width="10%" noWrap align=right>&nbsp;<FONT size=1 face=sans-serif>3,486,000,000</FONT></TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8/16/16</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month KRW-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>CD-KSDA-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>BLOOMBERG</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3.42%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(3,585)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>KRW</FONT></TD>

   <TD width="10%" noWrap align=right>&nbsp;<FONT size=1 face=sans-serif>3,478,000,000</FONT></TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>5/9/16</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>4.115%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month KRW-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>CD-KSDA-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>BLOOMBERG</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(87,617)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>74</FONT></P></DIV>

<HR align=center SIZE=2 width="100%" noShade>



<A name="page_76"></A><BR>

<DIV style="PADDING-LEFT: 0%; PADDING-RIGHT: 0%">

<P style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>INTEREST RATE SWAP CONTRACTS OUTSTANDING at 9/30/11 </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I></P>

<DIV align=left>

<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="10%"></TD>

   <TD width="10%"></TD>

   <TD width="15%"></TD>

   <TD width="15%"></TD>

   <TD width="10%"></TD>

   <TD width="15%"></TD>

   <TD width="12%"></TD>

   <TD width="12%"></TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Upfront</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="15%" noWrap align=left><B><FONT size=1 face=sans-serif>Payments</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif>Payments</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=right><B><FONT size=1 face=sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>Swap counterparty /</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>premium</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Termination</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=left><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="15%" noWrap align=left><B><FONT size=1 face=sans-serif>made by</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif>received by</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=right><B><FONT size=1 face=sans-serif>appreciation/</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>Notional amount</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>received (paid)</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>date</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=left><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="15%" noWrap align=left><B><FONT size=1 face=sans-serif>fund per annum</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif>fund per annum</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=right><B><FONT size=1 face=sans-serif>(depreciation)</FONT></B>&nbsp;</TD></TR>

<TR height=20>

   <TD width="99%" colSpan=8 noWrap align=left><B><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

</FONT></B></TD></TR>

<TR vAlign=bottom>

   <TD width="35%" colSpan=3 noWrap align=left><B><FONT size=1 face=sans-serif>Deutsche Bank AG </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>KRW</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;<FONT size=1 face=sans-serif>3,478,000,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>4/22/16</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>4.135%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month KRW-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>CD-KSDA-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>BLOOMBERG</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>$(90,455)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>KRW</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;<FONT size=1 face=sans-serif>3,449,000,000</FONT></TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>4/29/16</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>4.14%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month KRW-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>CD-KSDA-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>BLOOMBERG</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(90,236)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>MXN</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>33,670,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>7/17/20</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>1 month MXN-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>TIIE-BANXICO</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>6.95%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>47,860</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="35%" colSpan=3 noWrap align=left><B><FONT size=1 face=sans-serif>Goldman Sachs International</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>$9,445,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/19/20</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.13375%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(117,255)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>4,775,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/19/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3.05%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>361,037</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>216,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/20/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3.065%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(16,999)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>64,530,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>6/8/18</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.52375%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(4,149,754)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>21,747,300</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/21/13</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>0.5%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>30,425</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>4,391,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/21/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>2.188%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>35,435</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>32,693,900</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/22/13</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>0.478%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>60,132</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>19,605,300</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/23/13</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>0.4525%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(46,042)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>24,038,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/26/13</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>0.50625%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(31,476)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>6,350,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/26/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>1.93875%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(97,158)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>13,164,852</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(478,542)</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/29/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3.99%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>3,109,555</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>7,029,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/28/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.69625%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(4,108)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>26,659,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/28/13</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>0.5125%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(32,991)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>200,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/29/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>2.87%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>7,414</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>3,564,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/29/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>2.15125%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>14,538</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>3,479,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>10/3/13</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>0.558%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(1,287)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,037,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>7/1/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>4.02625%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>298,799</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>3,480,700</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>7/5/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>4.055%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>1,022,860</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>46,224,300</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(19,650)</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>7/20/16</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>1.79%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>1,395,775</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>75</FONT></P></DIV>

<HR align=center SIZE=2 width="100%" noShade>



<!--$$/page=--><A name="page_77"></A><BR>

<DIV style="PADDING-LEFT: 0%;; PADDING-RIGHT: 0%">

<P style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>INTEREST RATE SWAP CONTRACTS OUTSTANDING at 9/30/11 </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I></P>

<DIV align=left>

<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="20%"></TD>

   <TD width="15%"></TD>

   <TD width="15%"></TD>

   <TD width="10%"></TD>

   <TD width="15%"></TD>

   <TD width="12%"></TD>

   <TD width="12%"></TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Upfront</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="15%" noWrap align=left><B><FONT size=1 face=sans-serif>Payments</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif>Payments</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=right><B><FONT size=1 face=sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left><B><FONT size=1 face=sans-serif>Swap counterparty /</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>premium</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Termination</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=left><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="15%" noWrap align=left><B><FONT size=1 face=sans-serif>made by</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif>received by</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=right><B><FONT size=1 face=sans-serif>appreciation/</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left><B><FONT size=1 face=sans-serif>Notional amount</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>received (paid)</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>date</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=left><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="15%" noWrap align=left><B><FONT size=1 face=sans-serif>fund per annum</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif>fund per annum</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=right><B><FONT size=1 face=sans-serif>(depreciation)</FONT></B>&nbsp;</TD></TR>

<TR height=20>

   <TD width="99%" colSpan=7 noWrap align=middle><B><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

 </FONT></B></TD></TR>

<TR vAlign=bottom>

   <TD width="35%" colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>Goldman Sachs International </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>$2,080,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>7/21/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3.935%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>$(555,583)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>22,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>7/25/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3.9325%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>5,857</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>17,618,500 </FONT><B><SUP><FONT size=1 face=sans-serif>E</FONT></SUP></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3/19/13</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>1.09375%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(87,564)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>27,794,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>7/26/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3.09125%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(2,670,741)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>10,178,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>7/26/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3.93625%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>2,716,674</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>3,442,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>7/28/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3.935%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(917,328)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>2,626,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8/2/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3.8725%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(664,039)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>4,464,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8/2/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3.00125%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(389,318)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>3,151,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8/2/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3.81625%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(759,387)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>2,381,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8/3/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3.754%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(542,360)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>3,161,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8/4/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3.718%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(695,644)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>2,333,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8/4/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3.711%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(509,993)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>380,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8/4/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3.6225%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>75,969</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>4,127,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8/5/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3.593%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(798,964)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>1,598,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8/9/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3.48375%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(272,015)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>1,245,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8/9/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3.54%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>226,681</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>1,379,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8/10/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3.435%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(220,432)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>2,640,500</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8/15/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3.2475%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(316,533)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>2,611,900</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8/15/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3.365%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(377,827)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>12,062,200</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8/16/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>2.47%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>445,661</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>3,900,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8/18/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.3425%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(97,578)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>540,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8/24/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3.075%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>44,709</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>11,800,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8/24/16</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>1.235%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>14,794</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>250,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8/24/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>2.2625%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>4,285</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>76</FONT></P></DIV>

<HR align=center SIZE=2 width="100%" noShade>



<A name="page_78"></A><BR>

<DIV style="PADDING-LEFT: 0%; PADDING-RIGHT: 0%">

<P style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>INTEREST RATE SWAP CONTRACTS OUTSTANDING at 9/30/11 </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I></P>

<DIV align=left>

<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="10%"></TD>

   <TD width="10%"></TD>

   <TD width="15%"></TD>

   <TD width="15%"></TD>

   <TD width="10%"></TD>

   <TD width="15%"></TD>

   <TD width="12%"></TD>

   <TD width="12%"></TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Upfront</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="15%" noWrap align=left><B><FONT size=1 face=sans-serif>Payments</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif>Payments</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=right><B><FONT size=1 face=sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>Swap counterparty /</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>premium</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Termination</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=left><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="15%" noWrap align=left><B><FONT size=1 face=sans-serif>made by</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif>received by</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=right><B><FONT size=1 face=sans-serif>appreciation/</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>Notional amount</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>received (paid)</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>date</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=left><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="15%" noWrap align=left><B><FONT size=1 face=sans-serif>fund per annum</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif>fund per annum</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=right><B><FONT size=1 face=sans-serif>(depreciation)</FONT></B>&nbsp;</TD></TR>

<TR height=20>

   <TD width="99%" colSpan=8 noWrap align=left><B><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

</FONT></B></TD></TR>

<TR vAlign=bottom>

   <TD width="35%" colSpan=3 noWrap align=left><B><FONT size=1 face=sans-serif>Goldman Sachs International </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>$7,773,400</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$(22,219)</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>5/9/20</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3.15%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>$827,143</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>9,101,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/1/20</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.225%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(195,880)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>2,384,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/1/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3.195%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>256,331</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>2,419,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/6/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.2575%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(37,829)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>2,131,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/13/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3.023%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(150,006)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>639,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/13/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>2.16625%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>4,278</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>11,970,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>6/21/13</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>1 year EUR-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>EONIA-OIS-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>COMPOUND</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>1.632%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>274,928</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>4,500,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/29/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>6 month EUR-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>EURIBOR-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>REUTERS</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>2.54%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>6,734</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>23,000,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/29/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>1.56%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>6 month EUR-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>EURIBOR-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>REUTERS</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>7,099</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>5,400,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/29/13</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>1.47%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>6 month EUR-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>EURIBOR-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>REUTERS</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>4,385</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>20,400,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/29/15</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>6 month EUR-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>EURIBOR-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>REUTERS</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>1.775%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>4,382</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>13,100,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/29/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>6 month EUR-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>EURIBOR-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>REUTERS</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>2.54%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>19,603</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>20,760,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>5/26/13</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.224%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>6 month EUR-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>EURIBOR-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>REUTERS</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(386,281)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>GBP</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>5,247,000 </FONT><B><SUP><FONT size=1 face=sans-serif>E</FONT></SUP></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/22/31</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>6 month GBP-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>4.06%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>10,000</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>GBP</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>2,735,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/23/31</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>6 month GBP-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3.1175%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(45,016)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>GBP</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>4,961,000 </FONT><B><SUP><FONT size=1 face=sans-serif>E</FONT></SUP></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/23/31</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3.99%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>6 month GBP-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>24,569</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>GBP</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>4,763,000 </FONT><B><SUP><FONT size=1 face=sans-serif>E</FONT></SUP></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8/9/31</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>4.605%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>6 month GBP-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(264,751)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>GBP</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>4,763,000 </FONT><B><SUP><FONT size=1 face=sans-serif>E</FONT></SUP></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8/10/31</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>4.5175%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>6 month GBP-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(223,676)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>KRW </FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right>&nbsp;<FONT size=1 face=sans-serif>5,824,000,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/19/16</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3.395%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month KRW-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>CD-KSDA-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>BLOOMBERG</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>11,384</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>KRW </FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>5,571,000,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>7/11/16</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>4.035%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month KRW-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>CD-KSDA-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>BLOOMBERG</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(128,930)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>77</FONT></P></DIV>

<HR align=center SIZE=2 width="100%" noShade>



<!--$$/page=--><A name="page_79"></A><BR>

<DIV style="PADDING-LEFT: 0%; PADDING-RIGHT: 0%">

<P style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>INTEREST RATE SWAP CONTRACTS OUTSTANDING at 9/30/11 </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I></P>

<DIV align=left>

<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="10%"></TD>

   <TD width="10%"></TD>

   <TD width="15%"></TD>

   <TD width="15%"></TD>

   <TD width="10%"></TD>

   <TD width="15%"></TD>

   <TD width="12%"></TD>

   <TD width="12%"></TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Upfront</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="15%" noWrap align=left><B><FONT size=1 face=sans-serif>Payments</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif>Payments</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=right><B><FONT size=1 face=sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>Swap counterparty /</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>premium</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Termination</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=left><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="15%" noWrap align=left><B><FONT size=1 face=sans-serif>made by</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif>received by</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=right><B><FONT size=1 face=sans-serif>appreciation/</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>Notional amount</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>received (paid)</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>date</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=left><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="15%" noWrap align=left><B><FONT size=1 face=sans-serif>fund per annum</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif>fund per annum</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=right><B><FONT size=1 face=sans-serif>(depreciation)</FONT></B>&nbsp;</TD></TR>

<TR height=20>

   <TD width="99%" colSpan=8 noWrap align=left><B><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

</FONT></B></TD></TR>

<TR vAlign=bottom>

   <TD width="35%" colSpan=3 noWrap align=left><B><FONT size=1 face=sans-serif>Goldman Sachs International </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>KRW </FONT></TD>

   <TD width="10%" noWrap align=right>&nbsp;<FONT size=1 face=sans-serif>3,333,000,000</FONT></TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>4/21/16</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>4.12%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month KRW-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>CD-KSDA-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>BLOOMBERG</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>$(84,815)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>KRW</FONT></TD>

   <TD width="10%" noWrap align=right>&nbsp;<FONT size=1 face=sans-serif>6,372,601,000</FONT></TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8/2/16</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month KRW-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>CD-KSDA-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>BLOOMBERG</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3.845%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>99,586</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>SEK</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>6,770,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/9/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.65%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month SEK-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>STIBOR-SIDE</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(14,559)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="35%" colSpan=3 noWrap align=left><B><FONT size=1 face=sans-serif>JPMorgan Chase Bank, N.A.</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>$7,705,600</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>24,411</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3/11/26</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>4.12%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(1,603,833)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>52,500,000 </FONT><B><SUP><FONT size=1 face=sans-serif>E</FONT></SUP></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3/21/13</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>1.1685%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(299,775)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>19,900,000 </FONT><B><SUP><FONT size=1 face=sans-serif>E</FONT></SUP></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3/22/13</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>1.185%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(117,012)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>49,660,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/27/13</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>0.51375%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(58,745)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>27,385,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/27/13</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>0.5175%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(30,193)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>7,114,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(238,319)</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/8/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>4.0275%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>1,769,741</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>9,248,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>7/19/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3.074%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(879,158)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>7,402,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/29/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>2.18%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>49,748</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>3,130,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/30/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>2.203%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>27,422</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>5,920,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>10/3/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>2.184%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>39,782</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,260,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>10/4/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.75%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(14,343)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>11,839,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>10/4/13</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>0.58%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>501</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,694,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8/8/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3.466%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(282,133)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,016,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8/8/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3.4275%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(160,957)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,213,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8/9/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3.485%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(206,785)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>72,889,500</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>13,012</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3/31/16</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>2.42%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>4,194,463</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>2,428,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8/19/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3.217%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(274,679)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>87,594,500</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(9,381)</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8/19/13</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>0.44%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>184,561</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>6,018,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8/19/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>2.296%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>124,243</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>78</FONT></P></DIV>

<HR align=center SIZE=2 width="100%" noShade>



<!--$$/page=--><A name="page_80"></A><BR>

<DIV style="PADDING-LEFT: 0%;; PADDING-RIGHT: 0%">

<P style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>INTEREST RATE SWAP CONTRACTS OUTSTANDING at 9/30/11 </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I></P>

<DIV align=left>

<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="10%"></TD>

   <TD width="10%"></TD>

   <TD width="15%"></TD>

   <TD width="15%"></TD>

   <TD width="10%"></TD>

   <TD width="15%"></TD>

   <TD width="12%"></TD>

   <TD width="12%"></TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Upfront</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="15%" noWrap align=left><B><FONT size=1 face=sans-serif>Payments</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif>Payments</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=right><B><FONT size=1 face=sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>Swap counterparty /</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>premium</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Termination</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=left><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="15%" noWrap align=left><B><FONT size=1 face=sans-serif>made by</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif>received by</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=right><B><FONT size=1 face=sans-serif>appreciation/</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>Notional amount</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>received (paid)</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>date</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=left><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="15%" noWrap align=left><B><FONT size=1 face=sans-serif>fund per annum</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif>fund per annum</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=right><B><FONT size=1 face=sans-serif>(depreciation)</FONT></B>&nbsp;</TD></TR>

<TR height=20>

   <TD width="99%" colSpan=8 noWrap align=left><B><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

 </FONT></B></TD></TR>

<TR vAlign=bottom>

   <TD width="35%" colSpan=3 noWrap align=left><B><FONT size=1 face=sans-serif>JPMorgan Chase Bank, N.A. </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>$50,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8/23/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3.088%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>$4,281</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>10,549,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8/23/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>2.243%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>162,764</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,882,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8/30/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>2.4225%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>58,973</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>9,000,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8/31/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.407%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(271,331)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>460,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/2/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3.187%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(48,647)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>6,397,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/2/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>2.35%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>156,723</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>4,769,200</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(244,422)</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8/5/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>4.555%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>1,647,190</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>20,362,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,278,734</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>7/26/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>4.525%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(3,377,227)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>30,543,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,932,840</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>7/27/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>4.745%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(5,670,029)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,000,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/6/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.4%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(28,787)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>13,458,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/14/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>2.124%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>36,620</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>16,127,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/14/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.1575%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(93,648)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>2,081,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/15/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.984%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(129,068)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>4,227,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/19/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>2.266%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>65,090</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>3,844,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/19/16</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>1.231%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(2,216)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>CAD</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>5,275,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/21/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.3911%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month CAD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>BA-CDOR</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>10,913</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>CAD</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>8,635,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/21/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month CAD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>BA-CDOR</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>2.3911%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(17,864)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>CAD</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>3,470,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/21/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.3911%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month CAD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>BA-CDOR</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>7,179</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>CAD</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>2,031,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/27/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month CAD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>BA-CDOR</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>2.415%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(733)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>27,700,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>6/13/13</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>1 year EUR-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>EONIA-OIS-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>COMPOUND</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>1.74%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>702,739</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>27,700,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>6/13/13</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>1.9865%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month EUR-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>EURIBOR-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>REUTERS</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(674,905)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>79</FONT></P></DIV>

<HR align=center SIZE=2 width="100%" noShade>



<!--$$/page=--><A name="page_81"></A><BR>

<DIV style="PADDING-LEFT: 0%;; PADDING-RIGHT: 0%">

<P style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>INTEREST RATE SWAP CONTRACTS OUTSTANDING at 9/30/11 </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I></P>

<DIV align=left>

<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="10%"></TD>

   <TD width="10%"></TD>

   <TD width="15%"></TD>

   <TD width="15%"></TD>

   <TD width="10%"></TD>

   <TD width="15%"></TD>

   <TD width="12%"></TD>

   <TD width="12%"></TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Upfront</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="15%" noWrap align=left><B><FONT size=1 face=sans-serif>Payments</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif>Payments</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=right><B><FONT size=1 face=sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>Swap counterparty /</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>premium</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Termination</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=left><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="15%" noWrap align=left><B><FONT size=1 face=sans-serif>made by</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif>received by</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=right><B><FONT size=1 face=sans-serif>appreciation/</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>Notional amount</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>received (paid)</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>date</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=left><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="15%" noWrap align=left><B><FONT size=1 face=sans-serif>fund per annum</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif>fund per annum</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=right><B><FONT size=1 face=sans-serif>(depreciation)</FONT></B>&nbsp;</TD></TR>

<TR height=20>

   <TD width="99%" colSpan=8 noWrap align=left><B><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

 </FONT></B></TD></TR>

<TR vAlign=bottom>

   <TD width="35%" colSpan=3 noWrap align=left><B><FONT size=1 face=sans-serif>JPMorgan Chase Bank, N.A. </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>JPY</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>2,402,400,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2/19/15</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>6 month JPY-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>0.705%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>$349,137</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>JPY</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>511,900,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2/19/20</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>6 month JPY-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>1.3975%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>321,951</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>JPY</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>598,000,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2/22/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>1.36375%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>6 month JPY-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(308,030)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>JPY</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,307,380,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>5/25/15</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>0.674375%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>6 month JPY-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(189,389)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>JPY</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,303,760,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/16/15</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>6 month JPY-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>0.59125%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>119,817</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>JPY</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>358,600,000 </FONT><B><SUP><FONT size=1 face=sans-serif>E</FONT></SUP></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>7/28/29</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>6 month JPY-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>2.67%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>147,608</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>JPY</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>482,100,000 </FONT><B><SUP><FONT size=1 face=sans-serif>E</FONT></SUP></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>7/28/39</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.40%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>6 month JPY-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(99,066)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>JPY</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>294,000,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/12/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>1.02375%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>6 month JPY-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(3,921)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>MXN</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>19,054,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/11/20</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>6.82%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>1 month MXN-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>TIIE-BANXICO</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(11,448)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>MXN</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>24,639,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/14/20</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>6.82%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>1 month MXN-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>TIIE-BANXICO</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(14,640)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>MXN</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>4,810,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>7/16/20</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>1 month MXN-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>TIIE-BANXICO</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>6.99%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>7,879</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>MXN</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>24,320,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>7/30/20</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>6.3833%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>1 month MXN-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>TIIE-BANXICO</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>36,053</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>MXN</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>66,197,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>7/30/20</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>6.3833%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>1 month MXN-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>TIIE-BANXICO</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>98,135</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>MXN</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>24,320,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8/19/20</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>1 month MXN-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>TIIE-BANXICO</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>6.615%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(10,297)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>MXN</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>37,740,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>11/4/20</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>1 month MXN-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>TIIE-BANXICO</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>6.75%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>4,858</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>UBS, AG</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>AUD</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>6,511,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/27/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>6 month AUD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>BBR-BBSW</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>4.79%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(15,780)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>AUD</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>5,818,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9/27/16</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>4.46%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>6 month AUD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>BBR-BBSW</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>4,373</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>CHF</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>28,420,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>5/23/13</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>0.7625%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>6 month CHF-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(389,876)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><B><FONT size=1 face=sans-serif>Total</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=right><B><FONT size=1 face=sans-serif>$(38,623,348)</FONT></B>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><B><SUP><FONT size=1 face=sans-serif><BR><BR>E </FONT></SUP></B><FONT size=1 face=sans-serif>See Note 1 to the financial statements regarding extended effective dates.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>80</FONT></P></DIV>

<HR align=center SIZE=2 width="100%" noShade>



<!--$$/page=--><A name="page_82"></A><BR>

<DIV style="PADDING-LEFT: 0%;; PADDING-RIGHT: 0%">

<P style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 9/30/11</FONT></B></P>

<DIV align=left>

<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="25%"></TD>

   <TD width="15%"></TD>

   <TD width="12%"></TD>

   <TD width="20%"></TD>

   <TD width="15%"></TD>

   <TD width="12%"></TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="20%" noWrap align=left><B><FONT size=1 face=sans-serif>Fixed payments</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=left><B><FONT size=1 face=sans-serif>Total return</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=right><B><FONT size=1 face=sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left><B><FONT size=1 face=sans-serif>Swap counterparty /</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Termination</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="20%" noWrap align=left><B><FONT size=1 face=sans-serif>received (paid) by</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=left><B><FONT size=1 face=sans-serif>received by</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=right><B><FONT size=1 face=sans-serif>appreciation/</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left><B><FONT size=1 face=sans-serif>Notional amount</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>date</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="20%" noWrap align=left><B><FONT size=1 face=sans-serif>fund per annum</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=left><B><FONT size=1 face=sans-serif>or paid by fund</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=right><B><FONT size=1 face=sans-serif>(depreciation)</FONT></B>&nbsp;</TD></TR>

<TR height=20>

   <TD width="99%" colSpan=6 noWrap align=right><B><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

 </FONT></B></TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left><B><FONT size=1 face=sans-serif>Barclays Bank PLC</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>$739,055</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1/12/40</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>5.00% (1 month</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Synthetic MBX</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>$(1,956)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR)</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Index 5.00%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>30 year Fannie Mae</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>pools</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>921,854</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1/12/40</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>4.50% (1 month</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Synthetic MBX</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(1,097)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR)</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Index 4.50%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>30 year Fannie Mae</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>pools</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>4,573,286</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1/12/38</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>(6.50%) 1 month</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Synthetic TRS</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>69,450</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Index 6.50%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>30 year Fannie Mae</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>pools</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>1,340,029</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1/12/40</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>5.00% (1 month</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Synthetic MBX</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(3,547)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR)</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Index 5.00%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>30 year Fannie Mae</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>pools</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>1,003,590</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1/12/41</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>5.00% (1 month</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Synthetic MBX</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(2,815)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR)</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Index 5.00%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>30 year Fannie Mae</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>pools</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>5,602,304</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1/12/38</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>(6.50%) 1 month</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Synthetic MBX</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>43,691</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Index 6.50%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>30 year Fannie Mae</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>pools</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>4,581,119</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1/12/38</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>(6.50%) 1 month</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Synthetic MBX</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>35,727</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Index 6.50%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>30 year Fannie Mae</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>pools</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>3,302,583</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1/12/41</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>5.00% (1 month</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Synthetic MBX</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(9,263)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR)</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Index 5.00%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>30 year Fannie Mae</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>pools</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>1,376,454</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1/12/40</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>4.00% (1 month</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Synthetic MBX</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>2,733</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR)</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Index 4.00%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>30 year Fannie Mae</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>pools</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>160,572</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1/12/40</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>4.00% (1 month</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Synthetic TRS</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(4,231)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR)</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Index 4.00%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>30 year Fannie Mae</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>pools</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>5,320,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>4/7/16</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>(2.63%)</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>USA Non Revised</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(191,227)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Consumer Price</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Index &#8212; Urban</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>(CPI-U)</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6>

   <HR SIZE=1 noShade>

</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>81</FONT></P></DIV>

<HR align=center SIZE=2 width="100%" noShade>



<!--$$/page=--><A name="page_83"></A><BR>

<DIV style="PADDING-LEFT: 0%;; PADDING-RIGHT: 0%">

<P style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 9/30/11 </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I></P>

<DIV align=left>

<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="25%"></TD>

   <TD width="15%"></TD>

   <TD width="12%"></TD>

   <TD width="20%"></TD>

   <TD width="15%"></TD>

   <TD width="12%"></TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="20%" noWrap align=left><B><FONT size=1 face=sans-serif>Fixed payments</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=left><B><FONT size=1 face=sans-serif>Total return</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=right><B><FONT size=1 face=sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left><B><FONT size=1 face=sans-serif>Swap counterparty /</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Termination</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="20%" noWrap align=left><B><FONT size=1 face=sans-serif>received (paid) by</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=left><B><FONT size=1 face=sans-serif>received by</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=right><B><FONT size=1 face=sans-serif>appreciation/</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left><B><FONT size=1 face=sans-serif>Notional amount</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>date</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="20%" noWrap align=left><B><FONT size=1 face=sans-serif>fund per annum</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=left><B><FONT size=1 face=sans-serif>or paid by fund</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=right><B><FONT size=1 face=sans-serif>(depreciation)</FONT></B>&nbsp;</TD></TR>

<TR height=20>

   <TD width="99%" colSpan=6 noWrap align=left><B><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

</FONT></B></TD></TR>

<TR height=20>

   <TD rowSpan=2 width="99%" colSpan=6 noWrap align=left><B><FONT size=1 face=sans-serif>Barclays Bank PLC </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I></TD></TR>

<TR vAlign=bottom></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>$2,597,731</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1/12/41</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>5.00% (1 month</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Synthetic MBX</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>$(7,286)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR)</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Index 5.00%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>30 year Fannie Mae</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>pools</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>3,822,772</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1/12/38</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>(6.50%) 1 month</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Synthetic MBX</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>29,813</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Index 6.50%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>30 year Fannie Mae</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>pools</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>3,434,694</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1/12/40</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>4.00% (1 month</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Synthetic MBX</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>6,819</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR)</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Index 4.00%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>30 year Fannie Mae</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>pools</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>9,628,901</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1/12/40</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>5.00% (1 month</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Synthetic TRS</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(132,745)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR)</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Index 5.00%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>30 year Fannie Mae</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>pools</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>7,034,956</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1/12/40</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>4.50% (1 month</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Synthetic MBX</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(8,371)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR)</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Index 4.50%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>30 year Fannie Mae</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>pools</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>14,234,703</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1/12/41</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>5.00% (1 month</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Synthetic MBX</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(35,107)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR)</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Index 5.00%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>30 year Fannie Mae</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>pools</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>3,107,753</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1/12/41</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>5.00% (1 month</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Synthetic MBX</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(8,717)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR)</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Index 5.00%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>30 year Fannie Mae</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>pools</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>647,478</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1/12/40</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>5.00% (1 month</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Synthetic MBX</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(1,714)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR)</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Index 5.00%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>30 year Fannie Mae</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>pools</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>2,099,117</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1/12/40</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>5.00% (1 month</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Synthetic MBX</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(5,557)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR)</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Index 5.00%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>30 year Fannie Mae</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>pools</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>1,521,752</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1/12/40</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>5.00% (1 month</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Synthetic MBX</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(4,028)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR)</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Index 5.00%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>30 year Fannie Mae</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>pools</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>122,136</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1/12/38</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>(6.50%) 1 month</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Synthetic TRS</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>1,855</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Index 6.50%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>30 year Fannie Mae</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>pools</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>5,278,659</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1/12/41</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>5.00% (1 month</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Synthetic TRS</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(110,747)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR)</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Index 5.00%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="27%" colSpan=2 noWrap align=left><FONT size=1 face=sans-serif>30 year Ginnie Mae II</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>pools</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6>

   <HR SIZE=1 noShade>

</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>82</FONT></P></DIV>

<HR align=center SIZE=2 width="100%" noShade>



<!--$$/page=--><A name="page_84"></A><BR>

<DIV style="PADDING-LEFT: 0%; PADDING-RIGHT: 0%">

<P style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 9/30/11 </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I></P>

<DIV align=left>

<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="12%"></TD>

   <TD width="13%"></TD>

   <TD width="15%"></TD>

   <TD width="12%"></TD>

   <TD width="20%"></TD>

   <TD width="15%"></TD>

   <TD width="12%"></TD></TR>

<TR vAlign=bottom>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="13%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="20%" noWrap align=left><B><FONT size=1 face=sans-serif>Fixed payments</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=left><B><FONT size=1 face=sans-serif>Total return</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=right><B><FONT size=1 face=sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>Swap counterparty /</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Termination</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="20%" noWrap align=left><B><FONT size=1 face=sans-serif>received (paid) by</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=left><B><FONT size=1 face=sans-serif>received by</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=right><B><FONT size=1 face=sans-serif>appreciation/</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>Notional amount</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>date</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="20%" noWrap align=left><B><FONT size=1 face=sans-serif>fund per annum</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=left><B><FONT size=1 face=sans-serif>or paid by fund</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=right><B><FONT size=1 face=sans-serif>(depreciation)</FONT></B>&nbsp;</TD></TR>

<TR height=20>

   <TD width="99%" colSpan=7 noWrap align=left><B><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

 </FONT></B></TD></TR>

<TR vAlign=bottom>

   <TD width="25%" colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>Citibank, N.A.</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="13%" noWrap align=right><FONT size=1 face=sans-serif>$2,020,169</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1/12/41</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>5.00% (1 month</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Synthetic MBX</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>$(5,666)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="13%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR)</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Index 5.00%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="13%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>30 year Fannie Mae</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="13%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>pools</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="13%" noWrap align=right><FONT size=1 face=sans-serif>4,329,552</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1/12/41</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>5.00% (1 month</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Synthetic MBX</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(12,144)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="13%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR)</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Index 5.00%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="13%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>30 year Fannie Mae</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="13%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>pools</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="13%" noWrap align=right><FONT size=1 face=sans-serif>3,779,699</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1/12/41</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>5.00% (1 month</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Synthetic MBX</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(10,602)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="13%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR)</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Index 5.00%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="13%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>30 year Fannie Mae</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="13%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>pools</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>GBP</FONT>&nbsp;</TD>

   <TD width="13%" noWrap align=right><FONT size=1 face=sans-serif>7,270,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>5/18/13</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>(3.38%)</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>GBP Non-revised</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>137,483</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="13%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>UK Retail Price</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="13%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Index</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>Credit Suisse International</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="13%" noWrap align=right><FONT size=1 face=sans-serif>$2,144,779</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1/12/41</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>4.50% (1 month</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Synthetic MBX</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(8,378)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="13%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR)</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Index 4.50%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="13%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>30 year Fannie Mae</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="13%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>pools</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="13%" noWrap align=right><FONT size=1 face=sans-serif>1,731,821</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1/12/41</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>5.00% (1 month</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Synthetic MBX</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(4,858)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="13%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR)</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Index 5.00%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="13%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>30 year Fannie Mae</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="13%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>pools</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="13%" noWrap align=right><FONT size=1 face=sans-serif>1,771,443</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1/12/40</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>5.00% (1 month</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Synthetic TRS</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(24,421)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="13%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR)</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Index 5.00%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="13%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>30 year Fannie Mae</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="13%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>pools</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="13%" noWrap align=right><FONT size=1 face=sans-serif>2,403,181</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1/12/40</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>5.00% (1 month</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Synthetic TRS</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(33,130)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="13%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR)</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Index 5.00%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="13%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>30 year Fannie Mae</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="13%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>pools</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="13%" noWrap align=right><FONT size=1 face=sans-serif>2,320,876</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1/12/38</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>(6.50%) 1 month</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Synthetic MBX</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>18,100</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="13%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Index 6.50%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="13%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>30 year Fannie Mae</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="13%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>pools</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="13%" noWrap align=right><FONT size=1 face=sans-serif>632,454</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1/12/40</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>5.00% (1 month</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Synthetic TRS</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(8,719)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="13%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR)</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Index 5.00%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="13%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>30 year Fannie Mae</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="13%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>pools</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>Deutsche Bank AG</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="13%" noWrap align=right><FONT size=1 face=sans-serif>1,968,190</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1/12/40</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>(5.00%) 1 month</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Synthetic TRS</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>27,134</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="13%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Index 5.00%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="13%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>30 year Fannie Mae</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="13%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>pools</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="13%" noWrap align=right><FONT size=1 face=sans-serif>2,320,876</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1/12/38</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>(6.50%) 1 month</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Synthetic MBX</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>18,100</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="13%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Index 6.50%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="13%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>30 year Fannie Mae</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="13%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>pools</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>83</FONT></P></DIV>

<HR align=center SIZE=2 width="100%" noShade>



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<P style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 9/30/11 </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I></P>

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<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="25%"></TD>

   <TD width="15%"></TD>

   <TD width="12%"></TD>

   <TD width="20%"></TD>

   <TD width="15%"></TD>

   <TD width="12%"></TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="20%" noWrap align=left><B><FONT size=1 face=sans-serif>Fixed payments</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=left><B><FONT size=1 face=sans-serif>Total return</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=right><B><FONT size=1 face=sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left><B><FONT size=1 face=sans-serif>Swap counterparty /</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Termination</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="20%" noWrap align=left><B><FONT size=1 face=sans-serif>received (paid) by</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=left><B><FONT size=1 face=sans-serif>received by</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=right><B><FONT size=1 face=sans-serif>appreciation/</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left><B><FONT size=1 face=sans-serif>Notional amount</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>date</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="20%" noWrap align=left><B><FONT size=1 face=sans-serif>fund per annum</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=left><B><FONT size=1 face=sans-serif>or paid by fund</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=right><B><FONT size=1 face=sans-serif>(depreciation)</FONT></B>&nbsp;</TD></TR>

<TR height=20>

   <TD width="99%" colSpan=6 noWrap align=middle><B><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

</FONT></B></TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left><B><FONT size=1 face=sans-serif>Goldman Sachs International</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>$3,040,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3/1/16</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>2.47%</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>USA Non Revised</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>$66,667</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Consumer Price</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Index &#8212; Urban</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>(CPI-U)</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>2,280,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3/3/16</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>2.45%</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>USA Non Revised</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>47,903</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Consumer Price</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Index &#8212; Urban</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>(CPI-U)</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>3,928,682</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1/12/39</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>(6.00%) 1 month</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Synthetic TRS</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>64,982</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Index 6.00%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>30 year Fannie Mae</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>pools</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>3,306,073</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1/12/40</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>(5.00%) 1 month</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Synthetic TRS</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>45,578</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Index 5.00%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>30 year Fannie Mae</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>pools</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left><B><FONT size=1 face=sans-serif>Total</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left></TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=right><B><FONT size=1 face=sans-serif>$(20,291)</FONT></B>&nbsp;</TD></TR>

<TR>

   <TD width="25%">&nbsp;</TD>

   <TD width="62%" colSpan=4></TD>

   <TD width="12%">&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>CREDIT DEFAULT CONTRACTS OUTSTANDING at 9/30/11</FONT></B></P>

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<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="25%"></TD>

   <TD width="10%"></TD>

   <TD width="8%"></TD>

   <TD width="12%"></TD>

   <TD width="8%"></TD>

   <TD width="12%"></TD>

   <TD width="12%"></TD>

   <TD width="12%"></TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="8%" noWrap align=right><B><FONT size=1 face=sans-serif>Upfront</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="8%" noWrap align=left></TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif>Fixed payments</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="8%" noWrap align=right><B><FONT size=1 face=sans-serif>premium</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="8%" noWrap align=left><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif>Termi-</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif>received</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=right><B><FONT size=1 face=sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left><B><FONT size=1 face=sans-serif>Swap counterparty /</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="8%" noWrap align=right><B><FONT size=1 face=sans-serif>received</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=right><B><FONT size=1 face=sans-serif>Notional</FONT></B>&nbsp;</TD>

   <TD width="8%" noWrap align=left><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif>nation</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif>(paid) by fund</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=right><B><FONT size=1 face=sans-serif>appreciation/</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left><B><FONT size=1 face=sans-serif>Referenced debt*</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=left><B><FONT size=1 face=sans-serif>Rating***</FONT></B>&nbsp;</TD>

   <TD width="8%" noWrap align=right><B><FONT size=1 face=sans-serif>(paid)**</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=right><B><FONT size=1 face=sans-serif>amount</FONT></B>&nbsp;</TD>

   <TD width="8%" noWrap align=left><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif>date</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif>per annum</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=right><B><FONT size=1 face=sans-serif>(depreciation)</FONT></B>&nbsp;</TD></TR>

<TR height=20>

   <TD width="99%" colSpan=8 noWrap align=left><B><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

</FONT></B></TD></TR>

<TR vAlign=bottom>

   <TD width="35%" colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>Credit Suisse International</FONT></B>&nbsp;</TD>

   <TD width="8%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="8%" noWrap align=left></TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left><FONT size=1 face=sans-serif>Bonos Y Oblig Del</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="8%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="8%" noWrap align=left></TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left><FONT size=1 face=sans-serif>Estado, 5 1/2%,</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="8%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="8%" noWrap align=left></TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left><FONT size=1 face=sans-serif>7/30/17</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=right><FONT size=1 face=sans-serif>$(18,605)</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>$2,090,000</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>12/20/19 </FONT></TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>(100 bp)</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>$331,072</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left><FONT size=1 face=sans-serif>Ukraine (Government</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="8%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="8%" noWrap align=left></TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left><FONT size=1 face=sans-serif>of), 7.65%, 6/11/13</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>1,105,000</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>10/20/11 </FONT></TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>194 bp</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>6,760</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left><B><FONT size=1 face=sans-serif>Deutsche Bank AG</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="8%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="8%" noWrap align=left></TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left><FONT size=1 face=sans-serif>Federal Republic of</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="8%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="8%" noWrap align=left></TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left><FONT size=1 face=sans-serif>Brazil, 12 1/4%,</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="8%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="8%" noWrap align=left></TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left><FONT size=1 face=sans-serif>3/6/30</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>775,000</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>10/20/17 </FONT></TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>105 bp</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(39,631)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left><FONT size=1 face=sans-serif>United Mexican</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="8%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="8%" noWrap align=left></TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left><FONT size=1 face=sans-serif>States, 7.5%, 4/8/33</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>1,495,000</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3/20/14</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>56 bp</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(32,018)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left><FONT size=1 face=sans-serif>Smurfit Kappa</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="8%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="8%" noWrap align=left></TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left><FONT size=1 face=sans-serif>Funding, 7 3/4%,</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="8%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="8%" noWrap align=left></TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left><FONT size=1 face=sans-serif>4/1/15</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>EUR 425,000</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>9/20/13</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>715 bp</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>44,085</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left><FONT size=1 face=sans-serif>Virgin Media</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="8%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="8%" noWrap align=left></TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left><FONT size=1 face=sans-serif>Finance PLC,</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="8%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="8%" noWrap align=left></TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left><FONT size=1 face=sans-serif>8 3/4%, 4/15/14</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>EUR 400,000</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>9/20/13</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>477 bp</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>15,182</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left><FONT size=1 face=sans-serif>Virgin Media</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="8%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="8%" noWrap align=left></TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left><FONT size=1 face=sans-serif>Finance PLC,</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="8%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="8%" noWrap align=left></TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left><FONT size=1 face=sans-serif>8 3/4%, 4/15/14</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>EUR 400,000</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>9/20/13</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>535 bp</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>21,167</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>84</FONT></P></DIV>

<HR align=center SIZE=2 width="100%" noShade>



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<DIV style="PADDING-LEFT: 0%;; PADDING-RIGHT: 0%">

<P style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>CREDIT DEFAULT CONTRACTS OUTSTANDING at 9/30/11 </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I></P>

<DIV align=left>

<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="25%"></TD>

   <TD width="10%"></TD>

   <TD width="8%"></TD>

   <TD width="12%"></TD>

   <TD width="8%"></TD>

   <TD width="12%"></TD>

   <TD width="12%"></TD>

   <TD width="12%"></TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="8%" noWrap align=right><B><FONT size=1 face=sans-serif>Upfront</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="8%" noWrap align=left></TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif>Fixed payments</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="8%" noWrap align=right><B><FONT size=1 face=sans-serif>premium</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="8%" noWrap align=left><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif>Termi-</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif>received</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=right><B><FONT size=1 face=sans-serif>Unrealized</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left><B><FONT size=1 face=sans-serif>Swap counterparty /</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="8%" noWrap align=right><B><FONT size=1 face=sans-serif>received</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=right><B><FONT size=1 face=sans-serif>Notional</FONT></B>&nbsp;</TD>

   <TD width="8%" noWrap align=left><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif>nation</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif>(paid) by fund</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=right><B><FONT size=1 face=sans-serif>appreciation/</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left><B><FONT size=1 face=sans-serif>Referenced debt*</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=left><B><FONT size=1 face=sans-serif>Rating***</FONT></B>&nbsp;</TD>

   <TD width="8%" noWrap align=right><B><FONT size=1 face=sans-serif>(paid)**</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=right><B><FONT size=1 face=sans-serif>amount</FONT></B>&nbsp;</TD>

   <TD width="8%" noWrap align=left><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif>date</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left><B><FONT size=1 face=sans-serif>per annum</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=right><B><FONT size=1 face=sans-serif>(depreciation)</FONT></B>&nbsp;</TD></TR>

<TR height=20>

   <TD width="99%" colSpan=8 noWrap align=left><B><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

 </FONT></B></TD></TR>

<TR vAlign=bottom>

   <TD width="35%" colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>Goldman Sachs International</FONT></B>&nbsp;</TD>

   <TD width="8%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="8%" noWrap align=left></TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left><FONT size=1 face=sans-serif>Lighthouse</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="8%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="8%" noWrap align=left></TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left><FONT size=1 face=sans-serif>International Co,</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="8%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="8%" noWrap align=left></TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left><FONT size=1 face=sans-serif>SA, 8%, 4/30/14</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>EUR 420,000</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3/20/13</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>680 bp</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>$(401,121)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="35%" colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>JPMorgan Chase Bank, N.A.</FONT></B>&nbsp;</TD>

   <TD width="8%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="8%" noWrap align=left></TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left><FONT size=1 face=sans-serif>DJ CDX NA HY Series</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="8%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="8%" noWrap align=left></TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left><FONT size=1 face=sans-serif>17 Version 1 Index</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>B+</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=right><FONT size=1 face=sans-serif>256,586</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>$2,582,000</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>12/20/16 </FONT></TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>500 bp</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(56,051)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left><FONT size=1 face=sans-serif>Republic of</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="8%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="8%" noWrap align=left></TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left><FONT size=1 face=sans-serif>Argentina, 8.28%,</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="8%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="8%" noWrap align=left></TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left><FONT size=1 face=sans-serif>12/31/33</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>705,000</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>6/20/14</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>235 bp</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(123,175)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="43%" colSpan=3 noWrap align=left><B><FONT size=1 face=sans-serif>Morgan Stanley Capital Services, Inc.</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="8%" noWrap align=left></TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left><FONT size=1 face=sans-serif>Dominican Republic,</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="8%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="8%" noWrap align=left></TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left><FONT size=1 face=sans-serif>8 5/8%, 4/20/27</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>1,190,000</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>11/20/11 </FONT></TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>(170 bp)</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(7,935)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left><FONT size=1 face=sans-serif>Republic of</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="8%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="8%" noWrap align=left></TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left><FONT size=1 face=sans-serif>Venezuela, 9 1/4%,</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="8%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="8%" noWrap align=left></TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left><FONT size=1 face=sans-serif>9/15/27</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>510,000</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>10/20/12 </FONT></TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>339 bp</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(12,000)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left><B><FONT size=1 face=sans-serif>Total</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="8%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="8%" noWrap align=left></TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=right><B><FONT size=1 face=sans-serif>$(253,665)</FONT></B>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><FONT size=1 face=sans-serif><BR><BR>*Payments related to the referenced debt are made upon a credit default event.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>** Upfront premium is based on the difference between the original spread on issue and the market spread on day of&nbsp;execution.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>*** Ratings are presented for credit default contracts in which the fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody&#8217;s, Standard &amp; Poor&#8217;s or Fitch ratings are believed to be the most recent ratings available at September 30, 2011. Securities rated by Putnam are indicated by &#8220;/P.&#8221; Securities rated by Fitch are indicated by&nbsp;&#8220;/F.&#8221;</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>85</FONT></P></DIV>

<HR align=center SIZE=2 width="100%" noShade>



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<DIV style="PADDING-LEFT: 0%; PADDING-RIGHT: 0%">

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund&#8217;s investments. The three levels are defined as&nbsp;follows:</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>Level 1 &#8212; Valuations based on quoted prices for identical securities in active markets.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>Level 2 &#8212; Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>Level 3 &#8212; Valuations based on inputs that are unobservable and significant to the fair value measurement.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>The following is a summary of the inputs used to value the fund&#8217;s net assets as of the close of the reporting period:</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%" colSpan=2></TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD style="TEXT-INDENT: 60px" width="38%" colSpan=2 noWrap align=middle><B><FONT size=1 face=sans-serif>Valuation inputs</FONT></B></TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR>

   <TD width="100%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left><B><FONT size=1 face=sans-serif>Investments in securities:</FONT></B>&nbsp;</TD>

   <TD width="25%" noWrap align=right><B><FONT size=1 face=sans-serif>Level 1</FONT></B>&nbsp;</TD>

   <TD width="25%" noWrap align=right><B><FONT size=1 face=sans-serif>Level 2</FONT></B>&nbsp;</TD>

   <TD width="25%" colSpan=2 noWrap align=right><B><FONT size=1 face=sans-serif>Level 3</FONT></B>&nbsp;</TD></TR>

<TR>

   <TD width="100%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left><FONT size=1 face=sans-serif>Common stocks:</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="25%" colSpan=2 noWrap align=left>&nbsp;</TD></TR>

<TR>

   <TD width="100%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left><FONT size=1 face=sans-serif>Consumer cyclicals</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>$&#8212;</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>$&#8212;</FONT>&nbsp;</TD>

   <TD width="25%" colSpan=2 noWrap align=right><FONT size=1 face=sans-serif>$400</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="100%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left><FONT size=1 face=sans-serif>Energy</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="25%" colSpan=2 noWrap align=right><FONT size=1 face=sans-serif>3,091</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="100%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left><B><FONT size=1 face=sans-serif>Total common stocks</FONT></B>&nbsp;</TD>

   <TD width="25%" noWrap align=right><B><FONT size=1 face=sans-serif>&#8212;</FONT></B>&nbsp;</TD>

   <TD width="25%" noWrap align=right><B><FONT size=1 face=sans-serif>&#8212;</FONT></B>&nbsp;</TD>

   <TD width="25%" colSpan=2 noWrap align=right><B><FONT size=1 face=sans-serif>3,491</FONT></B>&nbsp;</TD></TR>

<TR height=20>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="25%" noWrap align=left></TD>

   <TD width="38%" colSpan=2 noWrap align=middle><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="12%" noWrap align=left></TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD style="TEXT-INDENT: 60px" width="38%" colSpan=2 noWrap align=middle><B><FONT size=1 face=sans-serif>Valuation inputs</FONT></B></TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR>

   <TD width="100%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left><B><FONT size=1 face=sans-serif>Investments in securities:</FONT></B>&nbsp;</TD>

   <TD width="25%" noWrap align=right><B><FONT size=1 face=sans-serif>Level 1</FONT></B>&nbsp;</TD>

   <TD width="25%" noWrap align=right><B><FONT size=1 face=sans-serif>Level 2</FONT></B>&nbsp;</TD>

   <TD width="25%" colSpan=2 noWrap align=right><B><FONT size=1 face=sans-serif>Level 3</FONT></B>&nbsp;</TD></TR>

<TR>

   <TD width="100%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left><FONT size=1 face=sans-serif>Asset-backed securities</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>$&#8212;</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>$36,311,444</FONT>&nbsp;</TD>

   <TD width="25%" colSpan=2 noWrap align=right><FONT size=1 face=sans-serif>$&#8212;</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="100%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left><FONT size=1 face=sans-serif>Convertible bonds and notes</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>406,888</FONT>&nbsp;</TD>

   <TD width="25%" colSpan=2 noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="100%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left><FONT size=1 face=sans-serif>Convertible preferred stocks</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>281,388</FONT>&nbsp;</TD>

   <TD width="25%" colSpan=2 noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="100%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left><FONT size=1 face=sans-serif>Corporate bonds and notes</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>102,038,458</FONT>&nbsp;</TD>

   <TD width="25%" colSpan=2 noWrap align=right><FONT size=1 face=sans-serif>12,383</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="100%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left><FONT size=1 face=sans-serif>Foreign government bonds and notes</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>30,617,895</FONT>&nbsp;</TD>

   <TD width="25%" colSpan=2 noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="100%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left><FONT size=1 face=sans-serif>Mortgage-backed securities</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>82,141,475</FONT>&nbsp;</TD>

   <TD width="25%" colSpan=2 noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="100%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left><FONT size=1 face=sans-serif>Preferred stocks</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>132,592</FONT>&nbsp;</TD>

   <TD width="25%" colSpan=2 noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="100%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left><FONT size=1 face=sans-serif>Purchased options outstanding</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>28,255,294</FONT>&nbsp;</TD>

   <TD width="25%" colSpan=2 noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="100%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left><FONT size=1 face=sans-serif>Senior loans</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>9,584,721</FONT>&nbsp;</TD>

   <TD width="25%" colSpan=2 noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="100%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left><FONT size=1 face=sans-serif>U.S. Government and Agency Mortgage Obligations</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>31,252,462</FONT>&nbsp;</TD>

   <TD width="25%" colSpan=2 noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="100%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left><FONT size=1 face=sans-serif>U.S. Treasury Obligations</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>4,852,920</FONT>&nbsp;</TD>

   <TD width="25%" colSpan=2 noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="100%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left><FONT size=1 face=sans-serif>Warrants</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>230</FONT>&nbsp;</TD>

   <TD width="25%" colSpan=2 noWrap align=right><FONT size=1 face=sans-serif>15,889</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="100%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left><FONT size=1 face=sans-serif>Short-term investments</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>66,991,032</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>84,498,129</FONT>&nbsp;</TD>

   <TD width="25%" colSpan=2 noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="100%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left><B><FONT size=1 face=sans-serif>Totals by level</FONT></B>&nbsp;</TD>

   <TD width="25%" noWrap align=right><B><FONT size=1 face=sans-serif>$66,991,032</FONT></B>&nbsp;</TD>

   <TD width="25%" noWrap align=right><B><FONT size=1 face=sans-serif>$410,373,896</FONT></B>&nbsp;</TD>

   <TD width="25%" colSpan=2 noWrap align=right><B><FONT size=1 face=sans-serif>$31,763</FONT></B>&nbsp;</TD></TR>

<TR height=20>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="25%" noWrap align=left></TD>

   <TD width="25%" noWrap align=middle><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="25%" colSpan=2 noWrap align=left></TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD style="TEXT-INDENT: 60px" width="38%" colSpan=2 noWrap align=middle><B><FONT size=1 face=sans-serif>Valuation inputs</FONT></B></TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR>

   <TD width="100%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left><B><FONT size=1 face=sans-serif>Other financial instruments:</FONT></B>&nbsp;</TD>

   <TD width="25%" noWrap align=right><B><FONT size=1 face=sans-serif>Level 1</FONT></B>&nbsp;</TD>

   <TD width="25%" noWrap align=right><B><FONT size=1 face=sans-serif>Level 2</FONT></B>&nbsp;</TD>

   <TD width="25%" colSpan=2 noWrap align=right><B><FONT size=1 face=sans-serif>Level 3</FONT></B>&nbsp;</TD></TR>

<TR>

   <TD width="100%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left><FONT size=1 face=sans-serif>Forward currency contracts</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>3,716,172</FONT>&nbsp;</TD>

   <TD width="25%" colSpan=2 noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="100%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left><FONT size=1 face=sans-serif>Futures contracts</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>233,625</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="25%" colSpan=2 noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="100%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left><FONT size=1 face=sans-serif>Written options</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>(54,918,096)</FONT>&nbsp;</TD>

   <TD width="25%" colSpan=2 noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="100%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left><FONT size=1 face=sans-serif>Interest rate swap contracts</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>(41,976,680)</FONT>&nbsp;</TD>

   <TD width="25%" colSpan=2 noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="100%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left><FONT size=1 face=sans-serif>Total return swap contracts</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>(20,291)</FONT>&nbsp;</TD>

   <TD width="25%" colSpan=2 noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="100%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left><FONT size=1 face=sans-serif>Credit default contracts</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>(491,646)</FONT>&nbsp;</TD>

   <TD width="25%" colSpan=2 noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="100%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left><B><FONT size=1 face=sans-serif>Totals by level</FONT></B>&nbsp;</TD>

   <TD width="25%" noWrap align=right><B><FONT size=1 face=sans-serif>$233,625</FONT></B>&nbsp;</TD>

   <TD width="25%" noWrap align=right><B><FONT size=1 face=sans-serif>$(93,690,541)</FONT></B>&nbsp;</TD>

   <TD width="25%" colSpan=2 noWrap align=right><B><FONT size=1 face=sans-serif>$&#8212;</FONT></B>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>At the start and/or close of the reporting period, Level 3 investments in securities were not considered a significant portion of the fund&#8217;s portfolio.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>The accompanying notes are an integral part of these financial statements.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>86</FONT></P></DIV>

<HR align=center SIZE=2 width="100%" noShade>



<!--$$/page=--><A name="page_88"></A><BR>

<DIV style="PADDING-LEFT: 0%;; PADDING-RIGHT: 0%">

<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Statement of assets and liabilities </FONT></B><FONT size=2 face=sans-serif>9/30/11</FONT></P>

<DIV align=left>

<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="85%"></TD>

   <TD width="15%"></TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><B><FONT size=1 face=sans-serif>ASSETS</FONT></B>&nbsp;</TD>

   <TD noWrap align=left>&nbsp;</TD></TR>

<TR height=20>

   <TD colSpan=2 noWrap align=left><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

 </FONT></TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=1 face=sans-serif>Investment in securities, at value (Note 1):</FONT>&nbsp;</TD>

   <TD noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=1 face=sans-serif>Unaffiliated issuers (identified cost $413,780,150)</FONT>&nbsp;</TD>

   <TD noWrap align=right><FONT size=1 face=sans-serif>$410,405,659</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=1 face=sans-serif>Affiliated issuers (identified cost $66,991,032) (Note 6)</FONT>&nbsp;</TD>

   <TD noWrap align=right><FONT size=1 face=sans-serif>66,991,032</FONT>&nbsp;</TD></TR>

<TR>

   <TD colSpan=2>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=1 face=sans-serif>Cash</FONT>&nbsp;</TD>

   <TD noWrap align=right><FONT size=1 face=sans-serif>330,108</FONT>&nbsp;</TD></TR>

<TR>

   <TD colSpan=2>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=1 face=sans-serif>Dividends, interest and other receivables</FONT>&nbsp;</TD>

   <TD noWrap align=right><FONT size=1 face=sans-serif>4,113,083</FONT>&nbsp;</TD></TR>

<TR>

   <TD colSpan=2>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=1 face=sans-serif>Receivable for investments sold</FONT>&nbsp;</TD>

   <TD noWrap align=right><FONT size=1 face=sans-serif>2,865,773</FONT>&nbsp;</TD></TR>

<TR>

   <TD colSpan=2>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=1 face=sans-serif>Unrealized appreciation on swap contracts (Note 1)</FONT>&nbsp;</TD>

   <TD noWrap align=right><FONT size=1 face=sans-serif>66,856,680</FONT>&nbsp;</TD></TR>

<TR>

   <TD colSpan=2>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=1 face=sans-serif>Receivable for variation margin (Note 1)</FONT>&nbsp;</TD>

   <TD noWrap align=right><FONT size=1 face=sans-serif>213,712</FONT>&nbsp;</TD></TR>

<TR>

   <TD colSpan=2>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=1 face=sans-serif>Unrealized appreciation on forward currency contracts (Note 1)</FONT>&nbsp;</TD>

   <TD noWrap align=right><FONT size=1 face=sans-serif>5,683,058</FONT>&nbsp;</TD></TR>

<TR>

   <TD colSpan=2>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=1 face=sans-serif>Premium paid on swap contracts (Note 1)</FONT>&nbsp;</TD>

   <TD noWrap align=right><FONT size=1 face=sans-serif>2,719,464</FONT>&nbsp;</TD></TR>

<TR>

   <TD colSpan=2>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><B><FONT size=1 face=sans-serif>Total assets</FONT></B>&nbsp;</TD>

   <TD noWrap align=right><B><FONT size=1 face=sans-serif>560,178,569</FONT></B>&nbsp;</TD></TR>

<TR>

   <TD colSpan=2>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><B><FONT size=1 face=sans-serif>LIABILITIES</FONT></B>&nbsp;</TD>

   <TD noWrap align=left>&nbsp;</TD></TR>

<TR height=20>

   <TD colSpan=2 noWrap align=left><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

 </FONT><FONT size=1 face=sans-serif></FONT></TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=1 face=sans-serif>Distributions payable to shareholders</FONT>&nbsp;</TD>

   <TD noWrap align=right><FONT size=1 face=sans-serif>1,909,618</FONT>&nbsp;</TD></TR>

<TR>

   <TD colSpan=2>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=1 face=sans-serif>Payable for investments purchased</FONT>&nbsp;</TD>

   <TD noWrap align=right><FONT size=1 face=sans-serif>2,754,975</FONT>&nbsp;</TD></TR>

<TR>

   <TD colSpan=2>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=1 face=sans-serif>Payable for purchases of delayed delivery securities (Note 1)</FONT>&nbsp;</TD>

   <TD noWrap align=right><FONT size=1 face=sans-serif>29,649,481</FONT>&nbsp;</TD></TR>

<TR>

   <TD colSpan=2>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=1 face=sans-serif>Payable for compensation of Manager (Note 2)</FONT>&nbsp;</TD>

   <TD noWrap align=right><FONT size=1 face=sans-serif>699,681</FONT>&nbsp;</TD></TR>

<TR>

   <TD colSpan=2>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=1 face=sans-serif>Payable for investor servicing fees (Note 2)</FONT>&nbsp;</TD>

   <TD noWrap align=right><FONT size=1 face=sans-serif>14,859</FONT>&nbsp;</TD></TR>

<TR>

   <TD colSpan=2>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=1 face=sans-serif>Payable for custodian fees (Note 2)</FONT>&nbsp;</TD>

   <TD noWrap align=right><FONT size=1 face=sans-serif>60,877</FONT>&nbsp;</TD></TR>

<TR>

   <TD colSpan=2>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=1 face=sans-serif>Payable for Trustee compensation and expenses (Note 2)</FONT>&nbsp;</TD>

   <TD noWrap align=right><FONT size=1 face=sans-serif>126,595</FONT>&nbsp;</TD></TR>

<TR>

   <TD colSpan=2>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=1 face=sans-serif>Payable for administrative services (Note 2)</FONT>&nbsp;</TD>

   <TD noWrap align=right><FONT size=1 face=sans-serif>1,731</FONT>&nbsp;</TD></TR>

<TR>

   <TD colSpan=2>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=1 face=sans-serif>Unrealized depreciation on forward currency contracts (Note 1)</FONT>&nbsp;</TD>

   <TD noWrap align=right><FONT size=1 face=sans-serif>1,966,886</FONT>&nbsp;</TD></TR>

<TR>

   <TD colSpan=2>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=1 face=sans-serif>Written options outstanding, at value (premiums received $36,215,870) (Notes 1 and 3)</FONT>&nbsp;</TD>

   <TD noWrap align=right><FONT size=1 face=sans-serif>54,918,096</FONT>&nbsp;</TD></TR>

<TR>

   <TD colSpan=2>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=1 face=sans-serif>Premium received on swap contracts (Note 1)</FONT>&nbsp;</TD>

   <TD noWrap align=right><FONT size=1 face=sans-serif>6,310,777</FONT>&nbsp;</TD></TR>

<TR>

   <TD colSpan=2>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=1 face=sans-serif>Unrealized depreciation on swap contracts (Note 1)</FONT>&nbsp;</TD>

   <TD noWrap align=right><FONT size=1 face=sans-serif>105,753,984</FONT>&nbsp;</TD></TR>

<TR>

   <TD colSpan=2>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=1 face=sans-serif>Collateral on certain derivative contracts, at value (Note 1)</FONT>&nbsp;</TD>

   <TD noWrap align=right><FONT size=1 face=sans-serif>4,852,920</FONT>&nbsp;</TD></TR>

<TR>

   <TD colSpan=2>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=1 face=sans-serif>Other accrued expenses</FONT>&nbsp;</TD>

   <TD noWrap align=right><FONT size=1 face=sans-serif>130,146</FONT>&nbsp;</TD></TR>

<TR>

   <TD colSpan=2>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><B><FONT size=1 face=sans-serif>Total liabilities</FONT></B>&nbsp;</TD>

   <TD noWrap align=right><B><FONT size=1 face=sans-serif>209,150,626</FONT></B>&nbsp;</TD></TR>

<TR height=20>

   <TD noWrap align=left><B><FONT size=1 face=sans-serif>&nbsp;</FONT></B></TD>

   <TD noWrap align=right><B><FONT size=1 face=sans-serif></FONT></B></TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><B><FONT size=1 face=sans-serif>Net assets</FONT></B>&nbsp;</TD>

   <TD noWrap align=right><B><FONT size=1 face=sans-serif>$351,027,943</FONT></B>&nbsp;</TD></TR>

<TR>

   <TD colSpan=2>

   <HR SIZE=1 noShade>

</TD></TR>

<TR>

   <TD colSpan=2>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><B><FONT size=1 face=sans-serif>REPRESENTED BY</FONT></B>&nbsp;</TD>

   <TD noWrap align=left>&nbsp;</TD></TR>

<TR height=20>

   <TD colSpan=2 noWrap align=left><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

 </FONT><FONT size=1 face=sans-serif></FONT></TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=1 face=sans-serif>Paid-in capital (Unlimited shares authorized) (Note 1)</FONT>&nbsp;</TD>

   <TD noWrap align=right><FONT size=1 face=sans-serif>$513,314,425</FONT>&nbsp;</TD></TR>

<TR>

   <TD colSpan=2>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=1 face=sans-serif>Distributions in excess of net investment income (Note 1)</FONT>&nbsp;</TD>

   <TD noWrap align=right><FONT size=1 face=sans-serif>(5,637,321)</FONT>&nbsp;</TD></TR>

<TR>

   <TD colSpan=2>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=1 face=sans-serif>Accumulated net realized loss on investments and foreign currency transactions (Note 1)</FONT>&nbsp;</TD>

   <TD noWrap align=right><FONT size=1 face=sans-serif>(99,635,135)</FONT>&nbsp;</TD></TR>

<TR>

   <TD colSpan=2>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=1 face=sans-serif>Net unrealized depreciation of investments and assets and liabilities in foreign currencies</FONT>&nbsp;</TD>

   <TD noWrap align=right><FONT size=1 face=sans-serif>(57,014,026)</FONT>&nbsp;</TD></TR>

<TR>

   <TD colSpan=2>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><B><FONT size=1 face=sans-serif>Total &#8212; Representing net assets applicable to capital shares outstanding</FONT></B>&nbsp;</TD>

   <TD noWrap align=right><B><FONT size=1 face=sans-serif>$351,027,943</FONT></B>&nbsp;</TD></TR>

<TR>

   <TD colSpan=2>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><B><FONT size=1 face=sans-serif>COMPUTATION OF NET ASSET VALUE</FONT></B>&nbsp;</TD>

   <TD noWrap align=left>&nbsp;</TD></TR>

<TR height=20>

   <TD colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

 </FONT></B><FONT size=1 face=sans-serif></FONT></TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><B><FONT size=1 face=sans-serif>Net asset value per share </FONT></B><FONT size=1 face=sans-serif>($351,027,943 divided by 65,690,624 shares)</FONT>&nbsp;</TD>

   <TD noWrap align=right><FONT size=1 face=sans-serif>$5.34</FONT>&nbsp;</TD></TR>

<TR>

   <TD colSpan=2>

   <HR SIZE=1 noShade>

</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>The accompanying notes are an integral part of these financial statements.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>87</FONT></P></DIV>

<HR align=center SIZE=2 width="100%" noShade>



<!--$$/page=--><A name="page_89"></A><BR>

<DIV style="PADDING-LEFT: 0%;; PADDING-RIGHT: 0%">

<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Statement of operations </FONT></B><FONT size=2 face=sans-serif>Year ended 9/30/11</FONT></P>

<DIV align=left>

<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="85%"></TD>

   <TD width="15%"></TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><B><FONT size=1 face=sans-serif>INVESTMENT INCOME</FONT></B>&nbsp;</TD>

   <TD noWrap align=left>&nbsp;</TD></TR>

<TR height=20>

   <TD colSpan=2 noWrap align=left><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

 </FONT></TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=1 face=sans-serif>Interest (net of foreign tax of $17,926 ) (including interest income of $40,237</FONT>&nbsp;</TD>

   <TD noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=1 face=sans-serif>from investments in affiliated issuers) (Note 6)</FONT>&nbsp;</TD>

   <TD noWrap align=right><FONT size=1 face=sans-serif>$26,436,588</FONT>&nbsp;</TD></TR>

<TR>

   <TD colSpan=2>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=1 face=sans-serif>Dividends</FONT>&nbsp;</TD>

   <TD noWrap align=right><FONT size=1 face=sans-serif>25,879</FONT>&nbsp;</TD></TR>

<TR>

   <TD colSpan=2>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><B><FONT size=1 face=sans-serif>Total investment income</FONT></B>&nbsp;</TD>

   <TD noWrap align=right><B><FONT size=1 face=sans-serif>26,462,467</FONT></B>&nbsp;</TD></TR>

<TR>

   <TD colSpan=2>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><B><FONT size=1 face=sans-serif>EXPENSES</FONT></B>&nbsp;</TD>

   <TD noWrap align=left>&nbsp;</TD></TR>

<TR height=20>

   <TD colSpan=2 noWrap align=left><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

 </FONT><FONT size=1 face=sans-serif></FONT></TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=1 face=sans-serif>Compensation of Manager (Note 2)</FONT>&nbsp;</TD>

   <TD noWrap align=right><FONT size=1 face=sans-serif>2,874,366</FONT>&nbsp;</TD></TR>

<TR>

   <TD colSpan=2>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=1 face=sans-serif>Investor servicing fees (Note 2)</FONT>&nbsp;</TD>

   <TD noWrap align=right><FONT size=1 face=sans-serif>191,582</FONT>&nbsp;</TD></TR>

<TR>

   <TD colSpan=2>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=1 face=sans-serif>Custodian fees (Note 2)</FONT>&nbsp;</TD>

   <TD noWrap align=right><FONT size=1 face=sans-serif>141,907</FONT>&nbsp;</TD></TR>

<TR>

   <TD colSpan=2>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=1 face=sans-serif>Trustee compensation and expenses (Note 2)</FONT>&nbsp;</TD>

   <TD noWrap align=right><FONT size=1 face=sans-serif>32,586</FONT>&nbsp;</TD></TR>

<TR>

   <TD colSpan=2>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=1 face=sans-serif>Administrative services (Note 2)</FONT>&nbsp;</TD>

   <TD noWrap align=right><FONT size=1 face=sans-serif>11,077</FONT>&nbsp;</TD></TR>

<TR>

   <TD colSpan=2>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=1 face=sans-serif>Other</FONT>&nbsp;</TD>

   <TD noWrap align=right><FONT size=1 face=sans-serif>344,835</FONT>&nbsp;</TD></TR>

<TR>

   <TD colSpan=2>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><B><FONT size=1 face=sans-serif>Total expenses</FONT></B>&nbsp;</TD>

   <TD noWrap align=right><B><FONT size=1 face=sans-serif>3,596,353</FONT></B>&nbsp;</TD></TR>

<TR height=20>

   <TD noWrap align=left><FONT size=1 face=sans-serif>&nbsp;</FONT></TD>

   <TD noWrap align=right><FONT size=1 face=sans-serif></FONT></TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=1 face=sans-serif>Expense reduction (Note 2)</FONT>&nbsp;</TD>

   <TD noWrap align=right><FONT size=1 face=sans-serif>(1,571)</FONT>&nbsp;</TD></TR>

<TR>

   <TD colSpan=2>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><B><FONT size=1 face=sans-serif>Net expenses</FONT></B>&nbsp;</TD>

   <TD noWrap align=right><B><FONT size=1 face=sans-serif>3,594,782</FONT></B>&nbsp;</TD></TR>

<TR height=20>

   <TD noWrap align=left><B><FONT size=1 face=sans-serif>&nbsp;</FONT></B></TD>

   <TD noWrap align=right><B><FONT size=1 face=sans-serif></FONT></B></TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><B><FONT size=1 face=sans-serif>Net investment income</FONT></B>&nbsp;</TD>

   <TD noWrap align=right><B><FONT size=1 face=sans-serif>22,867,685</FONT></B>&nbsp;</TD></TR>

<TR>

   <TD colSpan=2>

   <HR SIZE=1 noShade>

</TD></TR>

<TR>

   <TD colSpan=2>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=1 face=sans-serif>Net realized gain on investments (Notes 1 and 3)</FONT>&nbsp;</TD>

   <TD noWrap align=right><FONT size=1 face=sans-serif>29,716,255</FONT>&nbsp;</TD></TR>

<TR>

   <TD colSpan=2>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=1 face=sans-serif>Net realized gain on swap contracts (Note 1)</FONT>&nbsp;</TD>

   <TD noWrap align=right><FONT size=1 face=sans-serif>3,301,718</FONT>&nbsp;</TD></TR>

<TR>

   <TD colSpan=2>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=1 face=sans-serif>Net realized loss on futures contracts (Note 1)</FONT>&nbsp;</TD>

   <TD noWrap align=right><FONT size=1 face=sans-serif>(8,585,339)</FONT>&nbsp;</TD></TR>

<TR>

   <TD colSpan=2>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=1 face=sans-serif>Net realized loss on foreign currency transactions (Note 1)</FONT>&nbsp;</TD>

   <TD noWrap align=right><FONT size=1 face=sans-serif>(6,501,823)</FONT>&nbsp;</TD></TR>

<TR>

   <TD colSpan=2>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=1 face=sans-serif>Net realized gain on written options (Notes 1 and 3)</FONT>&nbsp;</TD>

   <TD noWrap align=right><FONT size=1 face=sans-serif>12,434,641</FONT>&nbsp;</TD></TR>

<TR>

   <TD colSpan=2>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=1 face=sans-serif>Net unrealized appreciation of assets and liabilities in foreign currencies during the year</FONT>&nbsp;</TD>

   <TD noWrap align=right><FONT size=1 face=sans-serif>1,892,883</FONT>&nbsp;</TD></TR>

<TR>

   <TD colSpan=2>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=1 face=sans-serif>Net unrealized depreciation of investments, futures contracts, swap contracts,</FONT>&nbsp;</TD>

   <TD noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=1 face=sans-serif>and written options during the year</FONT>&nbsp;</TD>

   <TD noWrap align=right><FONT size=1 face=sans-serif>(56,990,984)</FONT>&nbsp;</TD></TR>

<TR>

   <TD colSpan=2>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><B><FONT size=1 face=sans-serif>Net loss on investments</FONT></B>&nbsp;</TD>

   <TD noWrap align=right><B><FONT size=1 face=sans-serif>(24,732,649)</FONT></B>&nbsp;</TD></TR>

<TR height=20>

   <TD noWrap align=left><B><FONT size=1 face=sans-serif>&nbsp;</FONT></B></TD>

   <TD noWrap align=right><B><FONT size=1 face=sans-serif></FONT></B></TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><B><FONT size=1 face=sans-serif>Net decrease in net assets resulting from operations</FONT></B>&nbsp;</TD>

   <TD noWrap align=right><B><FONT size=1 face=sans-serif>$(1,864,964)</FONT></B>&nbsp;</TD></TR>

<TR>

   <TD colSpan=2>

   <HR SIZE=1 noShade>

</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>The accompanying notes are an integral part of these financial statements.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>88</FONT></P></DIV>

<HR align=center SIZE=2 width="100%" noShade>



<!--$$/page=--><A name="page_90"></A><BR>

<DIV style="PADDING-LEFT: 0%;; PADDING-RIGHT: 0%">

<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Statement of changes in net assets</FONT></B></P>

<DIV align=left>

<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="59%"></TD>

   <TD width="20%"></TD>

   <TD width="20%"></TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><B><FONT size=1 face=sans-serif>DECREASE IN NET ASSETS</FONT></B>&nbsp;</TD>

   <TD width="20%" noWrap align=right><B><FONT size=1 face=sans-serif>Year ended 9/30/11</FONT></B>&nbsp;</TD>

   <TD width="20%" noWrap align=right><B><FONT size=1 face=sans-serif>Year ended 9/30/10</FONT></B>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><B><FONT size=1 face=sans-serif>Operations:</FONT></B>&nbsp;</TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Net investment income</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>$22,867,685</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>$37,634,058</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Net realized gain on investments and foreign</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>currency transactions</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>30,365,452</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>52,327,882</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Net unrealized depreciation of investments and assets</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>and liabilities in foreign currencies</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>(55,098,101)</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>(27,125,881)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><B><FONT size=1 face=sans-serif>Net increase (decrease) in net assets resulting</FONT></B>&nbsp;</TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><B><FONT size=1 face=sans-serif>from operations</FONT></B>&nbsp;</TD>

   <TD width="20%" noWrap align=right><B><FONT size=1 face=sans-serif>(1,864,964)</FONT></B>&nbsp;</TD>

   <TD width="20%" noWrap align=right><B><FONT size=1 face=sans-serif>62,836,059</FONT></B>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Distributions to shareholders (Note 1):</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>From ordinary income</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Net investment income</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>(30,037,712)</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>(69,922,875)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Increase in capital share transactions from reinvestment</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>of distributions</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>1,575,240</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>5,053,775</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><B><FONT size=1 face=sans-serif>Total decrease in net assets</FONT></B>&nbsp;</TD>

   <TD width="20%" noWrap align=right><B><FONT size=1 face=sans-serif>(30,327,436)</FONT></B>&nbsp;</TD>

   <TD width="20%" noWrap align=right><B><FONT size=1 face=sans-serif>(2,033,041)</FONT></B>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><B><FONT size=1 face=sans-serif>NET ASSETS</FONT></B>&nbsp;</TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Beginning of year</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>381,355,379</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>383,388,420</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><B><FONT size=1 face=sans-serif>End of year </FONT></B><FONT size=1 face=sans-serif>(including distributions in excess of net investment</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>income of $5,637,321 and $1,338,399, respectively)</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=right><B><FONT size=1 face=sans-serif>$351,027,943</FONT></B>&nbsp;</TD>

   <TD width="20%" noWrap align=right><B><FONT size=1 face=sans-serif>$381,355,379</FONT></B>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><B><FONT size=1 face=sans-serif>NUMBER OF FUND SHARES</FONT></B>&nbsp;</TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Shares outstanding at beginning of year</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>65,424,306</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>64,565,117</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Shares issued in connection with reinvestment of distributions</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>266,318</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>859,189</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Shares outstanding at end of year</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>65,690,624</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>65,424,306</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>The accompanying notes are an integral part of these financial statements.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>89</FONT></P></DIV>

<HR align=center SIZE=2 width="100%" noShade>



<!--$$/page=--><A name="page_91"></A><BR>

<DIV style="PADDING-LEFT: 0%;; PADDING-RIGHT: 0%">

<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Financial highlights </FONT></B><FONT size=2 face=sans-serif>(For a common share outstanding throughout the period)</FONT></P>

<DIV align=left>

<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="16%" align=left></TD>

   <TD width="17%"></TD>

   <TD width="16%"></TD>

   <TD width="17%"></TD>

   <TD width="17%"></TD>

   <TD width="16%"></TD></TR>

<TR vAlign=bottom>

   <TD width="33%" colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>PER-SHARE OPERATING PERFORMANCE</FONT></B></TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=middle><B><FONT size=1 face=sans-serif>Year ended</FONT></B>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD></TR>

<TR>

   <TD width="16%" align=left></TD>

   <TD width="83%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=middle><B><FONT size=1 face=sans-serif>9/30/11</FONT></B>&nbsp;</TD>

   <TD width="16%" noWrap align=middle><B><FONT size=1 face=sans-serif>9/30/10</FONT></B>&nbsp;</TD>

   <TD width="17%" noWrap align=middle><B><FONT size=1 face=sans-serif>9/30/09</FONT></B>&nbsp;</TD>

   <TD width="17%" noWrap align=middle><B><FONT size=1 face=sans-serif>9/30/08</FONT></B>&nbsp;</TD>

   <TD width="16%" noWrap align=middle><B><FONT size=1 face=sans-serif>9/30/07</FONT></B>&nbsp;</TD></TR>

<TR height=20>

   <TD width="99%" colSpan=6 noWrap align=left><B><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

 </FONT></B><B><FONT size=1 face=sans-serif></FONT></B><B><FONT size=1 face=sans-serif></FONT></B><B><FONT size=1 face=sans-serif></FONT></B><B><FONT size=1 face=sans-serif></FONT></B><B><FONT size=1 face=sans-serif></FONT></B></TD></TR>

<TR vAlign=bottom>

   <TD width="16%" noWrap align=left><B><FONT size=1 face=sans-serif>Net asset value, beginning of period</FONT></B>&nbsp;</TD>

   <TD width="17%" noWrap align=middle><B><FONT size=1 face=sans-serif>$5.83</FONT></B>&nbsp;</TD>

   <TD width="16%" noWrap align=middle><B><FONT size=1 face=sans-serif>$5.94</FONT></B>&nbsp;</TD>

   <TD width="17%" noWrap align=middle><B><FONT size=1 face=sans-serif>$5.88</FONT></B>&nbsp;</TD>

   <TD width="17%" noWrap align=middle><B><FONT size=1 face=sans-serif>$7.13</FONT></B>&nbsp;</TD>

   <TD width="16%" noWrap align=middle><B><FONT size=1 face=sans-serif>$7.08</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="16%" noWrap align=left><I><FONT size=1 face=sans-serif>Investment operations:</FONT></I>&nbsp;</TD>

   <TD width="17%" noWrap align=middle>&nbsp;</TD>

   <TD width="16%" noWrap align=middle>&nbsp;</TD>

   <TD width="17%" noWrap align=middle>&nbsp;</TD>

   <TD width="17%" noWrap align=middle>&nbsp;</TD>

   <TD width="16%" noWrap align=middle>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6 align=left>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Net investment income </FONT><B><SUP><FONT size=1 face=sans-serif>a</FONT></SUP></B>&nbsp;</TD>

   <TD width="17%" noWrap align=middle><FONT size=1 face=sans-serif>.35</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=middle><FONT size=1 face=sans-serif>.58</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=middle><FONT size=1 face=sans-serif>.34</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=middle><FONT size=1 face=sans-serif>.49 </FONT><B><SUP><FONT size=1 face=sans-serif>f</FONT></SUP></B>&nbsp;</TD>

   <TD width="16%" noWrap align=middle><FONT size=1 face=sans-serif>.36 </FONT><B><SUP><FONT size=1 face=sans-serif>f</FONT></SUP></B>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6 align=left>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Net realized and unrealized</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=middle>&nbsp;</TD>

   <TD width="16%" noWrap align=middle>&nbsp;</TD>

   <TD width="17%" noWrap align=middle>&nbsp;</TD>

   <TD width="17%" noWrap align=middle>&nbsp;</TD>

   <TD width="16%" noWrap align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>gain (loss) on investments</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=middle><FONT size=1 face=sans-serif>(.38)</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=middle><FONT size=1 face=sans-serif>.39</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=middle><FONT size=1 face=sans-serif>.24</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=middle><FONT size=1 face=sans-serif>(1.28)</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=middle><FONT size=1 face=sans-serif>.01</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6 align=left>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="16%" noWrap align=left><B><FONT size=1 face=sans-serif>Total from investment operations</FONT></B>&nbsp;</TD>

   <TD width="17%" noWrap align=middle><B><FONT size=1 face=sans-serif>(.03)</FONT></B>&nbsp;</TD>

   <TD width="16%" noWrap align=middle><B><FONT size=1 face=sans-serif>.97</FONT></B>&nbsp;</TD>

   <TD width="17%" noWrap align=middle><B><FONT size=1 face=sans-serif>.58</FONT></B>&nbsp;</TD>

   <TD width="17%" noWrap align=middle><B><FONT size=1 face=sans-serif>(.79)</FONT></B>&nbsp;</TD>

   <TD width="16%" noWrap align=middle><B><FONT size=1 face=sans-serif>.37</FONT></B>&nbsp;</TD></TR>

<TR height=20>

   <TD width="16%" noWrap align=left><I><FONT size=1 face=sans-serif>&nbsp;</FONT></I></TD>

   <TD width="17%" noWrap align=left></TD>

   <TD width="16%" noWrap align=left></TD>

   <TD width="17%" noWrap align=left></TD>

   <TD width="17%" noWrap align=left></TD>

   <TD width="16%" noWrap align=left></TD></TR>

<TR vAlign=bottom>

   <TD width="16%" noWrap align=left><I><FONT size=1 face=sans-serif>Less distributions:</FONT></I>&nbsp;</TD>

   <TD width="17%" noWrap align=middle>&nbsp;</TD>

   <TD width="16%" noWrap align=middle>&nbsp;</TD>

   <TD width="17%" noWrap align=middle>&nbsp;</TD>

   <TD width="17%" noWrap align=middle>&nbsp;</TD>

   <TD width="16%" noWrap align=middle>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6 align=left>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>From net investment income</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=middle><FONT size=1 face=sans-serif>(.46)</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=middle><FONT size=1 face=sans-serif>(1.08)</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=middle><FONT size=1 face=sans-serif>(.54)</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=middle><FONT size=1 face=sans-serif>(.49)</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=middle><FONT size=1 face=sans-serif>(.36)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6 align=left>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="16%" noWrap align=left><B><FONT size=1 face=sans-serif>Total distributions</FONT></B>&nbsp;</TD>

   <TD width="17%" noWrap align=middle><B><FONT size=1 face=sans-serif>(.46)</FONT></B>&nbsp;</TD>

   <TD width="16%" noWrap align=middle><B><FONT size=1 face=sans-serif>(1.08)</FONT></B>&nbsp;</TD>

   <TD width="17%" noWrap align=middle><B><FONT size=1 face=sans-serif>(.54)</FONT></B>&nbsp;</TD>

   <TD width="17%" noWrap align=middle><B><FONT size=1 face=sans-serif>(.49)</FONT></B>&nbsp;</TD>

   <TD width="16%" noWrap align=middle><B><FONT size=1 face=sans-serif>(.36)</FONT></B>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6 align=left>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="16%" noWrap align=left><B><FONT size=1 face=sans-serif>Increase from shares repurchased</FONT></B>&nbsp;</TD>

   <TD width="17%" noWrap align=middle><B><FONT size=1 face=sans-serif>&#8212;</FONT></B>&nbsp;</TD>

   <TD width="16%" noWrap align=middle><B><FONT size=1 face=sans-serif>&#8212;</FONT></B>&nbsp;</TD>

   <TD width="17%" noWrap align=middle><B><FONT size=1 face=sans-serif>.02</FONT></B>&nbsp;</TD>

   <TD width="17%" noWrap align=middle><B><FONT size=1 face=sans-serif>.03</FONT></B>&nbsp;</TD>

   <TD width="16%" noWrap align=middle><B><FONT size=1 face=sans-serif>.04</FONT></B>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6 align=left>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="16%" noWrap align=left><B><FONT size=1 face=sans-serif>Net asset value, end of period</FONT></B>&nbsp;</TD>

   <TD width="17%" noWrap align=middle><B><FONT size=1 face=sans-serif>$5.34</FONT></B>&nbsp;</TD>

   <TD width="16%" noWrap align=middle><B><FONT size=1 face=sans-serif>$5.83</FONT></B>&nbsp;</TD>

   <TD width="17%" noWrap align=middle><B><FONT size=1 face=sans-serif>$5.94</FONT></B>&nbsp;</TD>

   <TD width="17%" noWrap align=middle><B><FONT size=1 face=sans-serif>$5.88</FONT></B>&nbsp;</TD>

   <TD width="16%" noWrap align=middle><B><FONT size=1 face=sans-serif>$7.13</FONT></B>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6 align=left>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="16%" noWrap align=left><B><FONT size=1 face=sans-serif>Market value, end of period</FONT></B>&nbsp;</TD>

   <TD width="17%" noWrap align=middle><B><FONT size=1 face=sans-serif>$5.05</FONT></B>&nbsp;</TD>

   <TD width="16%" noWrap align=middle><B><FONT size=1 face=sans-serif>$6.28</FONT></B>&nbsp;</TD>

   <TD width="17%" noWrap align=middle><B><FONT size=1 face=sans-serif>$5.99</FONT></B>&nbsp;</TD>

   <TD width="17%" noWrap align=middle><B><FONT size=1 face=sans-serif>$5.39</FONT></B>&nbsp;</TD>

   <TD width="16%" noWrap align=middle><B><FONT size=1 face=sans-serif>$6.41</FONT></B>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6 align=left>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="16%" noWrap align=left><B><FONT size=1 face=sans-serif>Total return at market value (%) </FONT></B><B><SUP><FONT size=1 face=sans-serif>b</FONT></SUP></B>&nbsp;</TD>

   <TD width="17%" noWrap align=middle><B><FONT size=1 face=sans-serif>(13.01)</FONT></B>&nbsp;</TD>

   <TD width="16%" noWrap align=middle><B><FONT size=1 face=sans-serif>25.33</FONT></B>&nbsp;</TD>

   <TD width="17%" noWrap align=middle><B><FONT size=1 face=sans-serif>24.66</FONT></B>&nbsp;</TD>

   <TD width="17%" noWrap align=middle><B><FONT size=1 face=sans-serif>(8.92)</FONT></B>&nbsp;</TD>

   <TD width="16%" noWrap align=middle><B><FONT size=1 face=sans-serif>10.15</FONT></B>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6 align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="16%" noWrap align=left><B><FONT size=1 face=sans-serif>RATIOS AND SUPPLEMENTAL DATA</FONT></B>&nbsp;</TD>

   <TD width="17%" noWrap align=middle>&nbsp;</TD>

   <TD width="16%" noWrap align=middle>&nbsp;</TD>

   <TD width="17%" noWrap align=middle>&nbsp;</TD>

   <TD width="17%" noWrap align=middle>&nbsp;</TD>

   <TD width="16%" noWrap align=middle>&nbsp;</TD></TR>

<TR height=20>

   <TD width="99%" colSpan=6 noWrap align=left><B><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

 </FONT></B></TD></TR>

<TR vAlign=bottom>

   <TD width="16%" noWrap align=left><B><FONT size=1 face=sans-serif>Net assets, end of period</FONT></B>&nbsp;</TD>

   <TD width="17%" noWrap align=middle>&nbsp;</TD>

   <TD width="16%" noWrap align=middle>&nbsp;</TD>

   <TD width="17%" noWrap align=middle>&nbsp;</TD>

   <TD width="17%" noWrap align=middle>&nbsp;</TD>

   <TD width="16%" noWrap align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="16%" noWrap align=left><B><FONT size=1 face=sans-serif>(in thousands)</FONT></B>&nbsp;</TD>

   <TD width="17%" noWrap align=middle><B><FONT size=1 face=sans-serif>$351,028</FONT></B>&nbsp;</TD>

   <TD width="16%" noWrap align=middle><B><FONT size=1 face=sans-serif>$381,355</FONT></B>&nbsp;</TD>

   <TD width="17%" noWrap align=middle><B><FONT size=1 face=sans-serif>$383,388</FONT></B>&nbsp;</TD>

   <TD width="17%" noWrap align=middle><B><FONT size=1 face=sans-serif>$391,973</FONT></B>&nbsp;</TD>

   <TD width="16%" noWrap align=middle><B><FONT size=1 face=sans-serif>$578,811</FONT></B>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6 align=left>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Ratio of expenses to average</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=middle>&nbsp;</TD>

   <TD width="16%" noWrap align=middle>&nbsp;</TD>

   <TD width="17%" noWrap align=middle>&nbsp;</TD>

   <TD width="17%" noWrap align=middle>&nbsp;</TD>

   <TD width="16%" noWrap align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>net assets (%) </FONT><B><SUP><FONT size=1 face=sans-serif>c</FONT></SUP></B>&nbsp;</TD>

   <TD width="17%" noWrap align=middle><FONT size=1 face=sans-serif>.94</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=middle><FONT size=1 face=sans-serif>.94 </FONT><B><SUP><FONT size=1 face=sans-serif>d</FONT></SUP></B>&nbsp;</TD>

   <TD width="17%" noWrap align=middle><FONT size=1 face=sans-serif>1.02 </FONT><B><SUP><FONT size=1 face=sans-serif>d</FONT></SUP></B>&nbsp;</TD>

   <TD width="17%" noWrap align=middle><FONT size=1 face=sans-serif>.96 </FONT><B><SUP><FONT size=1 face=sans-serif>f</FONT></SUP></B>&nbsp;</TD>

   <TD width="16%" noWrap align=middle><FONT size=1 face=sans-serif>.90 </FONT><B><SUP><FONT size=1 face=sans-serif>f</FONT></SUP></B>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6 align=left>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Ratio of expenses to average</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=middle>&nbsp;</TD>

   <TD width="16%" noWrap align=middle>&nbsp;</TD>

   <TD width="17%" noWrap align=middle>&nbsp;</TD>

   <TD width="17%" noWrap align=middle>&nbsp;</TD>

   <TD width="16%" noWrap align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>net assets excluding interest</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=middle>&nbsp;</TD>

   <TD width="16%" noWrap align=middle>&nbsp;</TD>

   <TD width="17%" noWrap align=middle>&nbsp;</TD>

   <TD width="17%" noWrap align=middle>&nbsp;</TD>

   <TD width="16%" noWrap align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>expense (%) </FONT><B><SUP><FONT size=1 face=sans-serif>c</FONT></SUP></B>&nbsp;</TD>

   <TD width="17%" noWrap align=middle><FONT size=1 face=sans-serif>.94</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=middle><FONT size=1 face=sans-serif>.94</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=middle><FONT size=1 face=sans-serif>.98</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=middle><FONT size=1 face=sans-serif>.96 </FONT><B><SUP><FONT size=1 face=sans-serif>f</FONT></SUP></B>&nbsp;</TD>

   <TD width="16%" noWrap align=middle><FONT size=1 face=sans-serif>.90 </FONT><B><SUP><FONT size=1 face=sans-serif>f</FONT></SUP></B>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6 align=left>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Ratio of net investment income</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=middle>&nbsp;</TD>

   <TD width="16%" noWrap align=middle>&nbsp;</TD>

   <TD width="17%" noWrap align=middle>&nbsp;</TD>

   <TD width="17%" noWrap align=middle>&nbsp;</TD>

   <TD width="16%" noWrap align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>to average net assets (%)</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=middle><FONT size=1 face=sans-serif>5.97</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=middle><FONT size=1 face=sans-serif>9.82 </FONT><B><SUP><FONT size=1 face=sans-serif>d</FONT></SUP></B>&nbsp;</TD>

   <TD width="17%" noWrap align=middle><FONT size=1 face=sans-serif>7.05 </FONT><B><SUP><FONT size=1 face=sans-serif>d</FONT></SUP></B>&nbsp;</TD>

   <TD width="17%" noWrap align=middle><FONT size=1 face=sans-serif>7.29 </FONT><B><SUP><FONT size=1 face=sans-serif>f</FONT></SUP></B>&nbsp;</TD>

   <TD width="16%" noWrap align=middle><FONT size=1 face=sans-serif>5.01 </FONT><B><SUP><FONT size=1 face=sans-serif>f</FONT></SUP></B>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6 align=left>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Portfolio turnover (%) </FONT><B><SUP><FONT size=1 face=sans-serif>e</FONT></SUP></B>&nbsp;</TD>

   <TD width="17%" noWrap align=middle><FONT size=1 face=sans-serif>171</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=middle><FONT size=1 face=sans-serif>88</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=middle><FONT size=1 face=sans-serif>223</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=middle><FONT size=1 face=sans-serif>159</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=middle><FONT size=1 face=sans-serif>78</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6 align=left>

   <HR SIZE=1 noShade>

</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><B><SUP><FONT size=1 face=sans-serif><BR><BR>a </FONT></SUP></B><FONT size=1 face=sans-serif>Per share net investment income has been determined on the basis of weighted average number of shares outstanding during the period.</FONT></P>

<P style="TEXT-ALIGN: left"><B><SUP><FONT size=1 face=sans-serif>b </FONT></SUP></B><FONT size=1 face=sans-serif>Total return assumes dividend reinvestment.</FONT></P>

<P style="TEXT-ALIGN: left"><B><SUP><FONT size=1 face=sans-serif>c </FONT></SUP></B><FONT size=1 face=sans-serif>Includes amounts paid through expense offset arrangements (Note 2).</FONT></P>

<P style="TEXT-ALIGN: left"><B><SUP><FONT size=1 face=sans-serif>d </FONT></SUP></B><FONT size=1 face=sans-serif>Includes interest accrued in connection with certain terminated derivative contracts, which amounted to less than 0.01% and 0.04% of average net assets as of September 30, 2010 and September 30, 2009, respectively.</FONT></P>

<P style="TEXT-ALIGN: left"><B><SUP><FONT size=1 face=sans-serif>e </FONT></SUP></B><FONT size=1 face=sans-serif>Portfolio turnover excludes dollar roll transactions.</FONT></P>

<P style="TEXT-ALIGN: left"><B><SUP><FONT size=1 face=sans-serif>f </FONT></SUP></B><FONT size=1 face=sans-serif>Reflects waivers of certain fund expenses in connection with investments in Putnam Prime Money Market Fund during the period. As a result of such waivers, the expenses of the fund reflect a reduction of the following amounts:</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=Arial></FONT>&nbsp;</P>

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<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

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   <TD width="15%"></TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left>&nbsp;</TD>

   <TD noWrap align=right><B><FONT size=1 face=sans-serif>Percentage of</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left>&nbsp;</TD>

   <TD noWrap align=right><B><FONT size=1 face=sans-serif>average net assets</FONT></B>&nbsp;</TD></TR>

<TR height=20>

   <TD colSpan=2 noWrap align=left><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

 </FONT><FONT size=1 face=sans-serif></FONT></TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=1 face=sans-serif>September 30, 2008</FONT>&nbsp;</TD>

   <TD noWrap align=right><FONT size=1 face=sans-serif>0.01%</FONT>&nbsp;</TD></TR>

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</TD></TR>

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   <TD noWrap align=left><FONT size=1 face=sans-serif>September 30, 2007</FONT>&nbsp;</TD>

   <TD noWrap align=right><FONT size=1 face=sans-serif>0.02</FONT>&nbsp;</TD></TR>

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<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>The accompanying notes are an integral part of these financial statements.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>90</FONT></P></DIV>

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<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Notes to financial statements </FONT></B><FONT size=2 face=sans-serif>9/30/11</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>Note 1: Significant accounting policies</FONT></B></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>Putnam Master Intermediate Income Trust (the fund), a Massachusetts business trust, is registered under the Investment Company Act of 1940, as amended, as a diversified, closed-end management investment company and is authorized to issue an unlimited number of shares. The fund&#8217;s investment objective is to seek, with equal emphasis, high current income and relative stability of net asset value, by allocating its investments among the U.S. investment grade sector, high-yield sector and international sector. The fund invests in higher yielding, lower rated bonds that have a higher rate of default. The fund may invest a significant portion of its assets in securitized debt instruments, including mortgage-backed and asset-backed investments. The yields and values of these investments are sensitive to changes in interest rates, the rate of principal payments on the underlying assets and the market&#8217;s perception of the issuers. The market for these investments may be volatile and limited, which may make them difficult to buy or sell.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>In the normal course of business, the fund enters into contracts that may include agreements to indemnify another party under given circumstances. The fund&#8217;s maximum exposure under these arrangements is unknown as this would involve future claims that may be, but have not yet been, made against the fund. However, the fund&#8217;s management team expects the risk of material loss to be remote.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>The following is a summary of significant accounting policies consistently followed by the fund in the preparation of its financial statements. The preparation of financial statements is in conformity with accounting principles generally accepted in the United States of America and requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements and the reported amounts of increases and decreases in net assets from operations. Actual results could differ from those estimates. Subsequent events after the Statement of assets and liabilities date through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. Unless otherwise noted, the &#8220;reporting period&#8221; represents the period from October 1, 2010 through September 30, 2011.</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>A) Security valuation </FONT></B><FONT size=1 face=sans-serif>Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets, and are classified as Level 1 securities. If no sales are reported &#8212; as in the case of some securities traded over-the-counter &#8212; a security is valued at its last reported bid price and is generally categorized as a Level 2 security.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>Market quotations are not considered to be readily available for certain debt obligations and other investments; 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 (Putnam Management), the fund&#8217;s manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which considers such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>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. These 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.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>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&#8217;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, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>91</FONT></P></DIV>

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<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>exposures and recovery rates. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>B) Joint trading account </FONT></B><FONT size=1 face=sans-serif>Pursuant to an exemptive order from the Securities and Exchange Commission (the SEC), the fund may transfer uninvested cash balances into a joint trading account along with the cash of other registered investment companies and certain other accounts managed by Putnam Management. These balances may be invested in issues of short-term investments having maturities of up to 90 days.</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>C) Repurchase agreements </FONT></B><FONT size=1 face=sans-serif>The fund, or any joint trading account, through its custodian, receives delivery of the underlying securities, the market value of which at the time of purchase is required to be in an amount at least equal to the resale price, including accrued interest. Collateral for certain tri-party repurchase agreements is held at the counterparty&#8217;s custodian in a segregated account for the benefit of the fund and the counterparty. Putnam Management is responsible for determining that the value of these underlying securities is at all times at least equal to the resale price, including accrued interest. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings.</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>D) Security transactions and related investment income </FONT></B><FONT size=1 face=sans-serif>Security transactions are recorded on the trade date (the date the order to buy or sell is executed). Gains or losses on securities sold are determined on the identified cost basis. Interest income is recorded on the accrual basis. Dividend income, net of applicable withholding taxes, is recognized on the ex-dividend date except that certain dividends from foreign securities, if any, are recognized as soon as the fund is informed of the ex-dividend date. Non-cash dividends, if any, are recorded at the fair market value of the securities received. Dividends representing a return of capital or capital gains, if any, are reflected as a reduction of cost and/or as a realized gain. All premiums/discounts are amortized/accreted on a yield-to-maturity basis.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>Securities purchased or sold on a delayed delivery basis may be settled a month or more after the trade date; interest income is accrued based on the terms of the securities. Losses may arise due to changes in the market value of the underlying securities or if the counterparty does not perform under the contract. The fund earned certain fees in connection with its senior loan purchasing activities. These fees are treated as market discount and are amortized into income in the Statement of operations.</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>E) Stripped securities </FONT></B><FONT size=1 face=sans-serif>The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The market value of these securities is highly sensitive to changes in interest rates.</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>F) Foreign currency translation </FONT></B><FONT size=1 face=sans-serif>The accounting records of the fund are maintained in U.S. dollars. The market value of foreign securities, currency holdings, and other assets and liabilities is recorded in the books and records of the fund after translation to U.S. dollars based on the exchange rates on that day. The cost of each security is determined using historical exchange rates. Income and withholding taxes are translated at prevailing exchange rates when earned or incurred. The fund does not isolate that portion of realized or unrealized gains or losses resulting from changes in the foreign exchange rate on investments from fluctuations arising from changes in the market prices of the securities. Such gains and losses are included with the net realized and unrealized gain or loss on investments. Net realized gains and losses on foreign currency transactions represent net realized exchange gains or losses on closed forward currency contracts, disposition of foreign currencies, currency gains and losses realized between the trade and settlement dates on securities transactions and the difference between the amount of investment income and foreign withholding taxes recorded on the fund&#8217;s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized appreciation and depreciation of assets and liabilities in foreign currencies arise from changes in the value of open forward currency contracts and assets and liabilities other than investments at the period end, resulting from changes in the exchange rate. Investments in foreign securities involve certain risks, including those related to economic instability, unfavorable political developments, and currency fluctuations, not present with domestic investments. The fund may be subject to taxes imposed by governments of countries in</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>92</FONT></P></DIV>

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<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>which it invests. Such taxes are generally based on either income or gains earned or repatriated. The fund accrues and applies such taxes to net investment income, net realized gains and net unrealized gains as income and/or capital gains are earned. In some cases, the fund may be entitled to reclaim all or a portion of such taxes, and such reclaim amounts, if any, are reflected as an asset on the fund&#8217;s books. In many cases, however, the fund may not receive such amounts for an extended period of time, depending on the country of investment.</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>G) Futures contracts </FONT></B><FONT size=1 face=sans-serif>The fund uses futures contracts to hedge interest rate risk and to gain exposure to interest rates. The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange&#8217;s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. Risks may exceed amounts recognized on the Statement of assets and liabilities. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as &#8220;variation margin.&#8221; Futures contracts outstanding at period end, if any, are listed after the fund&#8217;s portfolio. The fund had an average number of contracts of approximately 2,000 on futures contracts for the reporting period.</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>H) Options contracts </FONT></B><FONT size=1 face=sans-serif>The fund uses options contracts to hedge duration, convexity and prepayment risk and to gain exposure to interest rates. The potential risk to the fund is that the change in value of options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>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. Written option contracts outstanding at period end, if any, are listed after the fund&#8217;s portfolio. See Note 3 for the volume of written options contracts activity for the reporting period. The fund had an average contract amount of approximately 463,100,000 on purchased options contracts for the reporting period.</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>I) Forward currency contracts </FONT></B><FONT size=1 face=sans-serif>The fund buys and sells 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 hedge foreign exchange risk and to gain exposure on currency. The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The market value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in market value is recorded as an unrealized gain or loss. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position. Risks may exceed amounts recognized on the Statement of assets and liabilities. Forward currency contracts outstanding at period end, if any, are listed after the fund&#8217;s portfolio. The fund had an average contract amount of approximately $220,400,000 on forward currency contracts for the reporting period.</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>J) Total return swap contracts </FONT></B><FONT size=1 face=sans-serif>The fund entered 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 hedge sector exposure, to manage exposure to specific sectors or industries, and to gain exposure to specific sectors/industries. 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 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 total return swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>93</FONT></P></DIV>

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<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>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&#8217;s maximum risk of loss from counterparty risk is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the fund and the counterparty. Risk of loss may exceed amounts recognized on the Statement of assets and liabilities. Total return swap contracts outstanding at period end, if any, are listed after the fund&#8217;s portfolio. Outstanding notional amount on total return swap contracts at the close of the reporting period are indicative of the volume of activity during the reporting period.</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>K) Interest rate swap contracts </FONT></B><FONT size=1 face=sans-serif>The fund entered into interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, to hedge interest rate risk and to gain exposure on interest rates. An interest rate swap can be purchased or sold with an upfront premium. An upfront payment received by the fund is recorded as a liability on the fund&#8217;s books. An upfront payment made by the fund is recorded as an asset on the fund&#8217;s books. Upfront payments are recorded as realized gains and losses at the closing of the contract. 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&#8217;s maximum risk of loss from counterparty risk is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the fund and the counterparty. Risk of loss may exceed amounts recognized on the Statement of assets and liabilities. Interest rate swap contracts outstanding at period end, if any, are listed after the fund&#8217;s portfolio. The fund had an average notional amount of approximately $3,910,800,000 on interest rate swap contracts for the reporting period.</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>L) Credit default contracts </FONT></B><FONT size=1 face=sans-serif>The fund entered into credit default contracts to hedge credit risk and to gain exposure on individual names and/or baskets of securities. 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&#8217;s books. An upfront payment made by the fund, as the protection buyer, is recorded as an asset on the fund&#8217;s books. Periodic payments received or paid by the fund are recorded as realized gains or losses. The credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as an unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and market value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting credit default contracts which would mitigate its risk of loss. Risks of loss may exceed amounts recognized on the Statement of assets and liabilities. The fund&#8217;s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the fund and the counterparty. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount of the relevant credit default contract. Credit default contracts outstanding, including their respective notional amounts at period end, if any, are listed after the fund&#8217;s portfolio. Outstanding notional amount on credit default swap contracts at the close of the reporting period are indicative of the volume of activity during the reporting period.</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>M) Master agreements </FONT></B><FONT size=1 face=sans-serif>The fund is a party to ISDA (International Swap and Derivatives Association, Inc.) Master Agreements (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&#8217; 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&#8217;s custodian and with respect to those amounts which can be sold or repledged, are presented in the fund&#8217;s portfolio. Collateral posted to the</FONT></P>

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<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>fund which cannot be sold or repledged totaled $8,597,682 at the close of the reporting period. Collateral pledged by the fund is segregated by the fund&#8217;s custodian and identified in the fund&#8217;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&#8217;s net position with each counterparty. Termination events applicable to the fund may occur upon a decline in the fund&#8217;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&#8217;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&#8217;s counterparties to elect early termination could impact the fund&#8217;s future derivative activity.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>At the close of the reporting period, the fund had a net liability position of $81,155,040 on derivative contracts subject to the Master Agreements. Collateral posted by the fund totaled $78,537,296 .</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>N) TBA purchase commitments </FONT></B><FONT size=1 face=sans-serif>The fund may enter into TBA (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price has been established, the principal value has not been finalized. However, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date. TBA purchase commitments may be considered securities themselves, and involve a risk of loss if the value of the security to be purchased declines prior to the settlement date, which risk is in addition to the risk of decline in the value of the fund&#8217;s other assets. Unsettled TBA purchase commitments are valued at fair value of the underlying securities, according to the procedures described under &#8220;Security valuation&#8221; 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=1 face=sans-serif>Although the fund will generally enter into TBA purchase commitments with the intention of acquiring securities for its portfolio or for delivery pursuant to options contracts it has entered into, the fund may dispose of a commitment prior to settlement if Putnam Management deems it appropriate to do so.</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>O) TBA sale commitments </FONT></B><FONT size=1 face=sans-serif>The fund may enter into TBA sale commitments to hedge its portfolio positions or to sell mortgage-backed securities it owns under delayed delivery arrangements. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as &#8220;cover&#8221; for the transaction.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>Unsettled TBA sale commitments are valued at the fair value of the underlying securities, generally according to the procedures described under &#8220;Security valuation&#8221; above. The contract is marked to market daily and the change in market value is recorded by the fund as an unrealized gain or loss. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into. TBA sale commitments outstanding at period end, if any, are listed after the fund&#8217;s portfolio.</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>P) Dollar rolls </FONT></B><FONT size=1 face=sans-serif>To enhance returns, the fund may enter into dollar rolls (principally using TBAs) in which the fund sells securities for delivery in the current month and simultaneously contracts to purchase similar securities on a specified future date. During the period between the sale and subsequent purchase, the fund will not be entitled to receive income and principal payments on the securities sold. The fund will, however, retain the difference between the initial sales price and the forward price for the future purchase. The fund will also be able to earn interest on the cash proceeds that are received from the initial sale on settlement date. The fund may be exposed to market or credit risk if the price of the security changes unfavorably or the counterparty fails to perform under the terms of the agreement.</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>Q) Interfund lending </FONT></B><FONT size=1 face=sans-serif>The fund, along with other Putnam funds, may participate in an interfund lending program pursuant to an exemptive order issued by the SEC. This program allows the fund to lend to other Putnam funds that permit such transactions. Interfund lending transactions are subject to each fund&#8217;s investment policies and borrowing and lending limits. Interest earned or paid on the interfund lending transaction will be based on the average of certain current market rates. During the reporting period, the fund did not utilize the program.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>95</FONT></P></DIV>

<HR align=center SIZE=2 width="100%" noShade>



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<DIV style="PADDING-LEFT: 0%;; PADDING-RIGHT: 0%">

<P style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>R) Federal taxes </FONT></B><FONT size=1 face=sans-serif>It is the policy of the fund to distribute all of its taxable income within the prescribed time period and otherwise comply with the provisions of the Internal Revenue Code of 1986, as amended (the Code), applicable to regulated investment companies. It is also the intention of the fund to distribute an amount sufficient to avoid imposition of any excise tax under Section 4982 of the Code. The fund is subject to the provisions of Accounting Standards Codification ASC 740 </FONT><I><FONT size=1 face=sans-serif>Income Taxes </FONT></I><FONT size=1 face=sans-serif>(ASC 740). ASC 740 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. The fund did not have a liability to record for any unrecognized tax benefits in the accompanying financial statements. No provision has been made for federal taxes on income, capital gains or unrealized appreciation on securities held nor for excise tax on income and capital gains. Each of the fund&#8217;s federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>At September 30, 2011 the fund had a capital loss carryover of $93,118,382 available to the extent allowed by the Code to offset future net capital gain, if any. The amounts of the carryovers and the expiration dates are:</FONT></P>

<DIV align=left>

<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="6%"></TD>

   <TD width="87%"></TD>

   <TD width="6%"></TD></TR>

<TR vAlign=bottom>

   <TD width="6%" noWrap align=left><B><FONT size=1 face=sans-serif>Loss carryover</FONT></B>&nbsp;</TD>

   <TD width="87%" noWrap align=right><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="6%" noWrap align=right><B><FONT size=1 face=sans-serif>Expiration</FONT></B>&nbsp;</TD></TR>

<TR height=20>

   <TD width="99%" colSpan=3 noWrap align=right><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

 </FONT><FONT size=1 face=sans-serif></FONT><FONT size=1 face=sans-serif></FONT></TD></TR>

<TR vAlign=bottom>

   <TD width="6%" noWrap align=right><FONT size=1 face=sans-serif>$7,342,291</FONT>&nbsp;</TD>

   <TD width="87%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="6%" noWrap align=right><FONT size=1 face=sans-serif>September 30, 2015</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="6%" noWrap align=right><FONT size=1 face=sans-serif>11,586,218</FONT>&nbsp;</TD>

   <TD width="87%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="6%" noWrap align=right><FONT size=1 face=sans-serif>September 30, 2016</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="6%" noWrap align=right><FONT size=1 face=sans-serif>28,970,279</FONT>&nbsp;</TD>

   <TD width="87%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="6%" noWrap align=right><FONT size=1 face=sans-serif>September 30, 2017</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="6%" noWrap align=right><FONT size=1 face=sans-serif>45,219,594</FONT>&nbsp;</TD>

   <TD width="87%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="6%" noWrap align=right><FONT size=1 face=sans-serif>September 30, 2018</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>Under the recently enacted Regulated Investment Company Modernization Act of 2010, the fund will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those future years will be required to be utilized prior to the losses incurred in pre-enactment tax years. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>Pursuant to federal income tax regulations applicable to regulated investment companies, the fund has elected to defer to its fiscal year ending September 30, 2012 $1,974,684 of losses recognized during the period from November 1, 2010 to September 30, 2011.</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>S) Distributions to shareholders </FONT></B><FONT size=1 face=sans-serif>Distributions to shareholders from net investment income are recorded by the fund on the ex-dividend date. Distributions from capital gains, if any, are recorded on the ex-dividend date and paid at least annually. The amount and character of income and gains to be distributed are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. These differences include temporary and/or permanent differences of foreign currency gains and losses, post-October loss deferrals, the expiration of capital loss carryover, dividends payable, realized and unrealized gains and losses on certain futures contracts, income on swap contracts, interest only securities, and interest on foreign debt. Reclassifications are made to the fund&#8217;s capital accounts to reflect income and gains available for distribution (or available capital loss carryovers) under income tax regulations. For the reporting period ended, the fund reclassified $2,871,105 to decrease distributions in excess of net investment income and $17,029,603 to decrease paid-in-capital, with a decrease to accumulated net realized losses of $14,158,498.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>The tax basis components of distributable earnings and the federal tax cost as of the close of the reporting period were as follows:</FONT></P>

<DIV align=left>

<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="85%"></TD>

   <TD width="15%"></TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=1 face=sans-serif>Unrealized appreciation</FONT>&nbsp;</TD>

   <TD noWrap align=right><FONT size=1 face=sans-serif>$22,009,878</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=1 face=sans-serif>Unrealized depreciation</FONT>&nbsp;</TD>

   <TD noWrap align=right><FONT size=1 face=sans-serif>(32,115,731)</FONT>&nbsp;</TD></TR>

<TR>

   <TD colSpan=2>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=1 face=sans-serif>Net unrealized depreciation</FONT>&nbsp;</TD>

   <TD noWrap align=right><FONT size=1 face=sans-serif>(10,105,853)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=1 face=sans-serif>Capital loss carryforward</FONT>&nbsp;</TD>

   <TD noWrap align=right><FONT size=1 face=sans-serif>(93,118,382)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=1 face=sans-serif>Post-October loss</FONT>&nbsp;</TD>

   <TD noWrap align=right><FONT size=1 face=sans-serif>(1,974,684)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=1 face=sans-serif>Cost for federal income tax purposes</FONT>&nbsp;</TD>

   <TD noWrap align=right><FONT size=1 face=sans-serif>$487,502,544</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>96</FONT></P></DIV>

<HR align=center SIZE=2 width="100%" noShade>



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<DIV style="PADDING-LEFT: 0%;; PADDING-RIGHT: 0%">

<P style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>Note 2: Management fee, administrative services and other transactions</FONT></B></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>The fund pays Putnam Management for management and investment advisory services quarterly based on the average net assets (including assets, but excluding liabilities, attributable to leverage for investment purposes) of the fund. The fee is based on the following annual rates:</FONT></P>

<DIV align=left>

<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="10%"></TD>

   <TD width="90%"></TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>0.75%</FONT>&nbsp;</TD>

   <TD width="90%" noWrap align=left><FONT size=1 face=sans-serif>of the first $500 million of average net assets,</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>0.65%</FONT>&nbsp;</TD>

   <TD width="90%" noWrap align=left><FONT size=1 face=sans-serif>of the next $500 million of average net assets,</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>0.60%</FONT>&nbsp;</TD>

   <TD width="90%" noWrap align=left><FONT size=1 face=sans-serif>of the next $500 million of average net assets,</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>0.55%</FONT>&nbsp;</TD>

   <TD width="90%" noWrap align=left><FONT size=1 face=sans-serif>of the next $5 billion of average net assets,</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>0.525%</FONT>&nbsp;</TD>

   <TD width="90%" noWrap align=left><FONT size=1 face=sans-serif>of the next $5 billion of average net assets,</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>0.505%</FONT>&nbsp;</TD>

   <TD width="90%" noWrap align=left><FONT size=1 face=sans-serif>of the next $5 billion of average net assets,</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>0.49%</FONT>&nbsp;</TD>

   <TD width="90%" noWrap align=left><FONT size=1 face=sans-serif>of the next $5 billion of average net assets,</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>0.48%</FONT>&nbsp;</TD>

   <TD width="90%" noWrap align=left><FONT size=1 face=sans-serif>of the next $5 billion of average net assets,</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>0.47%</FONT>&nbsp;</TD>

   <TD width="90%" noWrap align=left><FONT size=1 face=sans-serif>of the next $5 billion of average net assets,</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>0.46%</FONT>&nbsp;</TD>

   <TD width="90%" noWrap align=left><FONT size=1 face=sans-serif>of the next $5 billion of average net assets,</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>0.45%</FONT>&nbsp;</TD>

   <TD width="90%" noWrap align=left><FONT size=1 face=sans-serif>of the next $5 billion of average net assets,</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>0.44%</FONT>&nbsp;</TD>

   <TD width="90%" noWrap align=left><FONT size=1 face=sans-serif>of the next $5 billion of average net assets,</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>0.43%</FONT>&nbsp;</TD>

   <TD width="90%" noWrap align=left><FONT size=1 face=sans-serif>of the next $8.5 billion of average net assets,</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>0.42%</FONT>&nbsp;</TD>

   <TD width="90%" noWrap align=left><FONT size=1 face=sans-serif>of any excess thereafter.</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>Putnam Investments Limited (PIL), an affiliate of Putnam Management, is authorized by the Trustees to manage a separate portion of the assets of the fund as determined by Putnam Management from time to time. Putnam Management pays a quarterly sub-management fee to PIL for its services at an annual rate of 0.40% of the average net assets (including assets, but excluding liabilities, attributable to leverage for investment purposes) of the portion of the fund managed by PIL.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>The fund reimburses Putnam Management an allocated amount for the compensation and related expenses of certain officers of the fund and their staff who provide administrative services to the fund. The aggregate amount of all such reimbursements is determined annually by the Trustees.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>Custodial functions for the fund&#8217;s assets are provided by State Street Bank and Trust Company (State Street). Custody fees are based on the fund&#8217;s asset level, the number of its security holdings and transaction volumes.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>Putnam Investor Services, a division of Putnam Fiduciary Trust Company (PFTC), which is an affiliate of Putnam Management, provided investor servicing agent functions to the fund through December 31, 2010. Subsequent to December 31, 2010 these services were provided by Putnam Investor Services, Inc., an affiliate of Putnam Management. Both Putnam Investor Services and Putnam Investor Services, Inc. were paid a monthly fee for investor servicing at an annual rate of 0.05% of the fund&#8217;s average net assets. The amounts incurred for investor servicing agent functions during the reporting period are included in Investor servicing fees in the Statement of operations.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>The fund has entered into expense offset arrangements with Putnam Investor Services, Inc. and State Street whereby Putnam Investor Services, Inc.&#8217;s and State Street&#8217;s fees are reduced by credits allowed on cash balances. For the reporting period, the fund&#8217;s expenses were reduced by $1,571 under the expense offset arrangements.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>Each independent Trustee of the fund receives an annual Trustee fee, of which $261, as a quarterly retainer, has been allocated to the fund, and an additional fee for each Trustees meeting attended. Trustees also are reimbursed for expenses they incur relating to their services as Trustees.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>The fund has adopted a Trustee Fee Deferral Plan (the Deferral Plan) which allows the Trustees to defer the receipt of all or a portion of Trustees fees payable on or after July 1, 1995. The deferred fees remain invested in certain Putnam funds until distribution in accordance with the Deferral Plan.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>The fund has adopted an unfunded noncontributory defined benefit pension plan (the Pension Plan) covering all Trustees of the fund who have served as a Trustee for at least five years and were first elected prior to 2004. Benefits under the Pension Plan are equal to 50% of the Trustee&#8217;s average annual attendance and retainer fees for the three years ended December 31, 2005. The retirement benefit is payable during a Trustee&#8217;s lifetime, beginning the year following retirement, for the number of years of service through December 31, 2006. Pension expense for the fund is included in Trustee compensation and expenses in the Statement of operations. Accrued pension liability is included in Payable for Trustee compensation and expenses in the Statement of assets and liabilities. The Trustees have terminated the Pension Plan with respect to any Trustee first elected after 2003.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>97</FONT></P></DIV>

<HR align=center SIZE=2 width="100%" noShade>



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<DIV style="PADDING-LEFT: 0%; PADDING-RIGHT: 0%">

<P style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>Note 3: Purchases and sales of securities</FONT></B></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>During the reporting period, cost of purchases and proceeds from sales of investment securities other than short-term investments aggregated $574,454,624 and $653,188,638, respectively. These figures include the cost of purchases and proceeds from sales of long-term U.S. government securities of $2,070,938 and $2,072,656, respectively.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>Written option transactions during the reporting period are summarized as follows:</FONT></P>

<DIV align=left>

<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="25%"></TD>

   <TD width="25%" align=right></TD>

   <TD width="25%"></TD>

   <TD width="25%"></TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="25%" noWrap align=right>&nbsp;</TD>

   <TD width="25%" noWrap align=right><B><FONT size=1 face=sans-serif>Contract amounts</FONT></B>&nbsp;</TD>

   <TD width="25%" noWrap align=right><B><FONT size=1 face=sans-serif>Premiums received</FONT></B>&nbsp;</TD></TR>

<TR height=20>

   <TD width="100%" colSpan=4 noWrap align=left><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

</FONT><FONT size=1 face=sans-serif></FONT><FONT size=1 face=sans-serif></FONT><FONT size=1 face=sans-serif></FONT></TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left><FONT size=1 face=sans-serif>Written options outstanding at the</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>USD</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>696,813,160</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>$34,911,373</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left><FONT size=1 face=sans-serif>beginning of the reporting period</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>CHF</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>$&#8212;</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="100%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left><FONT size=1 face=sans-serif>Options opened</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>USD</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>687,490,360</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>26,143,671</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>CHF</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>63,120,000</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>68,913</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="100%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left><FONT size=1 face=sans-serif>Options exercised</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>USD</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>(610,407,118)</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>(24,716,065)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>CHF</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="100%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left><FONT size=1 face=sans-serif>Options expired</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>USD</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>(3,157,400)</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>(144,293)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>CHF</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="100%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left><FONT size=1 face=sans-serif>Options closed</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>USD</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>CHF</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>(47,340,000)</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>(47,729)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="100%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left><FONT size=1 face=sans-serif>Written options outstanding at the</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>USD</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>770,739,002</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>$36,194,686</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left><FONT size=1 face=sans-serif>end of the reporting period</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>CHF</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>15,780,000</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>$21,184</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="100%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>Note 4: Summary of derivative activity</FONT></B></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>The following is a summary of the market values of derivative instruments as of the close of the reporting period:</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT size=1 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="20%"></TD>

   <TD width="20%"></TD>

   <TD width="20%"></TD>

   <TD width="20%"></TD>

   <TD width="20%"></TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="40%" colSpan=2 noWrap align=middle><B><FONT size=1 face=sans-serif>Asset derivatives</FONT></B>&nbsp;</TD>

   <TD width="40%" colSpan=2 noWrap align=middle><B><FONT size=1 face=sans-serif>Liability derivatives</FONT></B>&nbsp;</TD></TR>

<TR>

   <TD width="100%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left><B><FONT size=1 face=sans-serif>Derivatives not</FONT></B>&nbsp;</TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left><B><FONT size=1 face=sans-serif>accounted for as</FONT></B>&nbsp;</TD>

   <TD width="20%" noWrap align=right><B><FONT size=1 face=sans-serif>Statement of</FONT></B>&nbsp;</TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=right><B><FONT size=1 face=sans-serif>Statement of</FONT></B>&nbsp;</TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left><B><FONT size=1 face=sans-serif>hedging instruments</FONT></B>&nbsp;</TD>

   <TD width="20%" noWrap align=right><B><FONT size=1 face=sans-serif>assets and</FONT></B>&nbsp;</TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=right><B><FONT size=1 face=sans-serif>assets and</FONT></B>&nbsp;</TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left><B><FONT size=1 face=sans-serif>under ASC 815</FONT></B>&nbsp;</TD>

   <TD width="20%" noWrap align=right><B><FONT size=1 face=sans-serif>liabilities location</FONT></B>&nbsp;</TD>

   <TD width="20%" noWrap align=right><B><FONT size=1 face=sans-serif>Market value</FONT></B>&nbsp;</TD>

   <TD width="20%" noWrap align=right><B><FONT size=1 face=sans-serif>liabilities location</FONT></B>&nbsp;</TD>

   <TD width="20%" noWrap align=right><B><FONT size=1 face=sans-serif>Market value</FONT></B>&nbsp;</TD></TR>

<TR>

   <TD width="100%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Credit contracts</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>Receivables</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>$436,871</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>Payables</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>$928,517</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="100%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Foreign exchange</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>contracts</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>Receivables</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>5,683,058</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>Payables</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>1,966,886</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="100%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>Investments,</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>Payables,</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>Receivables, Net</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>Net assets &#8212;</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>assets &#8212; Unrealized</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>Unrealized</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>appreciation /</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>appreciation /</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Equity contracts</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>(depreciation)</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>16,119</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>(depreciation)</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="100%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>Investments,</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>Payables,</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>Receivables, Net</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>Net assets &#8212;</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>assets &#8212; Unrealized</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>Unrealized</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>appreciation /</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>appreciation /</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>Interest rate contracts</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>(depreciation)</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>98,249,237*</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>(depreciation)</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>166,675,385*</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="100%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left><B><FONT size=1 face=sans-serif>Total</FONT></B>&nbsp;</TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=right><B><FONT size=1 face=sans-serif>$104,385,285</FONT></B>&nbsp;</TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=right><B><FONT size=1 face=sans-serif>$169,570,788</FONT></B>&nbsp;</TD></TR>

<TR>

   <TD width="100%" colSpan=5>

   <HR SIZE=1 noShade>

</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><FONT size=1 face=sans-serif><BR><BR>* Includes cumulative appreciation/depreciation of futures contracts as reported in the fund&#8217;s portfolio. Only current day&#8217;s variation margin is reported within the Statement of assets and liabilities.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>98</FONT></P></DIV>

<HR align=center SIZE=2 width="100%" noShade>



<A name="page_100"></A><BR>

<DIV style="PADDING-LEFT: 0%; PADDING-RIGHT: 0%">

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>The following is a summary of realized and change in unrealized gains or losses of derivative instruments on the Statement of operations for the reporting period (see Note 1):</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>Amount of realized gain or (loss) on derivatives recognized in net gain or (loss) on investments</FONT></B></P>

<DIV align=left>

<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="14%"></TD>

   <TD width="14%"></TD>

   <TD width="14%"></TD>

   <TD width="15%"></TD>

   <TD width="14%"></TD>

   <TD width="14%"></TD>

   <TD width="14%"></TD></TR>

<TR vAlign=bottom>

   <TD width="14%" noWrap align=left><B><FONT size=1 face=sans-serif>Derivatives not</FONT></B>&nbsp;</TD>

   <TD width="14%" noWrap align=left>&nbsp;</TD>

   <TD width="14%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="14%" noWrap align=left>&nbsp;</TD>

   <TD width="14%" noWrap align=left>&nbsp;</TD>

   <TD width="14%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="14%" noWrap align=left><B><FONT size=1 face=sans-serif>accounted for as</FONT></B>&nbsp;</TD>

   <TD width="14%" noWrap align=left>&nbsp;</TD>

   <TD width="14%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="14%" noWrap align=right><B><FONT size=1 face=sans-serif>Forward</FONT></B>&nbsp;</TD>

   <TD width="14%" noWrap align=left>&nbsp;</TD>

   <TD width="14%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="14%" noWrap align=left><B><FONT size=1 face=sans-serif>hedging instruments</FONT></B>&nbsp;</TD>

   <TD width="14%" noWrap align=left>&nbsp;</TD>

   <TD width="14%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="14%" noWrap align=right><B><FONT size=1 face=sans-serif>currency</FONT></B>&nbsp;</TD>

   <TD width="14%" noWrap align=left>&nbsp;</TD>

   <TD width="14%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="14%" noWrap align=left><B><FONT size=1 face=sans-serif>under ASC 815</FONT></B>&nbsp;</TD>

   <TD width="14%" noWrap align=right><B><FONT size=1 face=sans-serif>Options</FONT></B>&nbsp;</TD>

   <TD width="14%" noWrap align=right><B><FONT size=1 face=sans-serif>Warrants&#8224;</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Futures</FONT></B>&nbsp;</TD>

   <TD width="14%" noWrap align=right><B><FONT size=1 face=sans-serif>contracts</FONT></B>&nbsp;</TD>

   <TD width="14%" noWrap align=right><B><FONT size=1 face=sans-serif>Swaps</FONT></B>&nbsp;</TD>

   <TD width="14%" noWrap align=right><B><FONT size=1 face=sans-serif>Total</FONT></B>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="14%" noWrap align=left><FONT size=1 face=sans-serif>Credit contracts</FONT>&nbsp;</TD>

   <TD width="14%" noWrap align=right><FONT size=1 face=sans-serif>$&#8212;</FONT>&nbsp;</TD>

   <TD width="14%" noWrap align=right><FONT size=1 face=sans-serif>$&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$&#8212;</FONT>&nbsp;</TD>

   <TD width="14%" noWrap align=right><FONT size=1 face=sans-serif>$&#8212;</FONT>&nbsp;</TD>

   <TD width="14%" noWrap align=right><FONT size=1 face=sans-serif>$(68,353)</FONT>&nbsp;</TD>

   <TD width="14%" noWrap align=right><FONT size=1 face=sans-serif>$(68,353)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="14%" noWrap align=left><FONT size=1 face=sans-serif>Foreign exchange</FONT>&nbsp;</TD>

   <TD width="14%" noWrap align=left>&nbsp;</TD>

   <TD width="14%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="14%" noWrap align=left>&nbsp;</TD>

   <TD width="14%" noWrap align=left>&nbsp;</TD>

   <TD width="14%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="14%" noWrap align=left><FONT size=1 face=sans-serif>contracts</FONT>&nbsp;</TD>

   <TD width="14%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="14%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="14%" noWrap align=right><FONT size=1 face=sans-serif>(6,353,781)</FONT>&nbsp;</TD>

   <TD width="14%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="14%" noWrap align=right><FONT size=1 face=sans-serif>$(6,353,781)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="14%" noWrap align=left><FONT size=1 face=sans-serif>Interest rate contracts</FONT>&nbsp;</TD>

   <TD width="14%" noWrap align=right><FONT size=1 face=sans-serif>10,369,856</FONT>&nbsp;</TD>

   <TD width="14%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(8,585,339)</FONT>&nbsp;</TD>

   <TD width="14%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="14%" noWrap align=right><FONT size=1 face=sans-serif>3,370,071</FONT>&nbsp;</TD>

   <TD width="14%" noWrap align=right><FONT size=1 face=sans-serif>$5,154,588</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="14%" noWrap align=left><B><FONT size=1 face=sans-serif>Total</FONT></B>&nbsp;</TD>

   <TD width="14%" noWrap align=right><B><FONT size=1 face=sans-serif>$10,369,856</FONT></B>&nbsp;</TD>

   <TD width="14%" noWrap align=right><B><FONT size=1 face=sans-serif>$&#8212;</FONT></B>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>$(8,585,339) </FONT></B>&nbsp;</TD>

   <TD width="14%" noWrap align=right>&nbsp;<B><FONT size=1 face=sans-serif>$(6,353,781)</FONT></B>&nbsp;</TD>

   <TD width="14%" noWrap align=right><B><FONT size=1 face=sans-serif>$3,301,718</FONT></B>&nbsp;</TD>

   <TD width="14%" noWrap align=right><B><FONT size=1 face=sans-serif>$(1,267,546)</FONT></B>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>Change in unrealized appreciation or (depreciation) on derivatives recognized in net gain or (loss) on investments</FONT></B></P>

<DIV align=left>

<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="14%"></TD>

   <TD width="14%"></TD>

   <TD width="14%"></TD>

   <TD width="14%"></TD>

   <TD width="14%"></TD>

   <TD width="14%"></TD>

   <TD width="14%"></TD></TR>

<TR vAlign=bottom>

   <TD width="14%" noWrap align=left><B><FONT size=1 face=sans-serif>Derivatives not</FONT></B>&nbsp;</TD>

   <TD width="14%" noWrap align=left>&nbsp;</TD>

   <TD width="14%" noWrap align=left>&nbsp;</TD>

   <TD width="14%" noWrap align=left>&nbsp;</TD>

   <TD width="14%" noWrap align=left>&nbsp;</TD>

   <TD width="14%" noWrap align=left>&nbsp;</TD>

   <TD width="14%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="14%" noWrap align=left><B><FONT size=1 face=sans-serif>accounted for as</FONT></B>&nbsp;</TD>

   <TD width="14%" noWrap align=left>&nbsp;</TD>

   <TD width="14%" noWrap align=left>&nbsp;</TD>

   <TD width="14%" noWrap align=left>&nbsp;</TD>

   <TD width="14%" noWrap align=right><B><FONT size=1 face=sans-serif>Forward</FONT></B>&nbsp;</TD>

   <TD width="14%" noWrap align=left>&nbsp;</TD>

   <TD width="14%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="14%" noWrap align=left><B><FONT size=1 face=sans-serif>hedging instruments</FONT></B>&nbsp;</TD>

   <TD width="14%" noWrap align=left>&nbsp;</TD>

   <TD width="14%" noWrap align=left>&nbsp;</TD>

   <TD width="14%" noWrap align=left>&nbsp;</TD>

   <TD width="14%" noWrap align=right><B><FONT size=1 face=sans-serif>currency</FONT></B>&nbsp;</TD>

   <TD width="14%" noWrap align=left>&nbsp;</TD>

   <TD width="14%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="14%" noWrap align=left><B><FONT size=1 face=sans-serif>under ASC 815</FONT></B>&nbsp;</TD>

   <TD width="14%" noWrap align=right><B><FONT size=1 face=sans-serif>Options</FONT></B>&nbsp;</TD>

   <TD width="14%" noWrap align=right><B><FONT size=1 face=sans-serif>Warrants&#8224;</FONT></B>&nbsp;</TD>

   <TD width="14%" noWrap align=right><B><FONT size=1 face=sans-serif>Futures</FONT></B>&nbsp;</TD>

   <TD width="14%" noWrap align=right><B><FONT size=1 face=sans-serif>contracts</FONT></B>&nbsp;</TD>

   <TD width="14%" noWrap align=right><B><FONT size=1 face=sans-serif>Swaps</FONT></B>&nbsp;</TD>

   <TD width="14%" noWrap align=right><B><FONT size=1 face=sans-serif>Total</FONT></B>&nbsp;</TD></TR>

<TR>

   <TD width="98%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="14%" noWrap align=left><FONT size=1 face=sans-serif>Credit contracts</FONT>&nbsp;</TD>

   <TD width="14%" noWrap align=right><FONT size=1 face=sans-serif>$&#8212;</FONT>&nbsp;</TD>

   <TD width="14%" noWrap align=right><FONT size=1 face=sans-serif>$&#8212;</FONT>&nbsp;</TD>

   <TD width="14%" noWrap align=right><FONT size=1 face=sans-serif>$&#8212;</FONT>&nbsp;</TD>

   <TD width="14%" noWrap align=right><FONT size=1 face=sans-serif>$&#8212;</FONT>&nbsp;</TD>

   <TD width="14%" noWrap align=right><FONT size=1 face=sans-serif>$(183,544)</FONT>&nbsp;</TD>

   <TD width="14%" noWrap align=right><FONT size=1 face=sans-serif>$(183,544)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="98%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="14%" noWrap align=left><FONT size=1 face=sans-serif>Foreign exchange</FONT>&nbsp;</TD>

   <TD width="14%" noWrap align=left>&nbsp;</TD>

   <TD width="14%" noWrap align=left>&nbsp;</TD>

   <TD width="14%" noWrap align=left>&nbsp;</TD>

   <TD width="14%" noWrap align=left>&nbsp;</TD>

   <TD width="14%" noWrap align=left>&nbsp;</TD>

   <TD width="14%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="14%" noWrap align=left><FONT size=1 face=sans-serif>contracts</FONT>&nbsp;</TD>

   <TD width="14%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="14%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="14%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="14%" noWrap align=right><FONT size=1 face=sans-serif>1,869,413</FONT>&nbsp;</TD>

   <TD width="14%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="14%" noWrap align=right><FONT size=1 face=sans-serif>$1,869,413</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="98%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="14%" noWrap align=left><FONT size=1 face=sans-serif>Equity contracts</FONT>&nbsp;</TD>

   <TD width="14%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="14%" noWrap align=right><FONT size=1 face=sans-serif>(10,505)</FONT>&nbsp;</TD>

   <TD width="14%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="14%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="14%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="14%" noWrap align=right><FONT size=1 face=sans-serif>$(10,505)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="98%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="14%" noWrap align=left><FONT size=1 face=sans-serif>Interest rate contracts</FONT>&nbsp;</TD>

   <TD width="14%" noWrap align=right><FONT size=1 face=sans-serif>(6,818,792)</FONT>&nbsp;</TD>

   <TD width="14%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="14%" noWrap align=right><FONT size=1 face=sans-serif>1,258,263</FONT>&nbsp;</TD>

   <TD width="14%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="14%" noWrap align=right><FONT size=1 face=sans-serif>(14,501,961)</FONT>&nbsp;</TD>

   <TD width="14%" noWrap align=right><FONT size=1 face=sans-serif>$(20,062,490)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="98%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="14%" noWrap align=left><B><FONT size=1 face=sans-serif>Total</FONT></B>&nbsp;</TD>

   <TD width="14%" noWrap align=right><B><FONT size=1 face=sans-serif>$(6,818,792)</FONT></B>&nbsp;</TD>

   <TD width="14%" noWrap align=right><B><FONT size=1 face=sans-serif>$(10,505)</FONT></B>&nbsp;</TD>

   <TD width="14%" noWrap align=right><B><FONT size=1 face=sans-serif>$1,258,263</FONT></B>&nbsp;</TD>

   <TD width="14%" noWrap align=right><B><FONT size=1 face=sans-serif>$1,869,413</FONT></B>&nbsp;</TD>

   <TD width="14%" noWrap align=right><B><FONT size=1 face=sans-serif>$(14,685,505)</FONT></B>&nbsp;</TD>

   <TD width="14%" noWrap align=right><B><FONT size=1 face=sans-serif>$(18,387,126)</FONT></B>&nbsp;</TD></TR>

<TR>

   <TD width="98%" colSpan=7>

   <HR SIZE=1 noShade>

</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><FONT size=1 face=sans-serif><BR><BR>&#8224; For the reporting period, the transaction volume for warrants was minimal.</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>Note 5: Shares repurchased</FONT></B></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>In September 2011, the Trustees approved the renewal of the repurchase program to allow the fund to repurchase up to 10% of its outstanding common shares over the 12-month period ending October 7, 2012 (based on shares outstanding as of October 7, 2011). Prior to this renewal, the Trustees had approved a repurchase program to allow the fund to repurchase up to 10% of its outstanding common shares over the 12-month period ending October&nbsp;7, 2011 (based on shares outstanding as of October 7, 2010). Repurchases are made when the fund&#8217;s shares are trading at less than net asset value and in accordance with procedures approved by the fund&#8217;s Trustees. During the reporting period the fund did not repurchase any common shares. At the close of the reporting period, Putnam Investments, LLC owned approximately 555 shares of the fund (0.0008% of the fund&#8217;s shares outstanding) valued at $2,963 based on net asset value.</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>Note 6: Investment in Putnam Money Market Liquidity Fund</FONT></B></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>The fund invested in Putnam Money Market Liquidity Fund, an open-end management investment company managed by Putnam Management. Investments in Putnam Money Market Liquidity Fund are valued at its closing net asset value each business day. Income distributions earned by the fund are recorded as interest income in the Statement of operations and totaled $40,237 for the reporting period. During the reporting period, cost of purchases and proceeds of sales of investments in Putnam Money Market Liquidity Fund aggregated $355,824,292 and $292,833,170, respectively. Management fees charged to Putnam Money Market Liquidity Fund have been waived by Putnam Management.</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>Note 7: Senior loan commitments</FONT></B></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities. Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder&#8217;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</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>99</FONT></P></DIV>

<HR align=center SIZE=2 width="100%" noShade>



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<DIV style="PADDING-LEFT: 0%;; PADDING-RIGHT: 0%">

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>Note 8: Market and credit risk</FONT></B></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>In the normal course of business, the fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk) or failure of the contracting party to the transaction to perform (credit risk). The fund may be exposed to additional credit risk that an institution or other entity with which the fund has unsettled or open transactions will default.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>100</FONT></P></DIV>

<HR align=center SIZE=2 width="100%" noShade>



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<DIV style="PADDING-LEFT: 0%;; PADDING-RIGHT: 0%">

<P style="TEXT-ALIGN: left"><B><FONT size=4 face=sans-serif>Federal tax information (Unaudited)</FONT></B></P>

<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>For the reporting period ended, pursuant to &#167;871(k) of the Internal Revenue Code, the fund hereby designates $24,545,309 of distributions paid as qualifying to be taxed as interest-related dividends for nonresident alien shareholders.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>The Form 1099 that will be mailed to you in January 2012 will show the tax status of all distributions paid to your account in calendar 2011.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>101</FONT></P></DIV>

<HR align=center SIZE=2 width="100%" noShade>



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<DIV style="PADDING-LEFT: 0%;; PADDING-RIGHT: 0%">

<P style="TEXT-ALIGN: left"><B><FONT size=4 face=sans-serif>Shareholder meeting results (Unaudited)</FONT></B></P>

<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>January 28, 2011 meeting</FONT></B></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>At the meeting, each of the nominees for Trustees was elected, as follows:</FONT></P>

<DIV align=left>

<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="33%"></TD>

   <TD width="33%"></TD>

   <TD width="33%"></TD></TR>

<TR vAlign=bottom>

   <TD width="33%" noWrap align=left>&nbsp;</TD>

   <TD width="33%" noWrap align=left><B><FONT size=1 face=sans-serif>Votes for</FONT></B>&nbsp;</TD>

   <TD width="33%" noWrap align=left><B><FONT size=1 face=sans-serif>Votes withheld</FONT></B>&nbsp;</TD></TR>

<TR height=20>

   <TD width="99%" colSpan=3 noWrap align=left><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

 </FONT><FONT size=1 face=sans-serif></FONT><FONT size=1 face=sans-serif></FONT></TD></TR>

<TR vAlign=bottom>

   <TD width="33%" noWrap align=left><FONT size=1 face=sans-serif>Ravi Akhoury</FONT>&nbsp;</TD>

   <TD width="33%" noWrap align=left><FONT size=1 face=sans-serif>57,497,465</FONT>&nbsp;</TD>

   <TD width="33%" noWrap align=left><FONT size=1 face=sans-serif>1,902,790</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="33%" noWrap align=left><FONT size=1 face=sans-serif>Barbara M. Baumann</FONT>&nbsp;</TD>

   <TD width="33%" noWrap align=left><FONT size=1 face=sans-serif>57,502,268</FONT>&nbsp;</TD>

   <TD width="33%" noWrap align=left><FONT size=1 face=sans-serif>1,894,546</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="33%" noWrap align=left><FONT size=1 face=sans-serif>Jameson A. Baxter</FONT>&nbsp;</TD>

   <TD width="33%" noWrap align=left><FONT size=1 face=sans-serif>57,425,254</FONT>&nbsp;</TD>

   <TD width="33%" noWrap align=left><FONT size=1 face=sans-serif>1,970,985</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="33%" noWrap align=left><FONT size=1 face=sans-serif>Charles B. Curtis</FONT>&nbsp;</TD>

   <TD width="33%" noWrap align=left><FONT size=1 face=sans-serif>57,380,384</FONT>&nbsp;</TD>

   <TD width="33%" noWrap align=left><FONT size=1 face=sans-serif>2,016,689</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="33%" noWrap align=left><FONT size=1 face=sans-serif>Robert J. Darretta</FONT>&nbsp;</TD>

   <TD width="33%" noWrap align=left><FONT size=1 face=sans-serif>57,439,449</FONT>&nbsp;</TD>

   <TD width="33%" noWrap align=left><FONT size=1 face=sans-serif>1,958,057</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="33%" noWrap align=left><FONT size=1 face=sans-serif>Myra R. Drucker*</FONT>&nbsp;</TD>

   <TD width="33%" noWrap align=left><FONT size=1 face=sans-serif>57,470,192</FONT>&nbsp;</TD>

   <TD width="33%" noWrap align=left><FONT size=1 face=sans-serif>1,925,935</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="33%" noWrap align=left><FONT size=1 face=sans-serif>John A. Hill</FONT>&nbsp;</TD>

   <TD width="33%" noWrap align=left><FONT size=1 face=sans-serif>57,429,758</FONT>&nbsp;</TD>

   <TD width="33%" noWrap align=left><FONT size=1 face=sans-serif>1,968,567</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="33%" noWrap align=left><FONT size=1 face=sans-serif>Paul L. Joskow</FONT>&nbsp;</TD>

   <TD width="33%" noWrap align=left><FONT size=1 face=sans-serif>57,497,924</FONT>&nbsp;</TD>

   <TD width="33%" noWrap align=left><FONT size=1 face=sans-serif>1,898,882</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="33%" noWrap align=left><FONT size=1 face=sans-serif>Kenneth R. Leibler</FONT>&nbsp;</TD>

   <TD width="33%" noWrap align=left><FONT size=1 face=sans-serif>57,487,670</FONT>&nbsp;</TD>

   <TD width="33%" noWrap align=left><FONT size=1 face=sans-serif>1,908,972</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="33%" noWrap align=left><FONT size=1 face=sans-serif>Robert E. Patterson</FONT>&nbsp;</TD>

   <TD width="33%" noWrap align=left><FONT size=1 face=sans-serif>57,438,020</FONT>&nbsp;</TD>

   <TD width="33%" noWrap align=left><FONT size=1 face=sans-serif>1,959,088</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="33%" noWrap align=left><FONT size=1 face=sans-serif>George Putnam, III</FONT>&nbsp;</TD>

   <TD width="33%" noWrap align=left><FONT size=1 face=sans-serif>57,509,731</FONT>&nbsp;</TD>

   <TD width="33%" noWrap align=left><FONT size=1 face=sans-serif>1,884,911</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="33%" noWrap align=left><FONT size=1 face=sans-serif>Robert L. Reynolds</FONT>&nbsp;</TD>

   <TD width="33%" noWrap align=left><FONT size=1 face=sans-serif>57,475,643</FONT>&nbsp;</TD>

   <TD width="33%" noWrap align=left><FONT size=1 face=sans-serif>1,930,002</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="33%" noWrap align=left><FONT size=1 face=sans-serif>W. Thomas Stephens</FONT>&nbsp;</TD>

   <TD width="33%" noWrap align=left><FONT size=1 face=sans-serif>57,443,229</FONT>&nbsp;</TD>

   <TD width="33%" noWrap align=left><FONT size=1 face=sans-serif>1,954,913</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><FONT size=1 face=sans-serif><BR>* Myra Drucker retired from the Board of Trustees of the Putnam funds effective January 30, 2011.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>All tabulations are rounded to the nearest whole number.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>102</FONT></P></DIV>

<HR align=center SIZE=2 width="100%" noShade>



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<DIV style="PADDING-LEFT: 0%;; PADDING-RIGHT: 0%">

<P style="TEXT-ALIGN: left"><B><FONT size=4 face=sans-serif>About the Trustees</FONT></B></P>

<DIV align=left>

<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="24%"></TD>

   <TD width="51%"></TD>

   <TD width="24%"></TD></TR>

<TR vAlign=bottom>

   <TD width="75%" colSpan=2 noWrap align=left><B><FONT size=2 face=sans-serif>Independent Trustees</FONT></B>&nbsp;</TD>

   <TD width="24%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="24%" noWrap align=left><B><FONT size=1 face=sans-serif>Name</FONT></B>&nbsp;</TD>

   <TD width="51%" noWrap align=left>&nbsp;</TD>

   <TD width="24%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="24%" noWrap align=left><B><FONT size=1 face=sans-serif>Year of birth</FONT></B>&nbsp;</TD>

   <TD width="51%" noWrap align=left>&nbsp;</TD>

   <TD width="24%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="24%" noWrap align=left><B><FONT size=1 face=sans-serif>Position held</FONT></B>&nbsp;</TD>

   <TD width="51%" noWrap align=left><B><FONT size=1 face=sans-serif>Principal occupations during past five years</FONT></B>&nbsp;</TD>

   <TD width="24%" noWrap align=left><B><FONT size=1 face=sans-serif>Other directorships</FONT></B>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="24%" noWrap align=left><B><FONT size=1 face=sans-serif>Ravi Akhoury</FONT></B>&nbsp;</TD>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Advisor to New York Life Insurance Company. Trustee of</FONT>&nbsp;</TD>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>Jacob Ballas Capital</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>Born 1947</FONT>&nbsp;</TD>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>American India Foundation and of the Rubin Museum.</FONT>&nbsp;</TD>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>India, a non-banking</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>Trustee since 2009</FONT>&nbsp;</TD>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>From 1992 to 2007, was Chairman and CEO of MacKay</FONT>&nbsp;</TD>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>finance company</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="24%" noWrap align=left>&nbsp;</TD>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Shields, a multi-product investment management firm</FONT>&nbsp;</TD>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>focused on private</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="24%" noWrap align=left>&nbsp;</TD>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>with over $40 billion in assets under management.</FONT>&nbsp;</TD>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>equity advisory services;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="24%" noWrap align=left>&nbsp;</TD>

   <TD width="51%" noWrap align=left>&nbsp;</TD>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>RAGE Frameworks,</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="24%" noWrap align=left>&nbsp;</TD>

   <TD width="51%" noWrap align=left>&nbsp;</TD>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>Inc., a private software</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="24%" noWrap align=left>&nbsp;</TD>

   <TD width="51%" noWrap align=left>&nbsp;</TD>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>company</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="24%" noWrap align=left><B><FONT size=1 face=sans-serif>Barbara M. Baumann</FONT></B>&nbsp;</TD>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>President and Owner of Cross Creek Energy Corporation,</FONT>&nbsp;</TD>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>SM Energy Company, a</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>Born 1955</FONT>&nbsp;</TD>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>a strategic consultant to domestic energy firms and direct</FONT>&nbsp;</TD>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>domestic exploration</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>Trustee since 2010</FONT>&nbsp;</TD>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>investor in energy projects. Trustee of Mount Holyoke</FONT>&nbsp;</TD>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>and production</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="24%" noWrap align=left>&nbsp;</TD>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>College and member of the Investment Committee for the</FONT>&nbsp;</TD>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>company; UniSource</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="24%" noWrap align=left>&nbsp;</TD>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>college&#8217;s endowment. Former Chair and current board</FONT>&nbsp;</TD>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>Energy Corporation,</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="24%" noWrap align=left>&nbsp;</TD>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>member of Girls Incorporated of Metro Denver. Member of</FONT>&nbsp;</TD>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>an Arizona utility; CVR</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="24%" noWrap align=left>&nbsp;</TD>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>the Finance Committee, The Children&#8217;s Hospital of Denver.</FONT>&nbsp;</TD>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>Energy, a petroleum</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="24%" noWrap align=left>&nbsp;</TD>

   <TD width="51%" noWrap align=left>&nbsp;</TD>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>refiner and fertilizer</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="24%" noWrap align=left>&nbsp;</TD>

   <TD width="51%" noWrap align=left>&nbsp;</TD>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>manufacturer</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="24%" noWrap align=left><B><FONT size=1 face=sans-serif>Jameson A. Baxter</FONT></B>&nbsp;</TD>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>President of Baxter Associates, Inc., a private investment</FONT>&nbsp;</TD>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>None</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>Born 1943</FONT>&nbsp;</TD>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>firm. Chair of Mutual Fund Directors Forum. Chair Emeritus</FONT>&nbsp;</TD>

   <TD width="24%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>Trustee since 1994,</FONT>&nbsp;</TD>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>of the Board of Trustees of Mount Holyoke College.</FONT>&nbsp;</TD>

   <TD width="24%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>Vice Chair from 2005</FONT>&nbsp;</TD>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Director of the Adirondack Land Trust and Trustee of the</FONT>&nbsp;</TD>

   <TD width="24%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>to 2011, and Chair</FONT>&nbsp;</TD>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Nature Conservancy&#8217;s Adirondack Chapter.</FONT>&nbsp;</TD>

   <TD width="24%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>since 2011</FONT>&nbsp;</TD>

   <TD width="51%" noWrap align=left>&nbsp;</TD>

   <TD width="24%" noWrap align=left>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="24%" noWrap align=left><B><FONT size=1 face=sans-serif>Charles B. Curtis</FONT></B>&nbsp;</TD>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Former President and Chief Operating Officer of the</FONT>&nbsp;</TD>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>Edison International;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>Born 1940</FONT>&nbsp;</TD>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Nuclear Threat Initiative, a private foundation dealing</FONT>&nbsp;</TD>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>Southern California</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>Trustee since 2001</FONT>&nbsp;</TD>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>with national security issues. Senior Advisor to the Center</FONT>&nbsp;</TD>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>Edison</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="24%" align=middle><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="51%" align=left><FONT size=1 face=sans-serif>for Strategic and International Studies. Member of the</FONT>&nbsp;</TD>

   <TD width="24%" align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="24%" noWrap align=left>&nbsp;</TD>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Council on Foreign Relations.</FONT>&nbsp;</TD>

   <TD width="24%" noWrap align=left>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="24%" noWrap align=left><B><FONT size=1 face=sans-serif>Robert J. Darretta</FONT></B>&nbsp;</TD>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Health Care Industry Advisor to Permira, a global private</FONT>&nbsp;</TD>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>UnitedHealth</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>Born 1946</FONT>&nbsp;</TD>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>equity firm. Until April 2007, was Vice Chairman of the</FONT>&nbsp;</TD>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>Group, a diversified</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>Trustee since 2007</FONT>&nbsp;</TD>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Board of Directors of Johnson &amp; Johnson. Served as</FONT>&nbsp;</TD>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>health-care company</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="24%" align=middle><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="51%" align=left><FONT size=1 face=sans-serif>Johnson &amp; Johnson&#8217;s Chief Financial Officer for a decade.</FONT>&nbsp;</TD>

   <TD width="24%" align=middle>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="24%" noWrap align=left><B><FONT size=1 face=sans-serif>John A. Hill</FONT></B>&nbsp;</TD>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Founder and Vice-Chairman of First Reserve</FONT>&nbsp;</TD>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>Devon Energy</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>Born 1942</FONT>&nbsp;</TD>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Corporation, the leading private equity buyout firm</FONT>&nbsp;</TD>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>Corporation, a leading</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>Trustee since 1985 and</FONT>&nbsp;</TD>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>focused on the worldwide energy industry. Serves as a</FONT>&nbsp;</TD>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>independent natural gas</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>Chairman from 2000</FONT>&nbsp;</TD>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Trustee and Chairman of the Board of Trustees of Sarah</FONT>&nbsp;</TD>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>and oil exploration and</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>to 2011</FONT>&nbsp;</TD>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Lawrence College. Also a member of the Advisory Board</FONT>&nbsp;</TD>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>production company</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="24%" noWrap align=left>&nbsp;</TD>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>of the Millstein Center for Corporate Governance and</FONT>&nbsp;</TD>

   <TD width="24%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="24%" noWrap align=left>&nbsp;</TD>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Performance at the Yale School of Management.</FONT>&nbsp;</TD>

   <TD width="24%" noWrap align=left>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>103</FONT></P></DIV>

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<TR>

   <TD width="24%"></TD>

   <TD width="51%"></TD>

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   <TD width="24%" noWrap align=left><B><FONT size=1 face=sans-serif>Name</FONT></B>&nbsp;</TD>

   <TD width="51%" noWrap align=left>&nbsp;</TD>

   <TD width="24%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="24%" noWrap align=left><B><FONT size=1 face=sans-serif>Year of birth</FONT></B>&nbsp;</TD>

   <TD width="51%" noWrap align=left>&nbsp;</TD>

   <TD width="24%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="24%" noWrap align=left><B><FONT size=1 face=sans-serif>Position held</FONT></B>&nbsp;</TD>

   <TD width="51%" noWrap align=left><B><FONT size=1 face=sans-serif>Principal occupations during past five years</FONT></B>&nbsp;</TD>

   <TD width="24%" noWrap align=left><B><FONT size=1 face=sans-serif>Other directorships</FONT></B>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

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   <TD width="24%" noWrap align=left><B><FONT size=1 face=sans-serif>Paul L. Joskow</FONT></B>&nbsp;</TD>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Economist and President of the Alfred P. Sloan</FONT>&nbsp;</TD>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>TransCanada</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>Born 1947</FONT>&nbsp;</TD>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Foundation, a philanthropic institution focused primarily</FONT>&nbsp;</TD>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>Corporation, an energy</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>Trustee since 1997</FONT>&nbsp;</TD>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>on research and education on issues related to science,</FONT>&nbsp;</TD>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>company focused on</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="24%" noWrap align=left>&nbsp;</TD>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>technology, and economic performance. Elizabeth and</FONT>&nbsp;</TD>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>natural gas transmission</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="24%" noWrap align=left>&nbsp;</TD>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>James Killian Professor of Economics, Emeritus at the</FONT>&nbsp;</TD>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>and power services;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="24%" noWrap align=left>&nbsp;</TD>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Massachusetts Institute of Technology (MIT). Prior to</FONT>&nbsp;</TD>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>Exelon Corporation, an</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="24%" noWrap align=left>&nbsp;</TD>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>2007, served as the Director of the Center for Energy and</FONT>&nbsp;</TD>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>energy company focused</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="24%" noWrap align=left>&nbsp;</TD>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Environmental Policy Research at MIT.</FONT>&nbsp;</TD>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>on power services</FONT>&nbsp;</TD></TR>

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</TD></TR>

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   <TD width="24%" noWrap align=left><B><FONT size=1 face=sans-serif>Kenneth R. Leibler</FONT></B>&nbsp;</TD>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Founder and former Chairman of Boston Options</FONT>&nbsp;</TD>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>Northeast Utilities,</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>Born 1949</FONT>&nbsp;</TD>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Exchange, an electronic marketplace for the trading</FONT>&nbsp;</TD>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>which operates New</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>Trustee since 2006</FONT>&nbsp;</TD>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>of derivative securities. Vice Chairman of the Board of</FONT>&nbsp;</TD>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>England&#8217;s largest energy</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="24%" noWrap align=left>&nbsp;</TD>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Trustees of Beth Israel Deaconess Hospital in Boston,</FONT>&nbsp;</TD>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>delivery system</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="24%" align=middle><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="51%" align=left><FONT size=1 face=sans-serif>Massachusetts. Until November 2010, director of Ruder</FONT>&nbsp;</TD>

   <TD width="24%" align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="24%" align=middle><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="51%" align=left><FONT size=1 face=sans-serif>Finn Group, a global communications and advertising firm.</FONT>&nbsp;</TD>

   <TD width="24%" align=middle>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

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   <TD width="24%" noWrap align=left><B><FONT size=1 face=sans-serif>Robert E. Patterson</FONT></B>&nbsp;</TD>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Senior Partner of Cabot Properties, LP and Co-Chairman</FONT>&nbsp;</TD>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>None</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>Born 1945</FONT>&nbsp;</TD>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>of Cabot Properties, Inc., a private equity firm investing in</FONT>&nbsp;</TD>

   <TD width="24%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>Trustee since 1984</FONT>&nbsp;</TD>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>commercial real estate. Past Chairman and Trustee of the</FONT>&nbsp;</TD>

   <TD width="24%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="24%" noWrap align=left>&nbsp;</TD>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Joslin Diabetes Center.</FONT>&nbsp;</TD>

   <TD width="24%" noWrap align=left>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

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   <TD width="24%" noWrap align=left><B><FONT size=1 face=sans-serif>George Putnam, III</FONT></B>&nbsp;</TD>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Chairman of New Generation Research, Inc., a publisher</FONT>&nbsp;</TD>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>None</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>Born 1951</FONT>&nbsp;</TD>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>of financial advisory and other research services, and</FONT>&nbsp;</TD>

   <TD width="24%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>Trustee since 1984</FONT>&nbsp;</TD>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>founder and President of New Generation Advisors, LLC,</FONT>&nbsp;</TD>

   <TD width="24%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="24%" noWrap align=left>&nbsp;</TD>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>a registered investment advisor to private funds.</FONT>&nbsp;</TD>

   <TD width="24%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="24%" align=middle><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="51%" align=left><FONT size=1 face=sans-serif>Director of The Boston Family Office, LLC, a registered</FONT>&nbsp;</TD>

   <TD width="24%" align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="24%" noWrap align=left>&nbsp;</TD>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>investment advisor.</FONT>&nbsp;</TD>

   <TD width="24%" noWrap align=left>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="24%" noWrap align=left><B><FONT size=1 face=sans-serif>W. Thomas Stephens</FONT></B>&nbsp;</TD>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Retired as Chairman and Chief Executive Officer of Boise</FONT>&nbsp;</TD>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>TransCanadaPipelines</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>Born 1942</FONT>&nbsp;</TD>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Cascade, LLC, a paper, forest products, and timberland</FONT>&nbsp;</TD>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>Ltd., an energy</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>Trustee from 1997 to 2008</FONT></SUB>&nbsp;</TD>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>assets company, in December 2008. Prior to 2010,</FONT>&nbsp;</TD>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>infrastructure company</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>and since 2009</FONT>&nbsp;</TD>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Director of Boise Inc., a manufacturer of paper and</FONT>&nbsp;</TD>

   <TD width="24%" noWrap align=left>&nbsp;</TD></TR>

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   <TD width="24%" noWrap align=left>&nbsp;</TD>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>packaging products.</FONT>&nbsp;</TD>

   <TD width="24%" noWrap align=left>&nbsp;</TD></TR>

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   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="24%" noWrap align=left><B><FONT size=2 face=sans-serif>Interested Trustee</FONT></B>&nbsp;</TD>

   <TD width="51%" noWrap align=left>&nbsp;</TD>

   <TD width="24%" noWrap align=left>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

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   <TD width="24%" noWrap align=left><B><FONT size=1 face=sans-serif>Robert L. Reynolds*</FONT></B>&nbsp;</TD>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>President and Chief Executive Officer of Putnam</FONT>&nbsp;</TD>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>None</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>Born 1952</FONT>&nbsp;</TD>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Investments since 2008. Prior to joining Putnam</FONT>&nbsp;</TD>

   <TD width="24%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>Trustee since 2008 and</FONT>&nbsp;</TD>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Investments, served as Vice Chairman and Chief</FONT>&nbsp;</TD>

   <TD width="24%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>President of the Putnam</FONT>&nbsp;</TD>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Operating Officer of Fidelity Investments from</FONT>&nbsp;</TD>

   <TD width="24%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="24%" noWrap align=left><FONT size=1 face=sans-serif>Funds since July 2009</FONT>&nbsp;</TD>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>2000 to 2007.</FONT>&nbsp;</TD>

   <TD width="24%" noWrap align=left>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><FONT size=1 face=sans-serif><BR><BR>The address of each Trustee is One Post Office Square, Boston, MA 02109.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>As of September 30, 2011, there were 107 Putnam funds. All Trustees serve as Trustees of all Putnam funds.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>Each Trustee serves for an indefinite term, until his or her resignation, retirement at age 72, removal, or death.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>* Mr. Reynolds is an &#8220;interested person&#8221; (as defined in the Investment Company Act of 1940) of the fund, Putnam Management, and/or Putnam Retail Management. He is President and Chief Executive Officer of Putnam Investments, as well as the President of your fund and each of the other Putnam funds.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>104</FONT></P></DIV>

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<P style="TEXT-ALIGN: left"><B><FONT size=4 face=sans-serif>Officers</FONT></B></P>

<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>In addition to Robert L. Reynolds, the other officers of the fund are shown below:</FONT></P>

<DIV align=left>

<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="50%"></TD>

   <TD width="50%"></TD></TR>

<TR vAlign=bottom>

   <TD width="50%" noWrap align=left><B><FONT size=2 face=sans-serif>Jonathan S. Horwitz </FONT></B><I><FONT size=2 face=sans-serif>(Born 1955)</FONT></I>&nbsp;</TD>

   <TD width="50%" noWrap align=left><B><FONT size=2 face=sans-serif>Robert T. Burns </FONT></B><I><FONT size=2 face=sans-serif>(Born 1961)</FONT></I>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>Executive Vice President, Principal Executive</FONT>&nbsp;</TD>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>Vice President and Chief Legal Officer</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>Officer, Treasurer and Compliance Liaison</FONT>&nbsp;</TD>

   <TD width="50%" noWrap align=left><I><FONT size=2 face=sans-serif>Since 2011</FONT></I>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="50%" noWrap align=left><I><FONT size=2 face=sans-serif>Since 2004</FONT></I>&nbsp;</TD>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>General Counsel, Putnam Investments and</FONT>&nbsp;</TD></TR>

<TR height=20>

   <TD width="50%" noWrap align=left><B><FONT size=2 face=sans-serif>&nbsp;</FONT></B></TD>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif><FONT size=2 face=sans-serif>Putnam Management</FONT></FONT></TD></TR>

<TR vAlign=bottom>

   <TD width="50%" noWrap align=left><B><FONT size=2 face=sans-serif>Steven D. Krichmar </FONT></B><I><FONT size=2 face=sans-serif>(Born 1958)</FONT></I>&nbsp;</TD>

   <TD width="50%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>Vice President and Principal Financial Officer</FONT>&nbsp;</TD>

   <TD width="50%" noWrap align=left><B><FONT size=2 face=sans-serif>James P. Pappas </FONT></B><I><FONT size=2 face=sans-serif>(Born 1953)</FONT></I>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="50%" noWrap align=left><I><FONT size=2 face=sans-serif>Since 2002</FONT></I>&nbsp;</TD>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>Vice President</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>Chief of Operations, Putnam Investments and</FONT>&nbsp;</TD>

   <TD width="50%" noWrap align=left><I><FONT size=2 face=sans-serif>Since 2004</FONT></I>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>Putnam Management</FONT>&nbsp;</TD>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>Director of Trustee Relations,</FONT>&nbsp;</TD></TR>

<TR height=20>

   <TD width="50%" noWrap align=left><B><FONT size=2 face=sans-serif>&nbsp;</FONT></B></TD>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif><FONT size=2 face=sans-serif>Putnam Investments and Putnam Management</FONT></FONT></TD></TR>

<TR vAlign=bottom>

   <TD width="50%" noWrap align=left><B><FONT size=2 face=sans-serif>Janet C. Smith </FONT></B><I><FONT size=2 face=sans-serif>(Born 1965)</FONT></I>&nbsp;</TD>

   <TD width="50%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>Vice President, Assistant Treasurer and</FONT>&nbsp;</TD>

   <TD width="50%" noWrap align=left><B><FONT size=2 face=sans-serif>Judith Cohen </FONT></B><I><FONT size=2 face=sans-serif>(Born 1945)</FONT></I>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>Principal Accounting Officer</FONT>&nbsp;</TD>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>Vice President, Clerk and Assistant Treasurer</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="50%" noWrap align=left><I><FONT size=2 face=sans-serif>Since 2007</FONT></I>&nbsp;</TD>

   <TD width="50%" noWrap align=left><I><FONT size=2 face=sans-serif>Since 1993</FONT></I>&nbsp;</TD></TR>

<TR height=20>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif><FONT size=2 face=sans-serif>Director of Fund Administration Services,</FONT></FONT></TD>

   <TD width="50%" noWrap align=left><B><FONT size=2 face=sans-serif>&nbsp;</FONT></B></TD></TR>

<TR vAlign=bottom>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>Putnam Investments and Putnam Management</FONT></TD>

   <TD width="50%" noWrap align=left><B><FONT size=2 face=sans-serif>Michael Higgins </FONT></B><I><FONT size=2 face=sans-serif>(Born 1976)</FONT></I>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="50%" noWrap align=left>&nbsp;</TD>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>Vice President, Senior Associate Treasurer and</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="50%" noWrap align=left><B><FONT size=2 face=sans-serif>Beth S. Mazor </FONT></B><I><FONT size=2 face=sans-serif>(Born 1958)</FONT></I>&nbsp;</TD>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>Assistant Clerk</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>Vice President</FONT>&nbsp;</TD>

   <TD width="50%" noWrap align=left><I><FONT size=2 face=sans-serif>Since 2010</FONT></I>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="50%" noWrap align=left><I><FONT size=2 face=sans-serif>Since 2002</FONT></I>&nbsp;</TD>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>Manager of Finance, Dunkin&#8217; Brands (2008&#8211;</FONT>&nbsp;</TD></TR>

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   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>Manager of Trustee Relations, Putnam</FONT>&nbsp;</TD>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>2010); Senior Financial Analyst, Old Mutual Asset</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>Investments and Putnam Management</FONT>&nbsp;</TD>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>Management (2007&#8211;2008); Senior Financial</FONT>&nbsp;</TD></TR>

<TR height=20>

   <TD width="50%" noWrap align=left><B><FONT size=2 face=sans-serif>&nbsp;</FONT></B></TD>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif><FONT size=2 face=sans-serif>Analyst, Putnam Investments (1999&#8211;2007)</FONT></FONT></TD></TR>

<TR vAlign=bottom>

   <TD width="50%" noWrap align=left><B><FONT size=2 face=sans-serif>Robert R. Leveille </FONT></B><I><FONT size=2 face=sans-serif>(Born 1969)</FONT></I>&nbsp;</TD>

   <TD width="50%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>Vice President and Chief Compliance Officer</FONT>&nbsp;</TD>

   <TD width="50%" noWrap align=left><B><FONT size=2 face=sans-serif>Nancy E. Florek </FONT></B><I><FONT size=2 face=sans-serif>(Born 1957)</FONT></I>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="50%" noWrap align=left><I><FONT size=2 face=sans-serif>Since 2007</FONT></I>&nbsp;</TD>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>Vice President, Assistant Clerk, Assistant</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>Chief Compliance Officer, Putnam Investments,</FONT>&nbsp;</TD>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>Treasurer and Proxy Manager</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>Putnam Management, and Putnam Retail</FONT>&nbsp;</TD>

   <TD width="50%" noWrap align=left><I><FONT size=2 face=sans-serif>Since 2000</FONT></I>&nbsp;</TD></TR>

<TR height=20>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif><FONT size=2 face=sans-serif>Management</FONT></FONT></TD>

   <TD width="50%" noWrap align=left><B><FONT size=2 face=sans-serif>&nbsp;</FONT></B></TD></TR>

<TR vAlign=bottom>

   <TD width="50%" noWrap align=left>&nbsp;</TD>

   <TD width="50%" noWrap align=left><B><FONT size=2 face=sans-serif>Susan G. Malloy </FONT></B><I><FONT size=2 face=sans-serif>(Born 1957)</FONT></I>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="50%" noWrap align=left><B><FONT size=2 face=sans-serif>Mark C. Trenchard </FONT></B><I><FONT size=2 face=sans-serif>(Born 1962)</FONT></I>&nbsp;</TD>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>Vice President and Assistant Treasurer</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>Vice President and BSA Compliance Officer</FONT>&nbsp;</TD>

   <TD width="50%" noWrap align=left><I><FONT size=2 face=sans-serif>Since 2007</FONT></I>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="50%" noWrap align=left><I><FONT size=2 face=sans-serif>Since 2002</FONT></I>&nbsp;</TD>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>Director of Accounting &amp; Control Services,</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>Director of Operational Compliance,</FONT>&nbsp;</TD>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>Putnam Management</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>Putnam Investments and Putnam</FONT>&nbsp;</TD>

   <TD width="50%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>Retail Management</FONT>&nbsp;</TD>

   <TD width="50%" noWrap align=left>&nbsp;</TD></TR></TABLE></DIV>

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<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>The principal occupations of the officers for the past five years have been with the employers as shown above although in some cases, they have held different positions with such employers. The address of each Officer is One Post Office Square, Boston, MA 02109.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>105</FONT></P></DIV>

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<DIV style="PADDING-LEFT: 0%;; PADDING-RIGHT: 0%">

<P style="TEXT-ALIGN: left"><B><FONT size=4 face=sans-serif>The Putnam family of funds</FONT></B></P>

<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>The following is a list of Putnam&#8217;s open-end mutual funds offered to the public. </FONT><I><FONT size=2 face=sans-serif>Investors should carefully consider the investment objective, risks, charges, and expenses of a fund before investing. For a prospectus, or a summary prospectus if available, containing this and other information for any Putnam fund or product, call your financial advisor at 1-800-225-1581 and ask for a prospectus. Please read the prospectus carefully before investing.</FONT></I></P>

<DIV align=left>

<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="50%"></TD>

   <TD width="50%"></TD></TR>

<TR vAlign=bottom>

   <TD width="50%" noWrap align=left><B><FONT size=2 face=sans-serif>Growth</FONT></B>&nbsp;</TD>

   <TD width="50%" noWrap align=left><B><FONT size=2 face=sans-serif>Income</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>Growth Opportunities Fund</FONT>&nbsp;</TD>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>American Government Income Fund</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>International Growth Fund</FONT>&nbsp;</TD>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>Diversified Income Trust</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>Multi-Cap Growth Fund</FONT>&nbsp;</TD>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>Floating Rate Income Fund</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>Small Cap Growth Fund</FONT>&nbsp;</TD>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>Global Income Trust</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>Voyager Fund</FONT>&nbsp;</TD>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>High Yield Advantage Fund</FONT>&nbsp;</TD></TR>

<TR height=20>

   <TD width="50%" noWrap align=left><B><FONT size=2 face=sans-serif>&nbsp;</FONT></B></TD>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif><FONT size=2 face=sans-serif>High Yield Trust</FONT></FONT></TD></TR>

<TR vAlign=bottom>

   <TD width="50%" noWrap align=left><B><FONT size=2 face=sans-serif>Blend</FONT></B>&nbsp;</TD>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>Income Fund</FONT></TD></TR>

<TR vAlign=bottom>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>Asia Pacific Equity Fund</FONT>&nbsp;</TD>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>Money Market Fund*</FONT></TD></TR>

<TR vAlign=bottom>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>Capital Opportunities Fund</FONT>&nbsp;</TD>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>Short Duration Income Fund</FONT></TD></TR>

<TR vAlign=bottom>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>Capital Spectrum Fund</FONT>&nbsp;</TD>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>U.S. Government Income Trust</FONT></TD></TR>

<TR vAlign=bottom>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>Emerging Markets Equity Fund</FONT>&nbsp;</TD>

   <TD width="50%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>Equity Spectrum Fund</FONT>&nbsp;</TD>

   <TD width="50%" noWrap align=left><B><FONT size=2 face=sans-serif>Tax-free income</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>Europe Equity Fund</FONT>&nbsp;</TD>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>AMT-Free Municipal Fund</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>Global Equity Fund</FONT>&nbsp;</TD>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>Tax Exempt Income Fund</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>International Capital Opportunities Fund</FONT>&nbsp;</TD>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>Tax Exempt Money Market Fund*</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>International Equity Fund</FONT>&nbsp;</TD>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>Tax-Free High Yield Fund</FONT>&nbsp;</TD></TR>

<TR height=20>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif><FONT size=2 face=sans-serif>Investors Fund</FONT></FONT></TD>

   <TD width="50%" noWrap align=left><I><FONT size=2 face=sans-serif>&nbsp;</FONT></I></TD></TR>

<TR vAlign=bottom>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>Multi-Cap Core Fund</FONT></TD>

   <TD width="50%" noWrap align=left><I><FONT size=2 face=sans-serif>State tax-free income funds:</FONT></I>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>Research Fund</FONT></TD>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>Arizona, California, Massachusetts, Michigan,</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="50%" noWrap align=left>&nbsp;</TD>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>Minnesota, New Jersey, New York, Ohio,</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="50%" noWrap align=left><B><FONT size=2 face=sans-serif>Value</FONT></B>&nbsp;</TD>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>and Pennsylvania.</FONT>&nbsp;</TD></TR>

<TR height=20>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif><FONT size=2 face=sans-serif>Convertible Securities Fund</FONT></FONT></TD>

   <TD width="50%" noWrap align=left><B><FONT size=2 face=sans-serif>&nbsp;</FONT></B></TD></TR>

<TR vAlign=bottom>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>Equity Income Fund</FONT></TD>

   <TD width="50%" noWrap align=left><B><FONT size=2 face=sans-serif>Absolute Return</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>George Putnam Balanced Fund</FONT></TD>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>Absolute Return 100 Fund</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>The Putnam Fund for Growth and Income</FONT></TD>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>Absolute Return 300 Fund</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>International Value Fund</FONT></TD>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>Absolute Return 500 Fund</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>Multi-Cap Value Fund</FONT></TD>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>Absolute Return 700 Fund</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>Small Cap Value Fund</FONT></TD>

   <TD width="50%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="50%" noWrap align=left></TD>

   <TD width="50%" noWrap align=left>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>* </FONT><B><FONT size=2 face=sans-serif>An investment in a money market fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the fund seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the fund.</FONT></B></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>106</FONT></P></DIV>

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<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="50%"></TD>

   <TD width="50%"></TD></TR>

<TR vAlign=bottom>

   <TD width="50%" noWrap align=left><B><FONT size=2 face=sans-serif>Global Sector</FONT></B>&nbsp;</TD>

   <TD width="50%" noWrap align=left><I><FONT size=2 face=sans-serif>Putnam RetirementReady Funds </FONT></I><FONT size=2 face=sans-serif>&#8212; portfolios</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>Global Consumer Fund</FONT>&nbsp;</TD>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>with automatically adjusting allocations to</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>Global Energy Fund</FONT>&nbsp;</TD>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>stocks, bonds, and money market instruments,</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>Global Financials Fund</FONT>&nbsp;</TD>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>becoming more conservative over time.</FONT>&nbsp;</TD></TR>

<TR height=20>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif><FONT size=2 face=sans-serif>Global Health Care Fund</FONT></FONT></TD>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>&nbsp;</FONT></TD></TR>

<TR vAlign=bottom>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>Global Industrials Fund</FONT></TD>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>RetirementReady 2055 Fund</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>Global Natural Resources Fund</FONT></TD>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>RetirementReady 2050 Fund</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>Global Sector Fund</FONT></TD>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>RetirementReady 2045 Fund</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>Global Technology Fund</FONT></TD>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>RetirementReady 2040 Fund</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>Global Telecommunications Fund</FONT></TD>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>RetirementReady 2035 Fund</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>Global Utilities Fund</FONT></TD>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>RetirementReady 2030 Fund</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="50%" noWrap align=left></TD>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>RetirementReady 2025 Fund</FONT>&nbsp;</TD></TR>

<TR height=20>

   <TD width="50%" noWrap align=left><B><FONT size=2 face=sans-serif><B><FONT size=2 face=sans-serif>Asset Allocation</FONT></B></FONT></B></TD>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif><FONT size=2 face=sans-serif>RetirementReady 2020 Fund</FONT></FONT></TD></TR>

<TR vAlign=bottom>

   <TD width="50%" noWrap align=left><I><FONT size=2 face=sans-serif>Putnam Asset Allocation Funds </FONT></I><FONT size=2 face=sans-serif>&#8212; portfolios</FONT></TD>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>RetirementReady 2015 Fund</FONT></TD></TR>

<TR vAlign=bottom>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>with allocations to stocks, bonds, and</FONT></TD>

   <TD width="50%" noWrap align=left></TD></TR>

<TR vAlign=bottom>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>money market instruments that are adjusted</FONT></TD>

   <TD width="50%" noWrap align=left><I><FONT size=2 face=sans-serif>Putnam Retirement Income Lifestyle</FONT></I>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>dynamically within specified ranges as</FONT></TD>

   <TD width="50%" noWrap align=left><I><FONT size=2 face=sans-serif>Funds </FONT></I><FONT size=2 face=sans-serif>&#8212; portfolios with managed</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>market conditions change.</FONT></TD>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>allocations to stocks, bonds, and money</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="50%" noWrap align=left>&nbsp;</TD>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>market investments to generate</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>Dynamic Asset Allocation Balanced Fund</FONT>&nbsp;</TD>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>retirement income.</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="50%" noWrap align=left><I><FONT size=1 face=sans-serif>Prior to November 30, 2011, this fund was known as</FONT></I>&nbsp;</TD>

   <TD width="50%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="50%" noWrap align=left><I><FONT size=1 face=sans-serif>Putnam Asset Allocation: Balanced Portfolio.</FONT></I>&nbsp;</TD>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>Retirement Income Fund Lifestyle 1</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>Dynamic Asset Allocation</FONT></TD>

   <TD width="50%" noWrap align=left><I><FONT size=1 face=sans-serif>Prior to June 16, 2011, this fund was known as</FONT></I>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>Conservative Fund</FONT></TD>

   <TD width="50%" noWrap align=left><I><FONT size=1 face=sans-serif>Putnam RetirementReady Maturity Fund.</FONT></I>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="50%" noWrap align=left><I><FONT size=1 face=sans-serif>Prior to November 30, 2011, this fund was known as</FONT></I></TD>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>Retirement Income Fund Lifestyle 2</FONT></TD></TR>

<TR vAlign=bottom>

   <TD width="50%" noWrap align=left><I><FONT size=1 face=sans-serif>Putnam Asset Allocation: Conservative Portfolio.</FONT></I></TD>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>Retirement Income Fund Lifestyle 3</FONT></TD></TR>

<TR vAlign=bottom>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>Dynamic Asset Allocation Growth Fund</FONT></TD>

   <TD width="50%" noWrap align=left><I><FONT size=1 face=sans-serif>Prior to June 16, 2011, this fund was known as</FONT></I></TD></TR>

<TR vAlign=bottom>

   <TD width="50%" noWrap align=left><I><FONT size=1 face=sans-serif>Prior to November 30, 2011, this fund was known as</FONT></I></TD>

   <TD width="50%" noWrap align=left></TD></TR>

<TR vAlign=bottom>

   <TD width="50%" noWrap align=left><I><FONT size=1 face=sans-serif>Putnam Asset Allocation: Growth Portfolio.</FONT></I>&nbsp;</TD>

   <TD width="50%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="50%" noWrap align=left><FONT size=2 face=sans-serif>Dynamic Risk Allocation Fund</FONT>&nbsp;</TD>

   <TD width="50%" noWrap align=left>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>A short-term trading fee of 1% may apply to redemptions or exchanges from certain funds within the time period specified in the fund's prospectus.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>Check your account balances and the most recent month-end performance in the Individual Investors section at putnam.com.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>107</FONT></P></DIV>

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<P style="TEXT-ALIGN: left"><B><FONT size=4 face=sans-serif>Services for shareholders</FONT></B></P>

<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Investor services</FONT></B></P>

<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Systematic investment plan </FONT></B><FONT size=2 face=sans-serif>Tell us how much you wish to invest regularly &#8212; weekly, semimonthly, or monthly &#8212; and the amount you choose will be transferred automatically from your checking or savings account. There&#8217;s no additional fee for this service, and you can suspend it at any time. This plan may be a great way to save for college expenses or to plan for your retirement.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Please note that regular investing does not guarantee a profit or protect against loss in a declining market. Before arranging a systematic investment plan, consider your financial ability to continue making purchases in periods when prices are low.</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Systematic exchange </FONT></B><FONT size=2 face=sans-serif>You can make regular transfers from one Putnam fund to another Putnam fund. There are no additional fees for this service, and you can cancel or change your options at any time.</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Dividends PLUS </FONT></B><FONT size=2 face=sans-serif>You can choose to have the dividend distributions from one of your Putnam funds automatically reinvested in another Putnam fund at no additional charge.</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Free exchange privilege </FONT></B><FONT size=2 face=sans-serif>You can exchange money between Putnam funds free of charge, as long as they are the same class of shares. A signature guarantee is required if you are exchanging more than $500,000. The fund reserves the right to revise or terminate the exchange privilege.</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Reinstatement privilege </FONT></B><FONT size=2 face=sans-serif>If you&#8217;ve sold Putnam shares or received a check for a dividend or capital gain, you may reinvest the proceeds with Putnam within 90 days of the transaction and they will be reinvested at the </FONT><FONT size=2 face=sans-serif>fund&#8217;s current net asset value &#8212; with no sales charge. However, reinstatement of class B shares may have special tax consequences. Ask your financial or tax representative for details.</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Check-writing service </FONT></B><FONT size=2 face=sans-serif>You have ready access to many Putnam accounts. It&#8217;s as simple as writing a check, and there are no special fees or service charges. For more information about the check-writing service, call Putnam or visit our website.</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Dollar cost averaging </FONT></B><FONT size=2 face=sans-serif>When you&#8217;re investing for long-term goals, it&#8217;s time, not timing, that counts. Investing on a systematic basis is a better strategy than trying to figure out when the markets will go up or down. This means investing the same amount of money regularly over a long period. This method of investing is called dollar cost averaging. When a fund&#8217;s share price declines, your investment dollars buy more shares at lower prices. When it increases, they buy fewer shares. Over time, you will pay a lower average price per share.</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>For more information</FONT></B></P>

<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Visit the Individual Investors section at putnam.com </FONT></B><FONT size=2 face=sans-serif>A secure section of our website contains complete information on your account, including balances and transactions, updated daily. You may also conduct transactions, such as exchanges, additional investments, and address changes. Log on today to get your password.</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Call us toll free at 1-800-225-1581 </FONT></B><FONT size=2 face=sans-serif>Ask a helpful Putnam representative or your financial advisor for details about any of these or other services, or see your prospectus.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>108</FONT></P></DIV>

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<P style="TEXT-ALIGN: left"><B><FONT size=4 face=sans-serif>Fund information</FONT></B></P>

<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>About Putnam Investments</FONT></B></P>

<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Founded over 70 years ago, Putnam Investments was built around the concept that a balance between risk and reward is the hallmark of a well-rounded financial program. We manage over 100 funds across income, value, blend, growth, asset allocation, absolute return, and global sector&nbsp;categories.</FONT></P>

<DIV align=left>

<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="33%"></TD>

   <TD width="33%"></TD>

   <TD width="33%"></TD></TR>

<TR vAlign=bottom>

   <TD width="33%" noWrap align=left><B><FONT size=2 face=sans-serif>Investment Manager</FONT></B>&nbsp;</TD>

   <TD width="33%" noWrap align=left><FONT size=2 face=sans-serif>Paul L. Joskow</FONT>&nbsp;</TD>

   <TD width="33%" noWrap align=left><FONT size=2 face=sans-serif>Mark C. Trenchard</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="33%" noWrap align=left><FONT size=2 face=sans-serif>Putnam Investment</FONT>&nbsp;</TD>

   <TD width="33%" noWrap align=left><FONT size=2 face=sans-serif>Kenneth R. Leibler</FONT>&nbsp;</TD>

   <TD width="33%" noWrap align=left><I><FONT size=2 face=sans-serif>Vice President and</FONT></I>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="33%" noWrap align=left><FONT size=2 face=sans-serif>Management, LLC</FONT>&nbsp;</TD>

   <TD width="33%" noWrap align=left><FONT size=2 face=sans-serif>Robert E. Patterson</FONT>&nbsp;</TD>

   <TD width="33%" noWrap align=left><I><FONT size=2 face=sans-serif>BSA Compliance Officer</FONT></I>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="33%" noWrap align=left><FONT size=2 face=sans-serif>One Post Office Square</FONT>&nbsp;</TD>

   <TD width="33%" noWrap align=left><FONT size=2 face=sans-serif>George Putnam, III</FONT>&nbsp;</TD>

   <TD width="33%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="33%" noWrap align=left><FONT size=2 face=sans-serif>Boston, MA 02109</FONT>&nbsp;</TD>

   <TD width="33%" noWrap align=left><FONT size=2 face=sans-serif>Robert L. Reynolds</FONT>&nbsp;</TD>

   <TD width="33%" noWrap align=left><FONT size=2 face=sans-serif>Robert T. Burns</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="33%" noWrap align=left>&nbsp;</TD>

   <TD width="33%" noWrap align=left><FONT size=2 face=sans-serif>W. Thomas Stephens</FONT>&nbsp;</TD>

   <TD width="33%" noWrap align=left><I><FONT size=2 face=sans-serif>Vice President and</FONT></I>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="33%" noWrap align=left><B><FONT size=2 face=sans-serif>Investment Sub-Manager</FONT></B>&nbsp;</TD>

   <TD width="33%" noWrap align=left>&nbsp;</TD>

   <TD width="33%" noWrap align=left><I><FONT size=2 face=sans-serif>Chief Legal Officer</FONT></I>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="33%" noWrap align=left><FONT size=2 face=sans-serif>Putnam Investments Limited</FONT>&nbsp;</TD>

   <TD width="33%" noWrap align=left><B><FONT size=2 face=sans-serif>Officers</FONT></B>&nbsp;</TD>

   <TD width="33%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="33%" noWrap align=left><FONT size=2 face=sans-serif>57&#8211;59 St James&#8217;s Street</FONT>&nbsp;</TD>

   <TD width="33%" noWrap align=left><FONT size=2 face=sans-serif>Robert L. Reynolds</FONT>&nbsp;</TD>

   <TD width="33%" noWrap align=left><FONT size=2 face=sans-serif>James P. Pappas</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="33%" noWrap align=left><FONT size=2 face=sans-serif>London, England SW1A 1LD</FONT>&nbsp;</TD>

   <TD width="33%" noWrap align=left><I><FONT size=2 face=sans-serif>President</FONT></I>&nbsp;</TD>

   <TD width="33%" noWrap align=left><I><FONT size=2 face=sans-serif>Vice President</FONT></I>&nbsp;</TD></TR>

<TR height=20>

   <TD width="33%" noWrap align=left><B><FONT size=2 face=sans-serif>&nbsp;</FONT></B></TD>

   <TD width="33%" noWrap align=left><FONT size=2 face=sans-serif>&nbsp;</FONT></TD>

   <TD width="33%" noWrap align=left><FONT size=2 face=sans-serif>&nbsp;</FONT></TD></TR>

<TR vAlign=bottom>

   <TD width="33%" noWrap align=left><B><FONT size=2 face=sans-serif>Marketing Services</FONT></B>&nbsp;</TD>

   <TD width="33%" noWrap align=left><FONT size=2 face=sans-serif>Jonathan S. Horwitz</FONT>&nbsp;</TD>

   <TD width="33%" noWrap align=left><FONT size=2 face=sans-serif>Judith Cohen</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="33%" noWrap align=left><FONT size=2 face=sans-serif>Putnam Retail Management</FONT>&nbsp;</TD>

   <TD width="33%" noWrap align=left><I><FONT size=2 face=sans-serif>Executive Vice President,</FONT></I>&nbsp;</TD>

   <TD width="33%" noWrap align=left><I><FONT size=2 face=sans-serif>Vice President, Clerk and</FONT></I>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="33%" noWrap align=left><FONT size=2 face=sans-serif>One Post Office Square</FONT>&nbsp;</TD>

   <TD width="33%" noWrap align=left><I><FONT size=2 face=sans-serif>Principal Executive</FONT></I>&nbsp;</TD>

   <TD width="33%" noWrap align=left><I><FONT size=2 face=sans-serif>Assistant Treasurer</FONT></I>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="33%" noWrap align=left><FONT size=2 face=sans-serif>Boston, MA 02109</FONT>&nbsp;</TD>

   <TD width="33%" noWrap align=left><I><FONT size=2 face=sans-serif>Officer, Treasurer and</FONT></I>&nbsp;</TD>

   <TD width="33%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="33%" noWrap align=left>&nbsp;</TD>

   <TD width="33%" noWrap align=left><I><FONT size=2 face=sans-serif>Compliance Liaison</FONT></I>&nbsp;</TD>

   <TD width="33%" noWrap align=left><FONT size=2 face=sans-serif>Michael Higgins</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="33%" noWrap align=left><B><FONT size=2 face=sans-serif>Custodian</FONT></B>&nbsp;</TD>

   <TD width="33%" noWrap align=left>&nbsp;</TD>

   <TD width="33%" noWrap align=left><I><FONT size=2 face=sans-serif>Vice President, Senior Associate</FONT></I>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="33%" noWrap align=left><FONT size=2 face=sans-serif>State Street Bank and Trust</FONT>&nbsp;</TD>

   <TD width="33%" noWrap align=left><FONT size=2 face=sans-serif>Steven D. Krichmar</FONT>&nbsp;</TD>

   <TD width="33%" noWrap align=left><I><FONT size=2 face=sans-serif>Treasurer and Assistant Clerk</FONT></I>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="33%" noWrap align=left><FONT size=2 face=sans-serif>Company</FONT>&nbsp;</TD>

   <TD width="33%" noWrap align=left><I><FONT size=2 face=sans-serif>Vice President and</FONT></I>&nbsp;</TD>

   <TD width="33%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="33%" noWrap align=left>&nbsp;</TD>

   <TD width="33%" noWrap align=left><I><FONT size=2 face=sans-serif>Principal Financial Officer</FONT></I></TD>

   <TD width="33%" noWrap align=left><FONT size=2 face=sans-serif>Nancy E. Florek</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="33%" noWrap align=left><B><FONT size=2 face=sans-serif>Legal Counsel</FONT></B>&nbsp;</TD>

   <TD width="33%" noWrap align=left>&nbsp;</TD>

   <TD width="33%" noWrap align=left><I><FONT size=2 face=sans-serif>Vice President, Assistant Clerk,</FONT></I>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="33%" noWrap align=left><FONT size=2 face=sans-serif>Ropes &amp; Gray LLP</FONT>&nbsp;</TD>

   <TD width="33%" noWrap align=left><FONT size=2 face=sans-serif>Janet C. Smith</FONT>&nbsp;</TD>

   <TD width="33%" noWrap align=left><I><FONT size=2 face=sans-serif>Assistant Treasurer and</FONT></I>&nbsp;</TD></TR>

<TR height=20>

   <TD width="33%" noWrap align=left><B><FONT size=2 face=sans-serif>&nbsp;</FONT></B></TD>

   <TD width="33%" noWrap align=left><I><FONT size=2 face=sans-serif><I><FONT size=2 face=sans-serif>Vice President, Assistant</FONT></I></FONT></I></TD>

   <TD width="33%" noWrap align=left><I><FONT size=2 face=sans-serif><I><FONT size=2 face=sans-serif>Proxy Manager</FONT></I></FONT></I></TD></TR>

<TR vAlign=bottom>

   <TD width="33%" noWrap align=left><B><FONT size=2 face=sans-serif>Independent Registered</FONT></B>&nbsp;</TD>

   <TD width="33%" noWrap align=left><I><FONT size=2 face=sans-serif>Treasurer and Principal</FONT></I></TD>

   <TD width="33%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="33%" noWrap align=left><B><FONT size=2 face=sans-serif>Public Accounting Firm</FONT></B>&nbsp;</TD>

   <TD width="33%" noWrap align=left><I><FONT size=2 face=sans-serif>Accounting Officer</FONT></I></TD>

   <TD width="33%" noWrap align=left><FONT size=2 face=sans-serif>Susan G. Malloy</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="33%" noWrap align=left><FONT size=2 face=sans-serif>KPMG LLP</FONT>&nbsp;</TD>

   <TD width="33%" noWrap align=left>&nbsp;</TD>

   <TD width="33%" noWrap align=left><I><FONT size=2 face=sans-serif>Vice President and</FONT></I>&nbsp;</TD></TR>

<TR height=20>

   <TD width="33%" noWrap align=left><B><FONT size=2 face=sans-serif>&nbsp;</FONT></B></TD>

   <TD width="33%" noWrap align=left><FONT size=2 face=sans-serif><FONT size=2 face=sans-serif>Beth S. Mazor</FONT></FONT></TD>

   <TD width="33%" noWrap align=left><I><FONT size=2 face=sans-serif><I><FONT size=2 face=sans-serif>Assistant Treasurer</FONT></I></FONT></I></TD></TR>

<TR vAlign=bottom>

   <TD width="33%" noWrap align=left><B><FONT size=2 face=sans-serif>Trustees</FONT></B>&nbsp;</TD>

   <TD width="33%" noWrap align=left><I><FONT size=2 face=sans-serif>Vice President</FONT></I></TD>

   <TD width="33%" noWrap align=left></TD></TR>

<TR vAlign=bottom>

   <TD width="33%" noWrap align=left><FONT size=2 face=sans-serif>Jameson A. Baxter, </FONT><I><FONT size=2 face=sans-serif>Chair</FONT></I>&nbsp;</TD>

   <TD width="33%" noWrap align=left>&nbsp;</TD>

   <TD width="33%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="33%" noWrap align=left><FONT size=2 face=sans-serif>Ravi Akhoury</FONT>&nbsp;</TD>

   <TD width="33%" noWrap align=left><FONT size=2 face=sans-serif>Robert R. Leveille</FONT>&nbsp;</TD>

   <TD width="33%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="33%" noWrap align=left><FONT size=2 face=sans-serif>Barbara M. Baumann</FONT>&nbsp;</TD>

   <TD width="33%" noWrap align=left><I><FONT size=2 face=sans-serif>Vice President and</FONT></I></TD>

   <TD width="33%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="33%" noWrap align=left><FONT size=2 face=sans-serif>Charles B. Curtis</FONT>&nbsp;</TD>

   <TD width="33%" noWrap align=left><I><FONT size=2 face=sans-serif>Chief Compliance Officer</FONT></I></TD>

   <TD width="33%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="33%" noWrap align=left><FONT size=2 face=sans-serif>Robert J. Darretta</FONT>&nbsp;</TD>

   <TD width="33%" noWrap align=left></TD>

   <TD width="33%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="33%" noWrap align=left><FONT size=2 face=sans-serif>John A. Hill</FONT>&nbsp;</TD>

   <TD width="33%" noWrap align=left>&nbsp;</TD>

   <TD width="33%" noWrap align=left>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Call 1-800-225-1581 Monday through Friday between 8:00 a.m. and 8:00 p.m. Eastern Time, or visit putnam.com anytime for up-to-date information about the fund&#8217;s NAV.</FONT></B></P></DIV>

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</DIV>
<p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><u><font color=black face=arial lang=EN-US style="font-size:10.0pt;">Item 2. Code of Ethics:</font></u></p><p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">&nbsp;</font></p><p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">(a) The Fund&#8217;s principal executive, financial and accounting officers are employees of Putnam Investment Management, LLC, the Fund's investment manager.&#160; As such they are subject to a comprehensive Code of Ethics adopted and administered by Putnam Investments which is designed to protect the interests of the firm and its clients.&#160; The Fund has adopted a Code of Ethics which incorporates the Code of Ethics of Putnam Investments with respect to all of its officers and Trustees who are employees of Putnam Investment Management, LLC.&#160; For this reason, the Fund has not adopted a separate code of ethics governing its principal executive, financial and accounting officers.</font></p><p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">(c) In May 2008, the Code of Ethics of Putnam
Investment Management, LLC was updated&#160; in its entirety to include the
amendments adopted in August 2007 as well as a several additional technical,
administrative and non-substantive changes.&#160; In May of 2009, the Code of Ethics
of Putnam Investment Management, LLC was amended to reflect that all employees
will now be subject to a 90-day blackout restriction on holding Putnam open-end
funds, except for portfolio managers and their supervisors (and each of their
immediate family members), who will be subject to a one-year blackout
restriction on the funds that they manage or supervise.&#160; In June 2010, the Code
of Ethics of Putnam Investments was updated in its entirety to include the
amendments adopted in May of 2009 and to change certain rules and limits
contained in the Code of Ethics.&#160; In addition, the updated Code of Ethics
included numerous technical, administrative and non-substantive changes, which
were intended primarily to make the document easier to navigate and understand. In July 2011, the Code
of Ethics of Putnam Investments was updated to reflect several technical,
administrative and non-substantive changes resulting from changes in employee
titles.</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=black face=arial lang=EN-US style="font-size:12.0pt;">&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160; &nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><u><font color=black face=arial lang=EN-US style="font-size:10.0pt;">Item 3. Audit Committee Financial Expert:</font></u></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-top:12.0pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">The Funds' Audit and
Compliance Committee is comprised solely of Trustees who are
&quot;independent&quot; (as such term has been defined by the Securities and
Exchange Commission (&quot;SEC&quot;) in regulations implementing Section 407
of the Sarbanes-Oxley Act (the &quot;Regulations&quot;)). The Trustees believe
that each of the members of the Audit and Compliance Committee also possess a
combination of knowledge and experience with respect to financial accounting
matters, as well as other attributes, that qualify them for service on the
Committee. In addition, the Trustees have determined that each of Mr. Leibler,
Mr. Hill, Mr. Darretta and Ms. Baumann qualifies as an &quot;audit committee
financial expert&quot; (as such term has been defined by the Regulations) based
on their review of his or her pertinent experience and education. The SEC has
stated that the designation or identification of a person as an audit committee
financial expert pursuant to this Item 3 of Form N-CSR does not impose on such
person any duties, obligations or liability that are greater than the duties,
obligations and liability imposed on such person as a member of the Audit and
Compliance Committee and the Board of Trustees in the absence of such
designation or identification.</font><font color=black face=arial lang=EN-US style="font-size:12.0pt;">
&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><u><font color=black face=arial lang=EN-US style="font-size:10.0pt;">Item 4. Principal Accountant Fees and Services:</font></u></p>

<h1 style="margin:0in;margin-bottom:.0001pt;page-break-after:avoid;"><font color=black face=Arial style="font-size:10.0pt;font-weight:normal;text-decoration:none;">The following table presents fees billed
in each of the last two fiscal years for services rendered to the fund by the
fund&#8217;s independent auditor:</font></h1>

<h1 style="margin:0in;margin-bottom:.0001pt;page-break-after:avoid;"><font color=black face=Arial style="font-size:10.0pt;font-weight:normal;text-decoration:none;">&nbsp;</font></h1>

<div align=left><table cellpadding=0 cellspacing=0 border=0 style="border:none;border-collapse:collapse;width:7in;">
 <tr>
  <td valign=bottom width=27% style="border:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">Fiscal </font></p>
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">year </font></p>
  <p style="margin:0in;margin-bottom:.0001pt;"><u><font color=windowtext face=arial style="font-size:10.0pt;">ended</font></u></p>
  </td>
 <td valign=bottom width=22% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;border-top:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">Audit </font></p>
  <p style="margin:0in;margin-bottom:.0001pt;"><u><font color=windowtext face=arial style="font-size:10.0pt;">Fees</font></u></p>
  </td>
 <td valign=bottom width=17% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;border-top:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">Audit-Related
  </font><u><font color=windowtext face=arial style="font-size:10.0pt;">Fees&nbsp;</font></u></p>
  </td>
 <td valign=bottom width=18% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;border-top:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">Tax </font></p>
  <p style="margin:0in;margin-bottom:.0001pt;"><u><font color=windowtext face=arial style="font-size:10.0pt;">Fees</font></u></p>
  </td>
 <td valign=bottom width=16% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;border-top:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">All Other
  </font><u><font color=windowtext face=arial style="font-size:10.0pt;">Fees&nbsp;</font></u></p>
  </td>
 </tr>
<tr>
  <td valign=bottom width=27% style="border-bottom:solid windowtext 1.0pt;border-left:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td valign=bottom width=22% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td valign=bottom width=17% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td valign=bottom width=18% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td valign=bottom width=16% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 </tr>
<tr>
  <td valign=bottom width=27% style="border-bottom:solid windowtext 1.0pt;border-left:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">September
  30, 2011</font></p>
  </td>
 <td valign=bottom width=22% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font face=arial style="font-size:10.0pt;">$92,504</font></p>
  </td>
 <td valign=bottom width=17% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font face=arial style="font-size:10.0pt;">$--</font></p>
  </td>
 <td valign=bottom width=18% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font face=arial style="font-size:10.0pt;">$6,100</font></p>
  </td>
 <td valign=bottom width=16% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font face=arial style="font-size:10.0pt;">$-</font></p>
  </td>
 </tr>
<tr>
  <td valign=bottom width=27% style="border-bottom:solid windowtext 1.0pt;border-left:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">September
  30, 2010</font></p>
  </td>
 <td valign=bottom width=22% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font face=arial style="font-size:10.0pt;">$84,585</font></p>
  </td>
 <td valign=bottom width=17% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font face=arial style="font-size:10.0pt;">$--</font></p>
  </td>
 <td valign=bottom width=18% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font face=arial style="font-size:10.0pt;">$5,800</font></p>
  </td>
 <td valign=bottom width=16% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font face=arial style="font-size:10.0pt;">$-</font></p>
  </td>
 </tr>
</table></div>


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<p style="margin:0in;margin-bottom:.0001pt;"><font face=Times lang=EN-US style="font-size:12.0pt;">&nbsp;</font></p>





</DIV>
</DIV><HR noshade align="center" width="100%" size=2><DIV STYLE="page-break-before: always">&nbsp;</div><a name="page_2"></a><a name="_bclPageBorder2"></a><DIV STYLE="WIDTH: 100%; PADDING-RIGHT: 0%; PADDING-LEFT: 0%">

<a name="_bclHeader2"></a><DIV>





<p style="margin:0in;margin-bottom:.0001pt;"><font face=Times lang=EN-US style="font-size:12.0pt;">&nbsp;</font></p>





</DIV>
<p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial lang=EN-US style="font-size:10.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial lang=EN-US style="font-size:10.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial lang=EN-US style="font-size:10.0pt;text-decoration:none;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=Arial lang=EN-US style="font-size:10.0pt;">For the fiscal years ended September 30, 2011 and
September 30, 2010, the fund&#8217;s independent auditor billed aggregate non-audit
fees in the amounts of </font><font face=Arial lang=EN-US style="font-size:10.0pt;">$6,100&nbsp;</font><font color=black face=Arial lang=EN-US style="font-size:10.0pt;"> and </font><font face=Arial lang=EN-US style="font-size:10.0pt;">$5,800&nbsp;</font><font color=black face=Arial lang=EN-US style="font-size:10.0pt;"> respectively, to the fund, Putnam Management
and any entity controlling, controlled by or under common control with Putnam
Management that provides ongoing services to the fund.</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial lang=EN-US style="font-size:10.0pt;text-decoration:none;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">Audit Fees represent fees billed for the fund's
last two fiscal years relating to the audit and review of the financial
statements included in annual reports and registration statements, and other
services that are normally provided in connection with statutory and regulatory
filings or engagements.</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial lang=EN-US style="font-size:10.0pt;">&#160;&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial lang=EN-US style="font-size:10.0pt;">Audit-Related
Fees represent fees
billed in the fund&#8217;s last two fiscal years for services traditionally performed
by the fund&#8217;s auditor, including accounting consultation for proposed
transactions or concerning financial accounting and reporting standards and
other audit or attest services not required by statute or regulation.&#160; </font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial lang=EN-US style="font-size:10.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial lang=EN-US style="font-size:10.0pt;">Tax Fees represent fees billed in the fund&#8217;s
last two fiscal years for tax compliance, tax planning and tax advice
services.&#160; Tax planning and tax advice services include assistance with tax
audits, employee benefit plans and requests for rulings or technical advice
from taxing authorities.</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial lang=EN-US style="font-size:10.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial lang=EN-US style="font-size:10.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial lang=EN-US style="font-size:10.0pt;">Pre-Approval
Policies of the Audit and Compliance Committee.&#160; The Audit and Compliance
Committee of the Putnam funds has determined that, as a matter of policy, all
work performed for the funds by the funds&#8217; independent auditors will be
pre-approved by the Committee itself and thus will generally not be subject to
pre-approval procedures.&#160; </font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial lang=EN-US style="font-size:10.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial lang=EN-US style="font-size:10.0pt;">The Audit
and Compliance Committee also has adopted a policy to pre-approve the
engagement by Putnam Management&#160; and certain of its affiliates of the funds&#8217;
independent auditors, even in circumstances where pre-approval is not required
by applicable law.&#160; Any such requests by Putnam Management or certain of its
affiliates are&#160; typically submitted in writing to the Committee and explain,
among other things, the nature of the proposed engagement, the estimated fees,
and why this work should be performed by that particular audit firm as opposed
to another one. In reviewing such requests, the Committee considers, among
other things, whether the provision of such services by the audit firm are
compatible with the independence of the audit firm.</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial lang=EN-US style="font-size:10.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial lang=EN-US style="font-size:10.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial lang=EN-US style="font-size:10.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial lang=EN-US style="font-size:10.0pt;">The
following table presents fees billed by the fund&#8217;s independent auditor for
services required to be approved pursuant to paragraph (c)(7)(ii) of Rule 2-01
of Regulation S-X.</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial lang=EN-US style="font-size:10.0pt;">&nbsp;</font></p>

<div align=left><table cellpadding=0 cellspacing=0 border=0 style="border:none;border-collapse:collapse;width:7in;">
 <tr>
  <td valign=bottom width=20% style="border:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">Fiscal </font></p>
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">year </font></p>
  <p style="margin:0in;margin-bottom:.0001pt;"><u><font color=windowtext face=arial style="font-size:10.0pt;">ended</font></u></p>
  </td>
 <td valign=bottom width=20% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;border-top:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">Audit-</font></p>
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">Related </font></p>
  <p style="margin:0in;margin-bottom:.0001pt;"><u><font color=windowtext face=arial style="font-size:10.0pt;">Fees</font></u></p>
  </td>
 <td valign=bottom width=20% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;border-top:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">Tax </font></p>
  <p style="margin:0in;margin-bottom:.0001pt;"><u><font color=windowtext face=arial style="font-size:10.0pt;">Fees</font></u></p>
  </td>
 <td valign=bottom width=20% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;border-top:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">All </font></p>
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">Other </font></p>
  <p style="margin:0in;margin-bottom:.0001pt;"><u><font color=windowtext face=arial style="font-size:10.0pt;">Fees</font></u></p>
  </td>
 <td valign=bottom width=20% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;border-top:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">Total </font></p>
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">Non-Audit
  </font></p>
  <p style="margin:0in;margin-bottom:.0001pt;"><u><font color=windowtext face=arial style="font-size:10.0pt;">Fees</font></u></p>
  </td>
 </tr>
<tr>
  <td valign=bottom width=20% style="border-bottom:solid windowtext 1.0pt;border-left:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:12.0pt;"> </font></p>
  </td>
 <td valign=bottom width=20% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td valign=bottom width=20% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td valign=bottom width=20% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td valign=bottom width=20% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 </tr>
<tr>
  <td valign=bottom width=20% style="border-bottom:solid windowtext 1.0pt;border-left:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:12.0pt;">September 30,</font><font color=windowtext face=arial style="font-size:10.0pt;"> 2011</font></p>
  </td>
 <td valign=bottom width=20% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font face=arial style="font-size:10.0pt;">$ -</font></p>
  </td>
 <td valign=bottom width=20% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font face=arial style="font-size:10.0pt;">$ -</font></p>
  </td>
 <td valign=bottom width=20% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font face=arial style="font-size:10.0pt;">$ -</font></p>
  </td>
 <td valign=bottom width=20% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font face=arial style="font-size:10.0pt;">$ -</font></p>
  </td>
 </tr>
<tr>
  <td valign=bottom width=20% style="border-bottom:solid windowtext 1.0pt;border-left:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td valign=bottom width=20% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td valign=bottom width=20% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td valign=bottom width=20% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td valign=bottom width=20% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 </tr>
<tr>
  <td valign=bottom width=20% style="border-bottom:solid windowtext 1.0pt;border-left:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:12.0pt;">September 30,</font><font color=windowtext face=arial style="font-size:10.0pt;">  2010</font></p>
  </td>
 <td valign=bottom width=20% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font face=arial style="font-size:10.0pt;">$ -</font></p>
  </td>
 <td valign=bottom width=20% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font face=arial style="font-size:10.0pt;">$ -</font></p>
  </td>
 <td valign=bottom width=20% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font face=arial style="font-size:10.0pt;">$ -</font></p>
  </td>
 <td valign=bottom width=20% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font face=arial style="font-size:10.0pt;">$ -</font></p>
  </td>
 </tr>
</table></div>

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<p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">&nbsp;</font></p>

<h1 style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;page-break-after:avoid;">&nbsp;</h1>
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<h1 style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;page-break-after:avoid;"><u><font color=black face=Arial style="font-size:10.0pt;font-weight:normal;">Item 5.&#160; Audit
Committee of Listed Registrants</font></u></h1>

<p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">(a)&#160; The fund has a separately-designated Audit
and Compliance Committee established in accordance with Section 3(a)(58)(A) of
the Securities Exchange Act of 1934, as amended.&#160; The Audit and Compliance
Committee of the fund's Board of Trustees is composed of the following persons:</font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">Kenneth R. Leibler (Chairperson)</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">Robert J. Darretta</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">John A. Hill</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">Barbara M. Baumann</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">Charles B. Curtis</font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">(b)&#160; Not applicable</font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><u><font color=black face=arial lang=EN-US style="font-size:10.0pt;">Item 6. Schedule of Investments: </font></u></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">The registrant&#8217;s schedule of investments in
unaffiliated issuers is included in the report to shareholders in Item 1 above.</font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><u><font color=black face=Arial lang=EN-US style="font-size:10.0pt;">Item 7. Disclosure of Proxy
Voting Policies and Procedures For Closed-End Management Investment Companies:</font></u></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">&nbsp;</font></p>

<p style="margin-bottom:12.0pt;margin-left:0in;margin-right:0in;margin-top:0in;page-break-after:avoid;text-align:center;"><b><font color=windowtext face=arial lang=EN-US style="font-size:14.0pt;">Proxy voting guidelines of
the Putnam funds</font></b></p>

<p style="margin-bottom:12.0pt;margin-left:0in;margin-right:0in;margin-top:0in;"><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">The proxy voting guidelines below
summarize the funds&#8217; positions on various issues of concern to investors, and
give a general indication of how fund portfolio securities will be voted on
proposals dealing with particular issues.&#160; The funds&#8217; proxy voting service is
instructed to vote all proxies relating to fund portfolio securities in accordance
with these guidelines, except as otherwise instructed by the Proxy Manager, a
member of the Office of the Trustees who is appointed to assist in the
coordination and voting of the funds&#8217; proxies.</font></p>

<p style="margin-bottom:12.0pt;margin-left:0in;margin-right:0in;margin-top:0in;"><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">The proxy voting guidelines are
just that &#8211; guidelines.&#160; The guidelines are not exhaustive and do not address
all potential voting issues.&#160; Because the circumstances of individual companies
are so varied, there may be instances when the funds do not vote in strict
adherence to these guidelines.&#160; For example, the proxy voting service is
expected to bring to the Proxy Manager&#8217;s attention proxy questions that are
company-specific and of a non-routine nature and that, even if covered by the
guidelines, may be more appropriately handled on a case-by-case basis.&#160; </font></p>

<p style="margin-bottom:12.0pt;margin-left:0in;margin-right:0in;margin-top:0in;"><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">Similarly, Putnam Management&#8217;s
investment professionals, as part of their ongoing review and analysis of all
fund portfolio holdings, are responsible for monitoring significant corporate
developments, including proxy proposals submitted to shareholders, and notifying
the Proxy Manager of circumstances where the interests of fund shareholders may
warrant a vote contrary to these guidelines.&#160; In such instances, the investment
professionals submit a written recommendation to the Proxy Manager and the
person or persons designated by Putnam Management&#8217;s Legal and Compliance
Department to assist in processing referral items under the funds&#8217; &#8220;Proxy
Voting Procedures.&#8221;&#160; The Proxy </font></p>
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<p style="margin-bottom:12.0pt;margin-left:0in;margin-right:0in;margin-top:0in;"><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">Manager, in consultation
with the funds&#8217; Senior Vice President, Executive Vice President, and/or the
Chair of the Board Policy and Nominating Committee, as appropriate, will
determine how the funds&#8217; proxies will be voted.&#160; When indicated, the Chair of
the Board Policy and Nominating Committee may consult with other members of the
Committee or the full Board of Trustees.</font></p>

<p style="margin-bottom:12.0pt;margin-left:0in;margin-right:0in;margin-top:0in;"><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">The following guidelines are
grouped according to the types of proposals generally presented to
shareholders.&#160; Part I deals with proposals submitted by management and approved
and recommended by a company&#8217;s board of directors.&#160; Part II deals with
proposals submitted by shareholders.&#160; Part III addresses unique considerations
pertaining to non-U.S. issuers.</font></p>

<p style="margin-bottom:12.0pt;margin-left:0in;margin-right:0in;margin-top:0in;"><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">The Trustees of the Putnam funds
are committed to promoting strong corporate governance practices and
encouraging corporate actions that enhance shareholder value through the
judicious voting of the funds&#8217; proxies.&#160; It is the funds&#8217; policy to vote their
proxies at all shareholder meetings where it is practicable to do so.&#160; In
furtherance of this, the funds&#8217; have requested that their securities lending
agent recall each domestic issuer&#8217;s voting securities that are on loan, in
advance of the record date for the issuer&#8217;s shareholder meetings, so that the
funds may vote at the meetings.</font></p>

<p style="margin-bottom:12.0pt;margin-left:0in;margin-right:0in;margin-top:0in;"><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">The Putnam funds will disclose
their proxy votes not later than August 31 of each year for the most recent
12-month period ended June 30, in accordance with the timetable established by
SEC rules.</font></p>

<p style="margin-bottom:12.0pt;margin-left:0in;margin-right:0in;margin-top:0in;page-break-after:avoid;"><b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;text-transform:uppercase;">I.&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160; Board-Approved
Proposals</font></b></p>

<p style="margin-bottom:12.0pt;margin-left:0in;margin-right:0in;margin-top:0in;"><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">The vast majority of matters
presented to shareholders for a vote involve proposals made by a company itself
(sometimes referred to as &#8220;management proposals&#8221;), which have been approved and
recommended by its board of directors.&#160; In view of the enhanced corporate
governance practices currently being implemented in public companies and of the
funds&#8217; intent to hold corporate boards accountable for their actions in
promoting shareholder interests, the funds&#8217; proxies generally will be voted </font><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">for</font></u></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">
the decisions reached by majority independent boards of directors, except as
otherwise indicated in these guidelines.&#160; Accordingly, the funds&#8217; proxies will
be voted </font><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">for</font></u></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;"> board-approved proposals, except as follows:</font></p>

<p style="margin-bottom:12.0pt;margin-left:0in;margin-right:0in;margin-top:0in;page-break-after:avoid;"><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">Matters relating to the Board
of Directors</font></u></b></p>

<p style="margin-bottom:12.0pt;margin-left:.5in;margin-right:0in;margin-top:0in;"><i><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">Uncontested Election of
Directors</font></i></p>

<p style="margin-bottom:12.0pt;margin-left:0in;margin-right:0in;margin-top:0in;"><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">The funds&#8217; proxies will be voted </font><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">for</font></u></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">
the election of a company&#8217;s nominees for the board of directors, except as
follows:</font></p>

<p style="margin:0in;margin-bottom:12.0pt;margin-left:.25in;margin-right:0in;margin-top:0in;page-break-after:avoid;text-indent:-.25in;"><font color=windowtext face=wingdings lang=EN-US style="font-size:12.0pt;">&gt;</font><font color=windowtext face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">The funds will </font><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">withhold
votes</font></u></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;"> from the entire board of directors if</font></p>

<p style="margin:0in;margin-bottom:12.0pt;margin-left:.75in;margin-right:0in;margin-top:0in;text-indent:-.25in;"><font color=windowtext face=symbol lang=EN-US style="font-size:12.0pt;">&#149;</font><font color=windowtext face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">the board does not have a
majority of independent directors,</font></p>


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<p style="margin:0in;margin-bottom:12.0pt;margin-left:.75in;margin-right:0in;margin-top:0in;text-indent:-.25in;"><font color=windowtext face=symbol lang=EN-US style="font-size:12.0pt;">&#149;</font><font color=windowtext face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">the board has not established
independent nominating, audit, and compensation committees,</font></p>

<p style="margin:0in;margin-bottom:12.0pt;margin-left:.75in;margin-right:0in;margin-top:0in;text-indent:-.25in;"><font color=windowtext face=symbol lang=EN-US style="font-size:12.0pt;">&#149;</font><font color=windowtext face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">the board has more than </font><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">19&nbsp;</font></u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">
members or fewer than </font><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">five&nbsp;</font></u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;"> members, absent special circumstances,</font></p>

<p style="margin:0in;margin-bottom:12.0pt;margin-left:.75in;margin-right:0in;margin-top:0in;text-indent:-.25in;"><font color=windowtext face=symbol lang=EN-US style="font-size:12.0pt;">&#149;</font><font color=windowtext face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">the board has not acted to
implement a policy requested in a shareholder proposal that received the
support of a majority of the shares of the company cast at its previous two
annual meetings, or</font></p>

<p style="margin:0in;margin-bottom:12.0pt;margin-left:.75in;margin-right:0in;margin-top:0in;text-indent:-.25in;"><font color=windowtext face=symbol lang=EN-US style="font-size:12.0pt;">&#149;</font><font color=windowtext face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">the board has adopted or renewed
a shareholder rights plan (commonly referred to as a &#8220;poison pill&#8221;) without
shareholder approval during the current or prior calendar year.</font></p>

<p style="margin:0in;margin-bottom:12.0pt;margin-left:.25in;margin-right:0in;margin-top:0in;text-indent:-.25in;"><font color=black face=wingdings lang=EN-US style="font-size:12.0pt;">&gt;</font><font color=black face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</font><font color=black face=arial lang=EN-US style="font-size:12.0pt;">The funds will on a </font><b><u><font color=black face=arial lang=EN-US style="font-size:12.0pt;">case-by-case
basis withhold votes</font></u></b><font color=black face=arial lang=EN-US style="font-size:12.0pt;"> from the entire board of directors, or from
particular directors as may be appropriate, if the board has approved
compensation arrangements for one or more company executives that the funds
determine are unreasonably excessive relative to the company&#8217;s performance or
has otherwise failed to observe good corporate governance practices.</font></p>

<p style="margin:0in;margin-bottom:12.0pt;margin-left:.25in;margin-right:0in;margin-top:0in;page-break-after:avoid;text-indent:-.25in;"><font color=windowtext face=wingdings lang=EN-US style="font-size:12.0pt;">&gt;</font><font color=windowtext face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">The funds will </font><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">withhold
votes</font></u></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;"> from any nominee for director:</font></p>

<p style="margin:0in;margin-bottom:12.0pt;margin-left:.75in;margin-right:0in;margin-top:0in;page-break-after:avoid;text-indent:-.25in;"><font color=windowtext face=symbol lang=EN-US style="font-size:12.0pt;">&#149;</font><font color=windowtext face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">who is considered an independent
director by the company and who has received compensation within the last three
years from the company other than for service as a director (</font><i><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">e.g.</font></i><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">,
investment banking, consulting, legal, or financial advisory fees),</font></p>

<p style="margin:0in;margin-bottom:12.0pt;margin-left:.75in;margin-right:0in;margin-top:0in;text-indent:-.25in;"><font color=windowtext face=symbol lang=EN-US style="font-size:12.0pt;">&#149;</font><font color=windowtext face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">who attends less than 75% of
board and committee meetings without valid reasons for the absences (</font><i><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">e.g.</font></i><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">,
illness, personal emergency, etc.), </font></p>

<p style="margin:0in;margin-bottom:12.0pt;margin-left:.75in;margin-right:0in;margin-top:0in;text-indent:-.25in;"><font color=windowtext face=symbol lang=EN-US style="font-size:12.0pt;">&#149;</font><font color=windowtext face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">of a public company (Company A)
who is employed as a senior executive of another company (Company B), if a
director of Company B serves as a senior executive of Company A (commonly
referred to as an &#8220;interlocking directorate&#8221;), or</font></p>

<p style="margin:0in;margin-bottom:12.0pt;margin-left:.75in;margin-right:0in;margin-top:0in;text-indent:-.25in;"><font color=windowtext face=symbol lang=EN-US style="font-size:12.0pt;">&#149;</font><font color=windowtext face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">who serves on more than </font><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">five&nbsp;</font></u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">
unaffiliated public company boards (for the purpose of this guideline, boards
of affiliated registered investment companies will count as one board).</font></p>

<p style="margin-bottom:12.0pt;margin-left:0in;margin-right:0in;margin-top:0in;"><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">Commentary</font></u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">:&nbsp;</font></p>

<p style="margin-bottom:12.0pt;margin-left:0in;margin-right:0in;margin-top:0in;"><b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">Board independence</font></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">:&#160; Unless otherwise indicated, for the purposes of
determining whether a board has a majority of independent directors and
independent nominating, audit, and compensation committees, an &#8220;independent
director&#8221; is a director who (1) meets all requirements to serve as an
independent </font></p>
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<p style="margin-bottom:12.0pt;margin-left:0in;margin-right:0in;margin-top:0in;"><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">director of a company under the NYSE
Corporate Governance Rules (</font><i><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">e.g.</font></i><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">, no material business relationships
with the company and no present or recent employment relationship with the
company including employment of an immediate family member as an executive officer),
and (2) has not within the last three years accepted directly or indirectly any
consulting, advisory, or other compensatory fee from the company other than in
his or her capacity as a member of the board of directors or any board
committee.&#160; The funds&#8217; Trustees believe that the recent (</font><i><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">i.e.</font></i><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">, within
the last three years) receipt of any amount of compensation for services other
than service as a director raises significant independence issues.</font></p>

<p style="margin-bottom:12.0pt;margin-left:0in;margin-right:0in;margin-top:0in;"><b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">Board size</font></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">:&#160; The funds&#8217; Trustees believe that the size of the
board of directors can have a direct impact on the ability of the board to
govern effectively.&#160; Boards that have too many members can be unwieldy and
ultimately inhibit their ability to oversee management performance.&#160; Boards
that have too few members can stifle innovation and lead to excessive influence
by management.</font></p>

<p style="margin-bottom:12.0pt;margin-left:0in;margin-right:0in;margin-top:0in;"><b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">Time commitment</font></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">:&#160; Being a director of a company requires a
significant time commitment to adequately prepare for and attend the company&#8217;s
board and committee meetings.&#160; Directors must be able to commit the time and
attention necessary to perform their fiduciary duties in proper fashion,
particularly in times of crisis.&#160; The funds&#8217; Trustees are concerned about
over-committed directors.&#160; In some cases, directors may serve on too many
boards to make a meaningful contribution.&#160; This may be particularly true for
senior executives of public companies (or other directors with substantially
full-time employment) who serve on more than a few outside boards.&#160; The funds
may withhold votes from such directors on a case-by-case basis where it appears
that they may be unable to discharge their duties properly because of excessive
commitments. </font></p>

<p style="margin-bottom:12.0pt;margin-left:0in;margin-right:0in;margin-top:0in;"><b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">Interlocking directorships</font></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">:&#160; The funds&#8217; Trustees believe that interlocking
directorships are inconsistent with the degree of independence required for
outside directors of public companies.</font></p>

<p style="margin-bottom:12.0pt;margin-left:0in;margin-right:0in;margin-top:0in;"><b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">Corporate governance practices</font></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">:&#160; Board independence depends not only on its
members&#8217; individual relationships, but also on the board&#8217;s overall attitude
toward management.&#160; Independent boards are committed to good corporate
governance practices and, by providing objective independent judgment,
enhancing shareholder value.&#160; The funds may withhold votes on a case-by-case
basis from some or all directors who, through their lack of independence or
otherwise, have failed to observe good corporate governance practices or,
through specific corporate action, have demonstrated a disregard for the
interests of shareholders.&#160; Such instances may include cases where a board of
directors has approved compensation arrangements for one or more members of
management that, in the judgment of the funds&#8217; Trustees, are excessive by
reasonable corporate standards relative to the company&#8217;s record of performance.</font></p>

<p style="margin-bottom:12.0pt;margin-left:.5in;margin-right:0in;margin-top:0in;"><i><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">Contested Elections of
Directors</font></i></p>


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</font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">The funds will vote on a </font><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">case-by-case
basis</font></u></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;"> in contested elections of directors.</font></p>

<p style="margin-bottom:12.0pt;margin-left:.5in;margin-right:0in;margin-top:0in;"><i><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">Classified Boards</font></i></p>

<p style="margin:0in;margin-bottom:12.0pt;margin-left:.25in;margin-right:0in;margin-top:0in;text-indent:-.25in;"><font color=windowtext face=wingdings lang=EN-US style="font-size:12.0pt;">&gt;</font><font color=windowtext face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">The funds will vote </font><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">against</font></u></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;"> proposals
to classify a board, absent special circumstances indicating that shareholder
interests would be better served by this structure.</font></p>

<p style="margin-bottom:12.0pt;margin-left:0in;margin-right:0in;margin-top:0in;"><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">Commentary</font></u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">:&#160; Under a typical classified board structure, the
directors are divided into three classes, with each class serving a three-year
term.&#160; The classified board structure results in directors serving staggered
terms, with usually only a third of the directors up for re-election at any
given annual meeting.&#160; The funds&#8217; Trustees generally believe that it is
appropriate for directors to stand for election each year, but recognize that,
in special circumstances, shareholder interests may be better served under a
classified board structure.</font></p>

<p style="margin-bottom:12.0pt;margin-left:.5in;margin-right:0in;margin-top:0in;"><i><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">Other Board-Related Proposals</font></i></p>

<p style="margin-bottom:12.0pt;margin-left:0in;margin-right:0in;margin-top:0in;"><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">The funds will generally vote </font><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">for</font></u></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">
proposals that have been approved by a majority independent board, and on a </font><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">case-by-case
basis</font></u></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;"> on proposals that have been approved by a board that fails to meet
the guidelines&#8217; basic independence standards (</font><i><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">i.e.</font></i><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">, majority of
independent directors and independent nominating, audit, and compensation
committees).</font></p>

<p style="margin-bottom:12.0pt;margin-left:0in;margin-right:0in;margin-top:0in;page-break-after:avoid;"><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">Executive Compensation</font></u></b></p>

<p style="margin-bottom:12.0pt;margin-left:0in;margin-right:0in;margin-top:0in;"><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">The funds generally favor
compensation programs that relate executive compensation to a company&#8217;s
long-term performance.&#160; The funds will vote on a </font><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">case-by-case basis</font></u></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">
on board-approved proposals relating to executive compensation, except as
follows:</font></p>

<p style="margin:0in;margin-bottom:12.0pt;margin-left:.25in;margin-right:0in;margin-top:0in;text-indent:-.25in;"><font color=windowtext face=wingdings lang=EN-US style="font-size:12.0pt;">&gt;</font><font color=windowtext face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">Except where the funds are otherwise withholding
votes for the entire board of directors, the funds will vote </font><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">for</font></u></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">
stock option and restricted stock plans that will result in an average </font><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">annual&nbsp;</font></u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">
dilution of 1.67% or less (based on the disclosed term of the plan and
including all equity-based plans).</font></p>

<p style="margin:0in;margin-bottom:12.0pt;margin-left:.25in;margin-right:0in;margin-top:0in;text-indent:-.25in;"><font color=windowtext face=wingdings lang=EN-US style="font-size:12.0pt;">&gt;</font><font color=windowtext face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">The funds will vote </font><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">against</font></u></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;"> stock
option and restricted stock plans that will result in an average </font><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">annual&nbsp;</font></u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">
dilution of greater than 1.67% (based on the disclosed term of the plan and
including all equity-based plans).</font></p>

<p style="margin:0in;margin-bottom:12.0pt;margin-left:.25in;margin-right:0in;margin-top:0in;text-indent:-.25in;"><font color=windowtext face=wingdings lang=EN-US style="font-size:12.0pt;">&gt;</font><font color=windowtext face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">The funds will vote </font><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">against</font></u></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;"> any stock
option or restricted stock plan where the company&#8217;s actual grants of stock
options and restricted stock under all equity-based compensation plans during
the prior three (3) fiscal years have resulted in an average annual dilution of
greater than 1.67%.</font></p>


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<p style="margin:0in;margin-bottom:12.0pt;margin-left:.25in;margin-right:0in;margin-top:0in;text-indent:-.25in;"><font color=windowtext face=wingdings lang=EN-US style="font-size:12.0pt;">&gt;</font><font color=windowtext face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">The funds will vote </font><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">against</font></u></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">
stock option plans that permit the replacing or repricing of underwater options
(and against any proposal to authorize a replacement or repricing of underwater
options).</font></p>

<p style="margin:0in;margin-bottom:12.0pt;margin-left:.25in;margin-right:0in;margin-top:0in;text-indent:-.25in;"><font color=windowtext face=wingdings lang=EN-US style="font-size:12.0pt;">&gt;</font><font color=windowtext face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">The funds will vote </font><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">against</font></u></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;"> stock
option plans that permit issuance of options with an exercise price below the
stock&#8217;s current market price.</font></p>

<p style="margin:0in;margin-bottom:12.0pt;margin-left:.25in;margin-right:0in;margin-top:0in;text-indent:-.25in;"><font color=windowtext face=wingdings lang=EN-US style="font-size:12.0pt;">&gt;</font><font color=windowtext face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">Except where the funds are otherwise withholding
votes for the entire board of directors, the funds will vote </font><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">for</font></u></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">
an employee stock purchase plan that has
the following features:&#160; (1) the shares purchased under the plan are acquired
for no less than 85% of their market value; (2) the offering period under the
plan is 27 months or less; and (3) dilution is 10% or less.</font></p>

<p style="margin:0in;margin-bottom:12.0pt;margin-left:.25in;margin-right:0in;margin-top:0in;text-indent:-.25in;"><font color=windowtext face=wingdings lang=EN-US style="font-size:12.0pt;">&gt;</font><font color=windowtext face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">The funds will vote </font><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">for</font></u></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;"> proposals to
approve a company&#8217;s executive compensation program (</font><i><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">i.e.,&nbsp;</font></i><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;"> &#8220;say on pay&#8221;
proposals in which the company&#8217;s board proposes that shareholders indicate
their support for the company&#8217;s compensation philosophy, policies, and
practices), except that the funds will vote on a </font><b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">case-by-case basis</font></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;"> if
the company is assigned to the lowest category, through independent third party
benchmarking performed by the funds&#8217; proxy voting service, for the correlation
of the company&#8217;s executive compensation program with its performance.</font><b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;"> &nbsp;</font></b></p>

<p style="margin:0in;margin-bottom:12.0pt;margin-left:.25in;margin-right:0in;margin-top:0in;text-indent:-.25in;"><font color=windowtext face=wingdings lang=EN-US style="font-size:12.0pt;">&gt;</font><font color=windowtext face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">The funds will vote </font><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">for</font></u></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">
bonus plans under which payments are treated as performance-based compensation
that is deductible under Section 162(m) of the Internal Revenue Code of 1986,
as amended, except that the funds will vote on a </font><b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">case-by-case basis</font></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;"> if
any of the following circumstances exist:</font></p>

<p style="margin-bottom:6.0pt;margin-left:.75in;margin-right:0in;margin-top:0in;text-indent:-.25in;"><font color=windowtext face=symbol lang=EN-US style="font-size:12.0pt;">&#149;</font><font color=windowtext face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">the award pool or amount per
employee under the plan is unlimited, or</font></p>

<p style="margin-bottom:6.0pt;margin-left:.75in;margin-right:0in;margin-top:0in;text-indent:-.25in;"><font color=windowtext face=symbol lang=EN-US style="font-size:12.0pt;">&#149;</font><font color=windowtext face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">the plan&#8217;s performance criteria
is undisclosed, or</font></p>

<p style="margin-bottom:6.0pt;margin-left:.75in;margin-right:0in;margin-top:0in;text-indent:-.25in;"><font color=windowtext face=symbol lang=EN-US style="font-size:12.0pt;">&#149;</font><font color=windowtext face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">the company is assigned to the
lowest category, through independent third party benchmarking performed by the
funds&#8217; proxy voting service, for the correlation of the company&#8217;s executive
compensation program with its performance.&#160;&#160;&#160;&#160;&#160;&#160; </font></p>

<p style="margin-bottom:12.0pt;margin-left:0in;margin-right:0in;margin-top:0in;"><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">Commentary</font></u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">:&#160; Companies should have compensation programs that
are reasonable and that align shareholder and management interests over the
longer term.&#160; Further, disclosure of compensation programs should provide
absolute transparency to shareholders regarding the sources and amounts of, and
the factors influencing, executive compensation.&#160; Appropriately designed
equity-based compensation plans can be an effective way to align the interests
of long-term shareholders with the interests of management.&#160; However, the funds
may vote against these or other executive compensation proposals on a
case-by-case basis where compensation is excessive by reasonable corporate
standards, where a company fails to provide transparent disclosure of executive
compensation, or, in some instances, where independent third-party benchmarking
indicates that compensation is inadequately correlated with performance,
relative to peer companies.&#160; (Examples of excessive executive </font></p>
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<p style="margin-bottom:12.0pt;margin-left:0in;margin-right:0in;margin-top:0in;"><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">compensation may include, but are not limited to, equity
incentive plans that exceed the dilution criteria noted above, excessive
perquisites, performance-based compensation programs that do not properly
correlate reward and performance, &#8220;golden parachutes&#8221; or other severance
arrangements that present conflicts between management&#8217;s interests and the
interests of shareholders, and &#8220;golden coffins&#8221; or unearned death benefits.)&#160;
In voting on a proposal relating to executive compensation, the funds will
consider whether the proposal has been approved by an independent compensation
committee of the board.&#160; </font></p>

<p style="margin-bottom:12.0pt;margin-left:0in;margin-right:0in;margin-top:0in;page-break-after:avoid;"><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">Capitalization</font></u></b></p>

<p style="margin-bottom:12.0pt;margin-left:0in;margin-right:0in;margin-top:0in;"><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">Many proxy proposals involve
changes in a company&#8217;s capitalization, including the authorization of
additional stock, the issuance of stock, the repurchase of outstanding stock,
or the approval of a stock split.&#160; The management of a company&#8217;s capital
structure involves a number of important issues, including cash flow, financing
needs, and market conditions that are unique to the circumstances of the
company.&#160; As a result, the funds will vote on a </font><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">case-by-case basis</font></u></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">
on board-approved proposals involving changes to a company&#8217;s capitalization,
except that where the funds are not otherwise withholding votes from the entire
board of directors:</font></p>

<p style="margin:0in;margin-bottom:12.0pt;margin-left:.25in;margin-right:0in;margin-top:0in;text-indent:-.25in;"><font color=windowtext face=wingdings lang=EN-US style="font-size:12.0pt;">&gt;</font><font color=windowtext face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">The funds will vote </font><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">for</font></u></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;"> proposals
relating to the authorization and issuance of additional common stock (except
where such proposals relate to a specific transaction).</font></p>

<p style="margin:0in;margin-bottom:12.0pt;margin-left:.25in;margin-right:0in;margin-top:0in;text-indent:-.25in;"><font color=windowtext face=wingdings lang=EN-US style="font-size:12.0pt;">&gt;</font><font color=windowtext face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">The funds will vote </font><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">for</font></u></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;"> proposals to
effect stock splits (excluding reverse stock splits).</font></p>

<p style="margin:0in;margin-bottom:12.0pt;margin-left:.25in;margin-right:0in;margin-top:0in;text-indent:-.25in;"><font color=windowtext face=wingdings lang=EN-US style="font-size:12.0pt;">&gt;</font><font color=windowtext face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">The funds will vote </font><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">for</font></u></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;"> proposals
authorizing share repurchase programs.</font></p>

<p style="margin-bottom:12.0pt;margin-left:0in;margin-right:0in;margin-top:0in;"><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">Commentary</font></u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">:&#160; A company may decide to authorize additional
shares of common stock for reasons relating to executive compensation or for
routine business purposes.&#160; For the most part, these decisions are best left to
the board of directors and senior management.&#160; The funds will vote on a
case-by-case basis, however, on other proposals to change a company&#8217;s
capitalization, including the authorization of common stock with special voting
rights, the authorization or issuance of common stock in connection with a
specific transaction (</font><i><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">e.g.</font></i><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">, an acquisition, merger or reorganization),
or the authorization or issuance of preferred stock.&#160; Actions such as these
involve a number of considerations that may affect a shareholder&#8217;s investment
and that warrant a case-by-case determination.</font></p>

<p style="margin-bottom:12.0pt;margin-left:0in;margin-right:0in;margin-top:0in;page-break-after:avoid;"><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">Acquisitions, Mergers,
Reincorporations, Reorganizations and Other Transactions</font></u></b></p>

<p style="margin-bottom:12.0pt;margin-left:0in;margin-right:0in;margin-top:0in;"><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">Shareholders may be confronted
with a number of different types of transactions, including acquisitions,
mergers, reorganizations involving business combinations, liquidations, and the
sale of all or substantially all of a company&#8217;s assets, which </font></p>
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<p style="margin-bottom:12.0pt;margin-left:0in;margin-right:0in;margin-top:0in;"><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">may require their consent.&#160; Voting on such proposals
involves considerations unique to each transaction.&#160; As a result, the funds
will vote on a </font><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">case-by-case basis</font></u></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;"> on board-approved proposals to
effect these types of transactions, except as follows:</font></p>

<p style="margin:0in;margin-bottom:12.0pt;margin-left:.25in;margin-right:0in;margin-top:0in;text-indent:-.25in;"><font color=windowtext face=wingdings lang=EN-US style="font-size:12.0pt;">&gt;</font><font color=windowtext face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">The funds will vote </font><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">for</font></u></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;"> mergers and
reorganizations involving business combinations designed solely to
reincorporate a company in Delaware.</font></p>

<p style="margin-bottom:12.0pt;margin-left:0in;margin-right:0in;margin-top:0in;"><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">Commentary</font></u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">:&#160; A company may reincorporate into another state
through a merger or reorganization by setting up a &#8220;shell&#8221; company in a
different state and then merging the company into the new company.&#160; While
reincorporation into states with extensive and established corporate laws &#8211;
notably Delaware &#8211; provides companies and shareholders with a more well-defined
legal framework, shareholders must carefully consider the reasons for a
reincorporation into another jurisdiction, including especially an offshore
jurisdiction.</font></p>

<p style="margin-bottom:12.0pt;margin-left:0in;margin-right:0in;margin-top:0in;page-break-after:avoid;"><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">Anti-Takeover Measures</font></u></b></p>

<p style="margin-bottom:12.0pt;margin-left:0in;margin-right:0in;margin-top:0in;"><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">Some proxy proposals involve
efforts by management to make it more difficult for an outside party to take
control of the company without the approval of the company&#8217;s board of
directors.&#160; These include the adoption of a shareholder rights plan, requiring
supermajority voting on particular issues, the adoption of fair price
provisions, the issuance of blank check preferred stock, and the creation of a
separate class of stock with disparate voting rights.&#160; Such proposals may
adversely affect shareholder rights, lead to management entrenchment, or create
conflicts of interest.&#160; As a result, the funds will vote </font><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">against</font></u></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">
board-approved proposals to adopt such anti-takeover measures, except as
follows:</font></p>

<p style="margin:0in;margin-bottom:12.0pt;margin-left:.25in;margin-right:0in;margin-top:0in;text-indent:-.25in;"><font color=windowtext face=wingdings lang=EN-US style="font-size:12.0pt;">&gt;</font><font color=windowtext face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">The funds will vote on a </font><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">case-by-case basis</font></u></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">
on proposals to ratify or approve shareholder rights plans; and</font></p>

<p style="margin:0in;margin-bottom:12.0pt;margin-left:.25in;margin-right:0in;margin-top:0in;text-indent:-.25in;"><font color=windowtext face=wingdings lang=EN-US style="font-size:12.0pt;">&gt;</font><font color=windowtext face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">The funds will vote on a </font><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">case-by-case basis</font></u></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">
on proposals to adopt fair price provisions.</font></p>

<p style="margin-bottom:12.0pt;margin-left:0in;margin-right:0in;margin-top:0in;"><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">Commentary</font></u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">:&#160; The funds&#8217; Trustees recognize that poison pills
and fair price provisions may enhance or protect shareholder value under
certain circumstances.&#160; For instance, where a company has incurred significant
operating losses, a shareholder rights plan may be appropriately tailored to protect
shareholder value by preserving a company&#8217;s net operating losses.&#160; Thus, the
funds will consider proposals to approve such matters on a case-by-case basis.</font></p>

<p style="margin-bottom:12.0pt;margin-left:0in;margin-right:0in;margin-top:0in;page-break-after:avoid;"><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">Other Business Matters</font></u></b></p>

<p style="margin-bottom:12.0pt;margin-left:0in;margin-right:0in;margin-top:0in;"><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">Many proxies involve approval of
routine business matters, such as changing a company&#8217;s name, ratifying the
appointment of auditors, and procedural matters relating to the shareholder
meeting.&#160; For the most part, these routine matters do not materially affect
shareholder interests and are best left to the board of </font></p>
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<p style="margin-bottom:12.0pt;margin-left:0in;margin-right:0in;margin-top:0in;"><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">directors
and senior management of the company.&#160; The funds will vote </font><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">for</font></u></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">
board-approved proposals approving such matters, except as follows:</font></p>

<p style="margin:0in;margin-bottom:12.0pt;margin-left:.25in;margin-right:0in;margin-top:0in;text-indent:-.25in;"><font color=windowtext face=wingdings lang=EN-US style="font-size:12.0pt;">&gt;</font><font color=windowtext face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">The funds will vote on a </font><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">case-by-case basis</font></u></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">
on proposals to amend a company&#8217;s charter or bylaws (except for charter
amendments necessary to effect stock splits, to change a company&#8217;s name or to
authorize additional shares of common stock).</font></p>

<p style="margin:0in;margin-bottom:12.0pt;margin-left:.25in;margin-right:0in;margin-top:0in;text-indent:-.25in;"><font color=windowtext face=wingdings lang=EN-US style="font-size:12.0pt;">&gt;</font><font color=windowtext face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">The funds will vote </font><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">against</font></u></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">
authorization to transact other unidentified, substantive business at the
meeting.</font></p>

<p style="margin:0in;margin-bottom:12.0pt;margin-left:.25in;margin-right:0in;margin-top:0in;text-indent:-.25in;"><font color=windowtext face=wingdings lang=EN-US style="font-size:12.0pt;">&gt;</font><font color=windowtext face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">The funds will vote on a </font><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">case-by-case basis</font></u></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">
on proposals to ratify the selection of independent auditors if there is
evidence that the audit firm&#8217;s independence or the integrity of an audit is
compromised.</font></p>

<p style="margin:0in;margin-bottom:12.0pt;margin-left:.25in;margin-right:0in;margin-top:0in;text-indent:-.25in;"><font color=windowtext face=wingdings lang=EN-US style="font-size:12.0pt;">&gt;</font><font color=windowtext face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">The funds will vote on a </font><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">case-by-case basis</font></u></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">
on other business matters where the funds are otherwise withholding votes for
the entire board of directors.</font></p>

<p style="margin-bottom:12.0pt;margin-left:0in;margin-right:0in;margin-top:0in;"><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">Commentary</font></u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">:&#160; Charter and bylaw amendments and the transaction
of other unidentified, substantive business at a shareholder meeting may
directly affect shareholder rights and have a significant impact on shareholder
value.&#160; As a result, the funds do not view these items as routine business
matters.&#160; Putnam Management&#8217;s investment professionals and the funds&#8217; proxy
voting service may also bring to the Proxy Manager&#8217;s attention company-specific
items that they believe to be non-routine and warranting special
consideration.&#160; Under these circumstances, the funds will vote on a
case-by-case basis.</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">The fund&#8217;s proxy voting
service may identify circumstances that call into question an audit firm&#8217;s
independence or the integrity of an audit.&#160; These circumstances may include
recent material restatements of financials, unusual audit fees, egregious
contractual relationships, and aggressive accounting policies.&#160; The funds will
consider proposals to ratify the selection of auditors in these circumstances
on a case-by-case basis.&#160; In all other cases, given the existence of rules that
enhance the independence of audit committees and auditors by, for example,
prohibiting auditors from performing a range of non-audit services for audit
clients, the funds will vote for the ratification of independent auditors.</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">&nbsp;</font></p>

<p style="margin-bottom:12.0pt;margin-left:0in;margin-right:0in;margin-top:0in;page-break-after:avoid;"><b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;text-transform:uppercase;">II.&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160; Shareholder
Proposals</font></b></p>

<p style="margin-bottom:12.0pt;margin-left:0in;margin-right:0in;margin-top:0in;"><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">SEC regulations permit
shareholders to submit proposals for inclusion in a company&#8217;s proxy statement.&#160;
These proposals generally seek to change some aspect of the company&#8217;s corporate
governance structure or to change some aspect of its business operations.&#160; The
funds generally will vote </font><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">in accordance with the recommendation of the
company&#8217;s board of directors</font></u></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;"> on all shareholder proposals, except as
follows:</font></p>


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<p style="margin:0in;margin-bottom:12.0pt;margin-left:.25in;margin-right:0in;margin-top:0in;text-indent:-.25in;"><font color=windowtext face=wingdings lang=EN-US style="font-size:12.0pt;">&gt;</font><font color=windowtext face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">The funds will vote on a </font><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">case-by-case
basis</font></u></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;"> on shareholder proposals requiring that the chairman&#8217;s position
be filled by someone other than the chief executive officer.</font></p>

<p style="margin:0in;margin-bottom:12.0pt;margin-left:.25in;margin-right:0in;margin-top:0in;text-indent:-.25in;"><font color=windowtext face=wingdings lang=EN-US style="font-size:12.0pt;">&gt;</font><font color=windowtext face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">The funds will vote </font><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">for</font></u></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;"> shareholder
proposals asking that director nominees receive support from holders of a
majority of votes cast or a majority of shares outstanding in order to be
(re)elected.</font></p>

<p style="margin:0in;margin-bottom:12.0pt;margin-left:.25in;margin-right:0in;margin-top:0in;text-indent:-.25in;"><font color=windowtext face=wingdings lang=EN-US style="font-size:12.0pt;">&gt;</font><font color=windowtext face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">The funds will vote </font><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">for</font></u></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;"> shareholder
proposals to declassify a board, absent special circumstances which would
indicate that shareholder interests are better served by a classified board
structure.</font></p>

<p style="margin:0in;margin-bottom:12.0pt;margin-left:.25in;margin-right:0in;margin-top:0in;text-indent:-.25in;"><font color=windowtext face=wingdings lang=EN-US style="font-size:12.0pt;">&gt;</font><font color=windowtext face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">The funds will vote </font><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">for</font></u></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;"> shareholder
proposals to eliminate supermajority vote requirements in the company&#8217;s charter
documents.</font></p>

<p style="margin:0in;margin-bottom:12.0pt;margin-left:.25in;margin-right:0in;margin-top:0in;text-indent:-.25in;"><font color=windowtext face=wingdings lang=EN-US style="font-size:12.0pt;">&gt;</font><font color=windowtext face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">The funds will vote </font><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">for</font></u></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;"> shareholder
proposals to require shareholder approval of shareholder rights plans.</font></p>

<p style="margin:0in;margin-bottom:12.0pt;margin-left:.25in;margin-right:0in;margin-top:0in;text-indent:-.25in;"><font color=windowtext face=wingdings lang=EN-US style="font-size:12.0pt;">&gt;</font><font color=windowtext face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">The funds will vote </font><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">for</font></u></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;"> shareholder
proposals requiring companies to make cash payments under management severance
agreements only if both of the following conditions are met:</font></p>

<p style="margin:0in;margin-bottom:12.0pt;margin-left:.75in;margin-right:0in;margin-top:0in;text-indent:-.25in;"><font color=windowtext face=symbol lang=EN-US style="font-size:12.0pt;">&#149;</font><font color=windowtext face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">the company undergoes a change in
control, and</font></p>

<p style="margin:0in;margin-bottom:12.0pt;margin-left:.75in;margin-right:0in;margin-top:0in;text-indent:-.25in;"><font color=windowtext face=symbol lang=EN-US style="font-size:12.0pt;">&#149;</font><font color=windowtext face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">the change in control results in
the termination of employment for the person receiving the severance payment.</font></p>

<p style="margin:0in;margin-bottom:12.0pt;margin-left:.25in;margin-right:0in;margin-top:0in;text-indent:-.25in;"><font color=windowtext face=wingdings lang=EN-US style="font-size:12.0pt;">&gt;</font><font color=windowtext face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">The funds will vote </font><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">on a case-by-case basis</font></u></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">
on shareholder proposals requiring companies to accelerate vesting of equity
awards under management severance agreements only if both of the following
conditions are met:</font></p>

<p style="margin:0in;margin-bottom:12.0pt;margin-left:.75in;margin-right:0in;margin-top:0in;text-indent:-.25in;"><font color=windowtext face=symbol lang=EN-US style="font-size:12.0pt;">&#149;</font><font color=windowtext face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">the company undergoes a change in
control, and</font></p>

<p style="margin:0in;margin-bottom:12.0pt;margin-left:.75in;margin-right:0in;margin-top:0in;text-indent:-.25in;"><font color=windowtext face=symbol lang=EN-US style="font-size:12.0pt;">&#149;</font><font color=windowtext face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">the change in control results in
the termination of employment for the person receiving the severance payment.</font></p>

<p style="margin:0in;margin-bottom:12.0pt;margin-left:.25in;margin-right:0in;margin-top:0in;text-indent:-.25in;"><font color=windowtext face=wingdings lang=EN-US style="font-size:12.0pt;">&gt;</font><font color=windowtext face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">The funds will vote </font><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">on a case-by-case basis</font></u></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">
on shareholder proposals to limit a company&#8217;s ability to make excise tax
gross-up payments under management severance agreements.</font></p>

<p style="margin:0in;margin-bottom:12.0pt;margin-left:.25in;margin-right:0in;margin-top:0in;text-indent:-.25in;"><font color=windowtext face=wingdings lang=EN-US style="font-size:12.0pt;">&gt;</font><font color=windowtext face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">The funds will vote </font><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">on a case-by-case basis</font></u></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">
on shareholder proposals requesting that the board adopt a policy to recoup, in
the event of a significant restatement of financial results or significant
extraordinary write-off, to the fullest extent practicable, for the benefit of
the company, all performance-based bonuses or awards that were paid to senior
executives based on the company having met or exceeded specific performance
targets to the extent that the specific performance targets were not, in fact,
met.</font></p>


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<p style="margin:0in;margin-bottom:12.0pt;margin-left:.25in;margin-right:0in;margin-top:0in;text-indent:-.25in;"><font color=windowtext face=wingdings lang=EN-US style="font-size:12.0pt;">&gt;</font><font color=windowtext face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">The funds will vote </font><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">for</font></u></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">
shareholder proposals calling for the company to obtain shareholder approval
for any future golden coffins or unearned death benefits (payments or awards of
unearned salary or bonus, accelerated vesting or the continuation of unvested
equity awards, perquisites or other payments or awards in respect of an executive
following his or her death), and </font><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">for</font></u></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;"> shareholder proposals
calling for the company to cease providing golden coffins or unearned death
benefits. </font></p>

<p style="margin:0in;margin-bottom:12.0pt;margin-left:.25in;margin-right:0in;margin-top:0in;text-indent:-.25in;"><font color=windowtext face=wingdings lang=EN-US style="font-size:12.0pt;">&gt;</font><font color=windowtext face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">The funds will vote </font><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">for</font></u></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;"> shareholder
proposals requiring a company to report on its executive retirement benefits (</font><i><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">e.g.</font></i><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">,
deferred compensation, split-dollar life insurance, SERPs and pension
benefits).</font></p>

<p style="margin:0in;margin-bottom:12.0pt;margin-left:.25in;margin-right:0in;margin-top:0in;text-indent:-.25in;"><font color=windowtext face=wingdings lang=EN-US style="font-size:12.0pt;">&gt;</font><font color=windowtext face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">The funds will vote </font><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">for</font></u></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;"> shareholder
proposals requiring a company to disclose its relationships with executive
compensation consultants (</font><i><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">e.g.</font></i><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">, whether the company, the board or the
compensation committee retained the consultant, the types of services provided
by the consultant over the past five years, and a list of the consultant&#8217;s
clients on which any of the company&#8217;s executives serve as a director).</font></p>

<p style="margin:0in;margin-bottom:12.0pt;margin-left:.25in;margin-right:0in;margin-top:0in;text-indent:-.25in;"><font color=windowtext face=wingdings lang=EN-US style="font-size:12.0pt;">&gt;</font><font color=windowtext face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">The funds will vote </font><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">for</font></u></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;"> shareholder
proposals that are consistent with the funds&#8217; proxy voting guidelines for
board-approved proposals.</font></p>

<p style="margin:0in;margin-bottom:12.0pt;margin-left:.25in;margin-right:0in;margin-top:0in;text-indent:-.25in;"><font color=windowtext face=wingdings lang=EN-US style="font-size:12.0pt;">&gt;</font><font color=windowtext face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">The funds will vote on a </font><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">case-by-case basis</font></u></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">
on other shareholder proposals where the funds are otherwise withholding votes
for the entire board of directors.</font></p>

<p style="margin-bottom:12.0pt;margin-left:0in;margin-right:0in;margin-top:0in;"><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">Commentary</font></u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">:&#160; In light of the substantial reforms in corporate
governance that are currently underway, the funds&#8217; Trustees believe that
effective corporate reforms should be promoted by holding boards of directors &#8211;
and in particular their independent directors &#8211; accountable for their actions,
rather than by imposing additional legal restrictions on board governance
through piecemeal proposals.&#160; Generally speaking, shareholder proposals
relating to business operations are often motivated primarily by political or
social concerns, rather than the interests of shareholders as investors in an
economic enterprise.&#160; As stated above, the funds&#8217; Trustees believe that boards
of directors and management are responsible for ensuring that their businesses
are operating in accordance with high legal and ethical standards and should be
held accountable for resulting corporate behavior.&#160; Accordingly, the funds will
generally support the recommendations of boards that meet the basic independence
and governance standards established in these guidelines.&#160; Where boards fail to
meet these standards, the funds will generally evaluate shareholder proposals
on a case-by-case basis.&#160; The funds will also consider proposals requiring that
the chairman&#8217;s position be filled by someone other than the company&#8217;s chief
executive officer on a case-by-case basis, recognizing that in some cases this
separation may advance the company&#8217;s corporate governance while in other cases
it may be less necessary to the sound governance of the company.&#160; The funds
will take into account the </font></p>
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<p style="margin-bottom:12.0pt;margin-left:0in;margin-right:0in;margin-top:0in;"><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">level of independent
leadership on a company&#8217;s board in evaluating these proposals.</font></p>

<p style="margin-bottom:12.0pt;margin-left:0in;margin-right:0in;margin-top:0in;"><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">However, the funds generally
support shareholder proposals to implement majority voting for directors,
observing that majority voting is an emerging standard intended to encourage
directors to be attentive to shareholders&#8217; interests.&#160; The funds also generally
support shareholder proposals to declassify a board, to eliminate supermajority
vote requirements, or to require shareholder approval of shareholder rights
plans.&#160; The funds&#8217; Trustees believe that these shareholder proposals further
the goals of reducing management entrenchment and conflicts of interest, and
aligning management&#8217;s interests with shareholders&#8217; interests in evaluating
proposed acquisitions of the company.&#160; The Trustees also believe that
shareholder proposals to limit severance payments may further these goals in
some instances.&#160; In general, the funds favor arrangements in which severance
payments are made to an executive only when there is a change in control and
the executive loses his or her job as a result.&#160; Arrangements in which an
executive receives a payment upon a change of control even if the executive
retains employment introduce potential conflicts of interest and may distract
management focus from the long term success of the company.</font></p>

<p style="margin-bottom:12.0pt;margin-left:0in;margin-right:0in;margin-top:0in;"><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">In evaluating shareholder
proposals that address severance payments, the funds distinguish between cash
and equity payments.&#160; The funds generally do not favor cash payments to
executives upon a change in control transaction if the executive retains
employment.&#160; However, the funds recognize that accelerated vesting of equity
incentives, even without termination of employment, may help to align
management and shareholder interests in some instances, and will evaluate
shareholder proposals addressing accelerated vesting of equity incentive
payments on a case-by-case basis.</font></p>

<p style="margin-bottom:12.0pt;margin-left:0in;margin-right:0in;margin-top:0in;"><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">When severance payments exceed a
certain amount based on the executive&#8217;s previous compensation, the payments may
be subject to an excise tax.&#160; Some compensation arrangements provide for full
excise tax gross-ups, which means that the company pays the executive
sufficient additional amounts to cover the cost of the excise tax.&#160; The funds
are concerned that the benefits of providing full excise tax gross-ups to
executives may be outweighed by the cost to the company of the gross-up
payments.&#160; Accordingly, the funds will vote on a case-by-case basis on
shareholder proposals to curtail excise tax gross-up payments.&#160; The funds
generally favor arrangements in which severance payments do not trigger an
excise tax or in which the company&#8217;s obligations with respect to gross-up
payments are limited in a reasonable manner.</font></p>

<p style="margin-bottom:12.0pt;margin-left:0in;margin-right:0in;margin-top:0in;"><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">The funds&#8217; Trustees believe that
performance-based compensation can be an effective tool for aligning management
and shareholder interests.&#160; However, to fulfill its purpose, performance
compensation should only be paid to executives if the performance targets are
actually met.&#160; A significant restatement of financial results or a significant
extraordinary write-off may reveal that executives who </font></p>
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<p style="margin-bottom:12.0pt;margin-left:0in;margin-right:0in;margin-top:0in;"><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">were
previously paid performance compensation did not actually deliver the required
business performance to earn that compensation.&#160; In these circumstances, it may
be appropriate for the company to recoup this performance compensation.&#160; The
funds will consider on a case-by-case basis shareholder proposals requesting
that the board adopt a policy to recoup, in the event of a significant
restatement of financial results or significant extraordinary write-off,
performance-based bonuses or awards paid to senior executives based on the
company having met or exceeded specific performance targets to the extent that
the specific performance targets were not, in fact, met.&#160; The funds do not
believe that such a policy should necessarily disadvantage a company in
recruiting executives, as executives should understand that they are only
entitled to performance compensation based on the actual performance they deliver.</font></p>

<p style="margin-bottom:12.0pt;margin-left:0in;margin-right:0in;margin-top:0in;"><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">The funds&#8217; Trustees disfavor
golden coffins or unearned death benefits, and the funds will generally support
shareholder proposals to restrict or terminate these practices.&#160; The Trustees
will also consider whether a company&#8217;s overall compensation arrangements,
taking all of the pertinent circumstances into account, constitute excessive
compensation or otherwise reflect poorly on the corporate governance practices
of the company.&#160; As the Trustees evaluate these matters, they will be mindful
of evolving practices and legislation relevant to executive compensation and
corporate governance.</font></p>

<p style="margin-bottom:12.0pt;margin-left:0in;margin-right:0in;margin-top:0in;"><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">The funds&#8217; Trustees also believe
that shareholder proposals that are intended to increase transparency,
particularly with respect to executive compensation, without establishing rigid
restrictions upon a company&#8217;s ability to attract and motivate talented
executives, are generally beneficial to sound corporate governance without
imposing undue burdens.&#160; The funds will generally support shareholder proposals
calling for reasonable disclosure.</font></p>

<p style="margin-bottom:12.0pt;margin-left:0in;margin-right:0in;margin-top:0in;page-break-after:avoid;"><b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;text-transform:uppercase;">III.&#160;&#160;&#160;&#160;&#160;&#160;&#160; Voting Shares of
NON-U.S. Issuers</font></b></p>

<p style="margin-bottom:12.0pt;margin-left:0in;margin-right:0in;margin-top:0in;"><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">Many of the Putnam funds invest
on a global basis, and, as a result, they may hold, and have an opportunity to
vote, shares in non-U.S. issuers &#8211; i.e., issuers that are incorporated under
the laws of foreign jurisdictions and whose shares are not listed on a U.S.
securities exchange or the NASDAQ stock market. </font></p>

<p style="margin-bottom:12.0pt;margin-left:0in;margin-right:0in;margin-top:0in;"><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">In many non-U.S. markets,
shareholders who vote proxies of a non-U.S. issuer are not able to trade in
that company&#8217;s stock on or around the shareholder meeting date.&#160; This practice
is known as &#8220;share blocking.&#8221;&#160; In countries where share blocking is practiced,
the funds will vote proxies only with direction from Putnam Management&#8217;s
investment professionals.&#160; </font></p>

<p style="margin-bottom:12.0pt;margin-left:0in;margin-right:0in;margin-top:0in;"><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">In addition, some non-U.S.
markets require that a company&#8217;s shares be re-registered out of the name of the
local custodian or nominee into the name of the shareholder for the shareholder
to be able to vote at the meeting.&#160; This practice is known as &#8220;share
re-registration.&#8221;&#160; As a result, shareholders, including the funds, are not able
to trade in that company&#8217;s stock until the shares are re-</font></p>
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<p style="margin-bottom:12.0pt;margin-left:0in;margin-right:0in;margin-top:0in;"><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">registered
back in the name of the local custodian or nominee following the meeting.&#160; In
countries where share re-registration is practiced, the funds will generally
not vote proxies.</font></p>

<p style="margin-bottom:12.0pt;margin-left:0in;margin-right:0in;margin-top:0in;"><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">Protection for shareholders of
non-U.S. issuers may vary significantly from jurisdiction to jurisdiction.&#160;
Laws governing non-U.S. issuers may, in some cases, provide substantially less
protection for shareholders than do U.S. laws.&#160; As a result, the guidelines
applicable to U.S. issuers, which are premised on the existence of a sound
corporate governance and disclosure framework, may not be appropriate under
some circumstances for non-U.S. issuers.&#160; However, the funds will vote proxies
of non-U.S. issuers </font><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">in accordance with the guidelines applicable to U.S.
issuers</font></u></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">, except as follows:</font></p>

<p style="margin-bottom:12.0pt;margin-left:0in;margin-right:0in;margin-top:0in;page-break-after:avoid;"><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">Uncontested Board Elections</font></u></b></p>

<p style="margin-bottom:12.0pt;margin-left:.5in;margin-right:0in;margin-top:0in;"><i><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">Germany</font></i></p>

<p style="margin:0in;margin-bottom:12.0pt;margin-left:.5in;margin-right:0in;margin-top:0in;text-indent:-.5in;"><font color=windowtext face=wingdings lang=EN-US style="font-size:12.0pt;">&gt;</font><font color=windowtext face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">For companies subject to
&#8220;co-determination,&#8221; the funds will vote on a </font><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">case by- case basis</font></u></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">
for the election of nominees to the supervisory board.</font></p>

<p style="margin:0in;margin-bottom:12.0pt;margin-left:.5in;margin-right:0in;margin-top:0in;text-indent:-.5in;"><font color=windowtext face=wingdings lang=EN-US style="font-size:12.0pt;">&gt;</font><font color=windowtext face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">The funds will </font><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">withhold
votes</font></u></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;"> for the election of a former member of the company&#8217;s managerial
board to chair of the supervisory board.</font></p>

<p style="margin-bottom:12.0pt;margin-left:0in;margin-right:0in;margin-top:0in;"><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">Commentary</font></u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">:&#160; German corporate governance is characterized by a
two-tier board system&#8212;a managerial board composed of the company&#8217;s executive
officers, and a supervisory board.&#160; The supervisory board appoints the members
of the managerial board.&#160; Shareholders elect members of the supervisory board,
except that in the case of companies with more than 2,000 employees, company
employees are allowed to elect half of the supervisory board members.&#160; This
&#8220;co-determination&#8221; practice may increase the chances that the supervisory board
of a large German company does not contain a majority of independent members.&#160;
In this situation, under the Fund&#8217;s proxy voting guidelines applicable to U.S.
issuers, the funds would vote against all nominees.&#160; However, in the case of
companies subject to &#8220;co-determination,&#8221; the Funds will vote for supervisory
board members on a case-by-case basis, so that the funds can support
independent nominees.</font></p>

<p style="margin-bottom:12.0pt;margin-left:0in;margin-right:0in;margin-top:0in;"><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">Consistent with the funds&#8217; belief
that the interests of shareholders are best protected by boards with strong,
independent leadership, the funds will withhold votes for the election of
former chairs of the managerial board to chair of the supervisory board.</font></p>

<p style="margin-bottom:12.0pt;margin-left:.5in;margin-right:0in;margin-top:0in;"><i><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">Japan</font></i></p>

<p style="margin:0in;margin-bottom:12.0pt;margin-left:.5in;margin-right:0in;margin-top:0in;text-indent:-.5in;"><font color=windowtext face=wingdings lang=EN-US style="font-size:12.0pt;">&gt;</font><font color=windowtext face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">For companies that have
established a U.S.-style corporate governance structure, the funds will </font><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">withhold
votes</font></u></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;"> from the entire board of directors if</font></p>

<p style="margin:0in;margin-bottom:12.0pt;margin-left:1.0in;margin-right:0in;margin-top:0in;text-indent:-.25in;"><font color=windowtext face=symbol lang=EN-US style="font-size:12.0pt;">&#149;</font><font color=windowtext face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">the board does not have a
majority of </font><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">outside directors</font></u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">,&nbsp;</font></p>


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<p style="margin:0in;margin-bottom:12.0pt;margin-left:1.0in;margin-right:0in;margin-top:0in;text-indent:-.25in;"><font color=windowtext face=symbol lang=EN-US style="font-size:12.0pt;">&#149;</font><font color=windowtext face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">the board has not established
nominating and compensation committees composed of a majority of </font><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">outside
directors</font></u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">, or</font></p>

<p style="margin:0in;margin-bottom:12.0pt;margin-left:1.0in;margin-right:0in;margin-top:0in;text-indent:-.25in;"><font color=windowtext face=symbol lang=EN-US style="font-size:12.0pt;">&#149;</font><font color=windowtext face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">the board has not established an
audit committee composed of a majority of </font><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">independent directors</font></u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">.&nbsp;</font></p>

<p style="margin:0in;margin-bottom:12.0pt;margin-left:.5in;margin-right:0in;margin-top:0in;text-indent:-.5in;"><font color=windowtext face=wingdings lang=EN-US style="font-size:12.0pt;">&gt;</font><font color=windowtext face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">The funds will </font><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">withhold
votes</font></u></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;"> for the appointment of members of a company&#8217;s board of statutory
auditors if a majority of the members of the board of statutory auditors is not
independent.</font></p>

<p style="margin-bottom:12.0pt;margin-left:0in;margin-right:0in;margin-top:0in;"><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">Commentary</font></u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">:&#160; &nbsp;</font></p>

<p style="margin-bottom:12.0pt;margin-left:0in;margin-right:0in;margin-top:0in;"><b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">Board structure</font></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">:&#160; Recent amendments to the Japanese Commercial Code
give companies the option to adopt a U.S.-style corporate governance structure
(</font><i><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">i.e.</font></i><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">, a board of directors and audit, nominating, and compensation
committees).&#160; The funds will vote </font><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">for</font></u></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;"> proposals to amend a
company&#8217;s articles of incorporation to adopt the U.S.-style corporate
structure.</font></p>

<p style="margin-bottom:12.0pt;margin-left:0in;margin-right:0in;margin-top:0in;"><b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">Definition of outside director
and independent director</font></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">:&#160; Corporate
governance principles in Japan focus on the distinction between outside
directors and independent directors.&#160; Under these principles, an outside director
is a director who is not and has never been a director, executive, or employee
of the company or its parent company, subsidiaries or affiliates.&#160; An outside
director is &#8220;independent&#8221; if that person can make decisions completely
independent from the managers of the company, its parent, subsidiaries, or
affiliates and does not have a material relationship with the company (</font><i><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">i.e.</font></i><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">,
major client, trading partner, or other business relationship; familial
relationship with current director or executive; etc.).&#160; The guidelines have
incorporated these definitions in applying the board independence standards
above. </font></p>

<p style="margin-bottom:12.0pt;margin-left:.5in;margin-right:0in;margin-top:0in;"><i><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">Korea</font></i></p>

<p style="margin:0in;margin-bottom:12.0pt;margin-left:0in;margin-right:0in;margin-top:0in;text-indent:0in;"><font color=windowtext face=wingdings lang=EN-US style="font-size:12.0pt;">&gt;</font><font color=windowtext face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">The funds will </font><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">withhold
votes</font></u></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;"> from the entire board of directors if</font></p>

<p style="margin:0in;margin-bottom:12.0pt;margin-left:1.0in;margin-right:0in;margin-top:0in;text-indent:-.25in;"><font color=windowtext face=symbol lang=EN-US style="font-size:12.0pt;">&#149;</font><font color=windowtext face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">the board does not have a
majority of outside directors,</font></p>

<p style="margin:0in;margin-bottom:12.0pt;margin-left:1.0in;margin-right:0in;margin-top:0in;text-indent:-.25in;"><font color=windowtext face=symbol lang=EN-US style="font-size:12.0pt;">&#149;</font><font color=windowtext face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">the board has not established a
nominating committee composed of at least a majority of outside directors, or</font></p>

<p style="margin:0in;margin-bottom:12.0pt;margin-left:1.0in;margin-right:0in;margin-top:0in;text-indent:-.25in;"><font color=windowtext face=symbol lang=EN-US style="font-size:12.0pt;">&#149;</font><font color=windowtext face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">the board has not established an
audit committee composed of at least three members and in which at least
two-thirds of its members are outside directors.</font></p>

<p style="margin-bottom:12.0pt;margin-left:0in;margin-right:0in;margin-top:0in;"><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">Commentary</font></u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">:&#160;&#160; For purposes of these guidelines, an &#8220;outside
director&#8221; is a director that is independent from the management or controlling
shareholders of the company, and holds no interests that might impair
performing his or her duties impartially from the company, management or
controlling shareholder.&#160; In determining whether a director is an outside
director, the funds will also apply the </font></p>
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<p style="margin-bottom:12.0pt;margin-left:0in;margin-right:0in;margin-top:0in;"><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">standards
included in Article 415-2(2) of the Korean Commercial Code (</font><i><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">i.e.</font></i><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">, no
employment relationship with the company for a period of two years before
serving on the committee, no director or employment relationship with the
company&#8217;s largest shareholder, etc.) and may consider other business
relationships that would affect the independence of an outside director.</font></p>

<p style="margin-bottom:12.0pt;margin-left:.5in;margin-right:0in;margin-top:0in;"><i><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">Russia</font></i></p>

<p style="margin:0in;margin-bottom:12.0pt;margin-left:.5in;margin-right:0in;margin-top:0in;text-indent:-.5in;"><font color=windowtext face=wingdings lang=EN-US style="font-size:12.0pt;">&gt;</font><font color=windowtext face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">The funds will vote on a </font><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">case-by-case
basis</font></u></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;"> for the election of nominees to the board of directors.</font></p>

<p style="margin-bottom:12.0pt;margin-left:0in;margin-right:0in;margin-top:0in;"><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">Commentary</font></u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">:&#160; In Russia, director elections are typically
handled through a cumulative voting process.&#160; Cumulative voting allows
shareholders to cast all of their votes for a single nominee for the board of
directors, or to allocate their votes among nominees in any other way.&#160; In
contrast, in &#8220;regular&#8221; voting, shareholders may not give more than one vote per
share to any single nominee.&#160; Cumulative voting can help to strengthen the
ability of minority shareholders to elect a director.</font></p>

<p style="margin-bottom:12.0pt;margin-left:0in;margin-right:0in;margin-top:0in;"><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">In Russia, as in some other
emerging markets, standards of corporate governance are usually behind those in
developed markets.&#160; Rather than vote against the entire board of directors, as
the funds generally would in the case of a company whose board fails to meet
the funds&#8217; standards for independence, the funds may, on a case by case basis,
cast all of their votes for one or more independent director nominees.&#160; The
funds believe that it is important to increase the number of independent
directors on the boards of Russian companies to mitigate the risks associated
with dominant shareholders.</font></p>

<p style="margin-bottom:12.0pt;margin-left:0in;margin-right:0in;margin-top:0in;text-indent:.5in;"><i><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">United
Kingdom</font></i></p>

<p style="margin:0in;margin-bottom:12.0pt;margin-left:0in;margin-right:0in;margin-top:0in;text-indent:0in;"><font color=windowtext face=wingdings lang=EN-US style="font-size:12.0pt;">&gt;</font><font color=windowtext face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">The funds will </font><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">withhold
votes</font></u></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;"> from the entire board of directors if</font></p>

<p style="margin:0in;margin-bottom:12.0pt;margin-left:1.0in;margin-right:0in;margin-top:0in;text-indent:-.25in;"><font color=windowtext face=symbol lang=EN-US style="font-size:12.0pt;">&#149;</font><font color=windowtext face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">the board does not have at least
a majority of independent non-executive directors,</font></p>

<p style="margin:0in;margin-bottom:12.0pt;margin-left:1.0in;margin-right:0in;margin-top:0in;text-indent:-.25in;"><font color=windowtext face=symbol lang=EN-US style="font-size:12.0pt;">&#149;</font><font color=windowtext face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">the board has not established a
nomination committee composed of a majority of independent non-executive
directors, or</font></p>

<p style="margin:0in;margin-bottom:12.0pt;margin-left:1.0in;margin-right:0in;margin-top:0in;text-indent:-.25in;"><font color=windowtext face=symbol lang=EN-US style="font-size:12.0pt;">&#149;</font><font color=windowtext face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">the board has not established
compensation and audit committees composed of (1) at least three directors (in
the case of smaller companies, two directors) and (2) solely independent
non-executive directors, provided that, to the extent permitted under the
United Kingdom&#8217;s Combined Code on Corporate Governance, the company chairman
may serve on (but not serve as chairman of) the compensation and audit
committees if the chairman was considered independent upon his or her
appointment as chairman.</font></p>


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<p style="margin:0in;margin-bottom:12.0pt;margin-left:.5in;margin-right:0in;margin-top:0in;text-indent:-.5in;"><font color=windowtext face=wingdings lang=EN-US style="font-size:12.0pt;">&gt;</font><font color=windowtext face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">The funds will </font><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">withhold
votes</font></u></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;"> from any nominee for director who is considered an independent
director by the company and who has received compensation within the last three
years from the company other than for service as a director, such as investment
banking, consulting, legal, or financial advisory fees.</font></p>

<p style="margin:0in;margin-bottom:12.0pt;margin-left:.5in;margin-right:0in;margin-top:0in;text-indent:-.5in;"><font color=windowtext face=wingdings lang=EN-US style="font-size:12.0pt;">&gt;</font><font color=windowtext face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">The funds will vote </font><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">for</font></u></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">
proposals to amend a company&#8217;s articles of association to authorize boards to
approve situations that might be interpreted to present potential conflicts of
interest affecting a director.</font></p>

<p style="margin-bottom:12.0pt;margin-left:0in;margin-right:0in;margin-top:0in;"><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">Commentary</font></u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">:&nbsp;</font></p>

<p style="margin-bottom:12.0pt;margin-left:0in;margin-right:0in;margin-top:0in;"><b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">Application of guidelines</font></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">:&#160; Although the United Kingdom&#8217;s Combined Code on
Corporate Governance (&#8220;Combined Code&#8221;) has adopted the &#8220;comply and explain&#8221;
approach to corporate governance, the funds&#8217; Trustees believe that the
guidelines discussed above with respect to board independence standards are
integral to the protection of investors in U.K. companies.&#160; As a result, these
guidelines will generally be applied in a prescriptive manner.</font></p>

<p style="margin-bottom:12.0pt;margin-left:0in;margin-right:0in;margin-top:0in;"><b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">Definition of independence</font></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">:&#160; For the purposes of these guidelines, a
non-executive director shall be considered independent if the director meets
the independence standards in section A.3.1 of the Combined Code (</font><i><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">i.e.</font></i><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">,
no material business or employment relationships with the company, no
remuneration from the company for non-board services, no close family ties with
senior employees or directors of the company, etc.), except that the funds do
not view service on the board for more than nine years as affecting a
director&#8217;s independence.&#160; Company chairmen in the U.K. are generally considered
affiliated upon appointment as chairman due to the nature of the position of
chairman.&#160; Consistent with the Combined Code, a company chairman who was
considered independent upon appointment as chairman:&#160; may serve as a member of,
but not as the chairman of, the compensation (remuneration) committee; and, in
the case of smaller companies, may serve as a member of, but not as the
chairman of, the audit committee.</font></p>

<p style="margin-bottom:12.0pt;margin-left:0in;margin-right:0in;margin-top:0in;"><b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">Smaller companies</font></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">:&#160; A smaller company is one that is below the FTSE
350 throughout the year immediately prior to the reporting year.</font></p>

<p style="margin-bottom:12.0pt;margin-left:0in;margin-right:0in;margin-top:0in;"><b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">Conflicts of interest</font></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">:&#160; The Companies Act 2006 requires a director to
avoid a situation </font><font color=black face=arial lang=EN style="font-size:12.0pt;">in which he or she has, or can have, a
direct or indirect interest that conflicts, or possibly may conflict, with the
interests of the company</font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">.&#160; This
broadly written requirement could be construed to prevent a director from
becoming a trustee or director of another organization.&#160; Provided there are
reasonable safeguards, such as the exclusion of the relevant director from
deliberations, the funds believe that the board may approve this type of
potential conflict of interest in its discretion.</font></p>

<p style="margin-bottom:12.0pt;margin-left:.5in;margin-right:0in;margin-top:0in;"><i><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">All other jurisdictions</font></i></p>


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<p style="margin:0in;margin-bottom:12.0pt;margin-left:.5in;margin-right:0in;margin-top:0in;text-indent:-.5in;"><font color=windowtext face=wingdings lang=EN-US style="font-size:12.0pt;">&gt;</font><font color=windowtext face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">The funds will vote </font><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">for</font></u></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">
supervisory board nominees when the supervisory board meets the funds&#8217;
independence standards, otherwise the funds will vote </font><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">against</font></u></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">
supervisory board nominees.</font></p>

<p style="margin-bottom:12.0pt;margin-left:0in;margin-right:0in;margin-top:0in;"><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">Commentary</font></u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">:&#160; Companies in many jurisdictions operate under the
oversight of supervisory boards.&#160; In the absence of jurisdiction-specific
guidelines, the funds will generally hold supervisory boards to the same
standards of independence as it applies to boards of directors in the United
States.</font></p>

<p style="margin-bottom:12.0pt;margin-left:0in;margin-right:0in;margin-top:0in;page-break-after:avoid;"><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;font-weight:normal;text-decoration:none;">Contested Board Elections</font></p>

<p style="margin-bottom:12.0pt;margin-left:.5in;margin-right:0in;margin-top:0in;"><i><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">Italy</font></i></p>

<p style="margin:0in;margin-bottom:12.0pt;margin-left:.5in;margin-right:0in;margin-top:0in;text-indent:-.5in;"><font color=windowtext face=wingdings lang=EN-US style="font-size:12.0pt;">&gt;</font><font color=windowtext face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">The funds will vote </font><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">for</font></u></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">
the management- or board-sponsored slate of nominees if the board meets the
funds&#8217; independence standards, and </font><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">against</font></u></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;"> the management- or
board-sponsored slate of nominees if the board does not meet the funds&#8217;
independence standards; the funds will not vote on shareholder-proposed slates
of nominees.</font></p>

<p style="margin-bottom:12.0pt;margin-left:0in;margin-right:0in;margin-top:0in;"><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">Commentary</font></u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">:&#160; Contested elections in Italy may involve a variety
of competing slates of nominees. &#160;In these circumstances, the funds will focus
their analysis on the board- or management-sponsored slate.</font></p>

<p style="margin-bottom:12.0pt;margin-left:0in;margin-right:0in;margin-top:0in;page-break-after:avoid;"><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">Corporate Governance </font></u></b></p>

<p style="margin:0in;margin-bottom:12.0pt;margin-left:.5in;margin-right:0in;margin-top:0in;text-indent:-.5in;"><font color=windowtext face=wingdings lang=EN-US style="font-size:12.0pt;">&gt;</font><font color=windowtext face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">The funds will vote </font><b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">for</font></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">
proposals to change the size of a board if the board meets the funds&#8217;
independence standards, and </font><b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">against</font></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;"> proposals to change the size of a
board if the board does not meet the funds&#8217; independence standards.</font></p>

<p style="margin:0in;margin-bottom:12.0pt;margin-left:.5in;margin-right:0in;margin-top:0in;text-indent:-.5in;"><font color=windowtext face=wingdings lang=EN-US style="font-size:12.0pt;">&gt;</font><font color=windowtext face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">The funds will vote </font><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">for</font></u></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">
shareholder proposals calling for a majority of a company&#8217;s directors to be
independent of management.</font></p>

<p style="margin:0in;margin-bottom:12.0pt;margin-left:.5in;margin-right:0in;margin-top:0in;text-indent:-.5in;"><font color=windowtext face=wingdings lang=EN-US style="font-size:12.0pt;">&gt;</font><font color=windowtext face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">The funds will vote </font><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">for</font></u></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">
shareholder proposals seeking to increase the independence of board nominating,
audit, and compensation committees.</font></p>

<p style="margin:0in;margin-bottom:12.0pt;margin-left:.5in;margin-right:0in;margin-top:0in;text-indent:-.5in;"><font color=windowtext face=wingdings lang=EN-US style="font-size:12.0pt;">&gt;</font><font color=windowtext face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">The funds will vote </font><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">for</font></u></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">
shareholder proposals that implement corporate governance standards similar to
those established under U.S. federal law and the listing requirements of U.S.
stock exchanges, and that do not otherwise violate the laws of the jurisdiction
under which the company is incorporated.</font></p>

<p style="margin-bottom:12.0pt;margin-left:.5in;margin-right:0in;margin-top:0in;"><i><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">Taiwan</font></i></p>

<p style="margin:0in;margin-bottom:12.0pt;margin-left:.5in;margin-right:0in;margin-top:0in;text-indent:-.5in;"><font color=windowtext face=wingdings lang=EN-US style="font-size:12.0pt;">&gt;</font><font color=windowtext face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">The funds will vote </font><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">against</font></u></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">
proposals to release directors from their non-competition obligations (their
obligations not to engage in any business that is competitive with the
company), unless the proposal is narrowly </font></p>
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<p style="margin:0in;margin-bottom:12.0pt;margin-left:.5in;margin-right:0in;margin-top:0in;text-indent:-.5in;"><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">drafted to
permit directors to engage in a business that is competitive with the company
only on behalf of a wholly-owned subsidiary of the company.</font></p>

<p style="margin:0in;margin-bottom:12.0pt;margin-left:.5in;margin-right:0in;margin-top:0in;text-indent:-.5in;"><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">Compensation
</font></u></b></p>

<p style="margin:0in;margin-bottom:12.0pt;margin-left:.5in;margin-right:0in;margin-top:0in;text-indent:-.5in;"><font color=windowtext face=wingdings lang=EN-US style="font-size:12.0pt;">&gt;</font><font color=windowtext face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">The funds will vote </font><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">for</font></u></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">
proposals to approve annual directors&#8217; fees, except that the funds will
consider these proposals on a </font><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">case-by-case basis</font></u></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;"> in each case in
which the funds&#8217; proxy voting service has recommended a vote against such a
proposal.&#160;&#160;&#160; </font></p>

<p style="margin:0in;margin-bottom:12.0pt;margin-left:.5in;margin-right:0in;margin-top:0in;text-indent:-.5in;"><font color=windowtext face=wingdings lang=EN-US style="font-size:12.0pt;">&gt;</font><font color=windowtext face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">The funds will vote </font><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">for</font></u></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">
non-binding proposals to approve remuneration reports, except that the funds
will vote </font><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">against</font></u></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;"> proposals to approve remuneration reports that
indicate that awards under a long-term incentive plan are not linked to
performance targets.</font></p>

<p style="margin:0in;margin-bottom:12.0pt;"><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">Commentary:</font></u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">&#160; Since proposals
relating to directors&#8217; fees for non-U.S. issuers generally address relatively
modest fees paid to non-executive directors, the funds generally support these
proposals, provided that the fees are consistent with directors&#8217; fees paid by
the company&#8217;s peers and do not otherwise appear unwarranted.&#160; Consistent with
the approach taken for U.S. issuers, the funds generally favor compensation
programs that relate executive compensation to a company&#8217;s long-term
performance and will support non-binding remuneration reports unless such a
correlation is not made.&#160;&#160;&#160;&#160;&#160;&#160; </font></p>

<p style="margin:0in;margin-bottom:12.0pt;"><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">Capitalization</font></u></b></p>

<p style="margin-bottom:12.0pt;margin-left:.5in;margin-right:0in;margin-top:0in;text-indent:-.5in;"><font color=windowtext face=wingdings lang=EN-US style="font-size:12.0pt;">&gt;</font><font color=windowtext face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">The funds will vote </font><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">for</font></u></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">
proposals</font></p>

<p style="margin-bottom:12.0pt;margin-left:1.0in;margin-right:0in;margin-top:0in;text-indent:-.25in;"><font color=windowtext face=symbol lang=EN-US style="font-size:12.0pt;">&#149;</font><font color=windowtext face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">to issue additional common stock
representing up to 20% of the company&#8217;s outstanding common stock, where
shareholders </font><i><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">do not</font></i><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;"> have preemptive rights, or</font></p>

<p style="margin-bottom:12.0pt;margin-left:1.0in;margin-right:0in;margin-top:0in;text-indent:-.25in;"><font color=windowtext face=symbol lang=EN-US style="font-size:12.0pt;">&#149;</font><font color=windowtext face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">to issue additional common stock
representing up to 100% of the company&#8217;s outstanding common stock, where
shareholders </font><i><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">do have</font></i><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;"> preemptive rights.</font></p>

<p style="margin-bottom:12.0pt;margin-left:.5in;margin-right:0in;margin-top:0in;text-indent:-.5in;"><font color=windowtext face=wingdings lang=EN-US style="font-size:12.0pt;">&gt;</font><font color=windowtext face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">The funds will vote </font><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">for</font></u></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">
proposals to authorize share repurchase programs that are recommended for
approval by the funds&#8217; proxy voting service; otherwise, the funds will vote </font><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">against</font></u></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">
such proposals. </font></p>

<p style="margin-bottom:12.0pt;margin-left:.5in;margin-right:0in;margin-top:0in;"><i><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">Australia</font></i></p>

<p style="margin:0in;margin-bottom:12.0pt;margin-left:.5in;margin-right:0in;margin-top:0in;text-indent:-.5in;"><font color=windowtext face=wingdings lang=EN-US style="font-size:12.0pt;">&gt;</font><font color=windowtext face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">The funds will vote </font><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">for</font></u></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">
proposals to carve out, from the general cap on non-</font><i><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">pro rata</font></i><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;"> share issues
of 15% of total equity in a rolling 12-month period, a particular proposed
issue of shares or a particular issue of shares made previously within the
12-month period, if the company&#8217;s board meets the funds&#8217; independence
standards; if the company&#8217;s board </font></p>
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</DIV>
<p style="margin:0in;margin-bottom:12.0pt;margin-left:.5in;margin-right:0in;margin-top:0in;text-indent:-.5in;"><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">does not meet the
funds&#8217; independence standards, then the funds will vote </font><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">against</font></u></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">
these proposals.</font></p>

<p style="margin-bottom:12.0pt;margin-left:.5in;margin-right:0in;margin-top:0in;"><i><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">Hong Kong</font></i></p>

<p style="margin:0in;margin-bottom:12.0pt;margin-left:.5in;margin-right:0in;margin-top:0in;text-indent:-.5in;"><font color=windowtext face=wingdings lang=EN-US style="font-size:12.0pt;">&gt;</font><font color=windowtext face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">The funds will vote </font><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">for</font></u></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">
proposals to approve a general mandate permitting the company to engage in non-</font><i><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">pro
rata</font></i><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;"> share issues of up to 20% of total equity in a year if the company&#8217;s
board meets the funds&#8217; independence standards; if the company&#8217;s board does not
meet the funds&#8217; independence standards, then the funds will vote </font><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">against</font></u></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">
these proposals.</font></p>

<p style="margin-bottom:12.0pt;margin-left:0in;margin-right:0in;margin-top:0in;text-indent:0in;"><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">Commentary</font></u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">:&#160; In light of the prevalence of certain types of
capitalization proposals in Australia and Hong Kong, the funds have adopted
guidelines specific to those jurisdictions.</font></p>

<p style="margin-bottom:12.0pt;margin-left:0in;margin-right:0in;margin-top:0in;text-indent:0in;"><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">Other
Business Matters</font></u></b></p>

<p style="margin-bottom:12.0pt;margin-left:.5in;margin-right:0in;margin-top:0in;text-indent:-.5in;"><font color=windowtext face=wingdings lang=EN-US style="font-size:12.0pt;">&gt;</font><font color=windowtext face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">The funds will vote </font><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">for</font></u></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">
proposals permitting companies to deliver reports and other materials
electronically (</font><i><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">e.g.</font></i><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">, via website posting).</font></p>

<p style="margin-bottom:12.0pt;margin-left:.5in;margin-right:0in;margin-top:0in;text-indent:-.5in;"><font color=windowtext face=wingdings lang=EN-US style="font-size:12.0pt;">&gt;</font><font color=windowtext face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">The funds will vote </font><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">for</font></u></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">
proposals permitting companies to issue regulatory reports in English.</font></p>

<p style="margin-bottom:12.0pt;margin-left:.5in;margin-right:0in;margin-top:0in;text-indent:-.5in;"><font color=windowtext face=wingdings lang=EN-US style="font-size:12.0pt;">&gt;</font><font color=windowtext face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">The funds will vote </font><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">against</font></u></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">
proposals to shorten shareholder meeting notice periods to fourteen days.</font></p>

<p style="margin-bottom:12.0pt;margin-left:0in;margin-right:0in;margin-top:0in;text-indent:0in;"><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">Commentary:</font></u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">&#160; Under Directive 2007/36/EC of the European
Parliament and the Council of the European Union, companies have the option to
request shareholder approval to set the notice period for special meetings at
14 days provided that certain electronic voting and communication requirements
are met.&#160; The funds believe that the 14 day notice period is too short to
provide overseas shareholders with sufficient time to analyze proposals and to
participate meaningfully at special meetings and, as a result, have determined
to vote against such proposals.&#160; </font></p>

<p style="margin-bottom:12.0pt;margin-left:0in;margin-right:0in;margin-top:0in;text-indent:0in;"><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160; </font><i><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">Germany
&nbsp;</font></i></p>

<p style="margin-bottom:12.0pt;margin-left:.5in;margin-right:0in;margin-top:0in;text-indent:-.5in;"><font color=windowtext face=wingdings lang=EN-US style="font-size:12.0pt;">&gt;</font><font color=windowtext face="times new roman" lang=EN-US style="font-size:7.0pt;">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">The funds will vote </font><b><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">in
accordance with the recommendation of the company&#8217;s board of directors</font></u></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">
on shareholder countermotions added to a company&#8217;s meeting agenda, unless the
countermotion is directly addressed by one of the funds&#8217; other guidelines.</font></p>

<p style="margin-bottom:12.0pt;margin-left:0in;margin-right:0in;margin-top:0in;text-indent:0in;"><u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">Commentary:</font></u><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;"> In Germany, shareholders are able to add both
proposals and countermotions to a meeting agenda.&#160; Countermotions, which must
correspond to a proposal on the agenda, generally call for shareholders to
oppose the existing proposal, although they may also propose separate voting
decisions.&#160; Countermotions may be proposed by any shareholder and they are
typically added throughout the period between the publication of the meeting </font></p>
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<p style="margin-bottom:12.0pt;margin-left:0in;margin-right:0in;margin-top:0in;text-indent:0in;"><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">agenda and the meeting date.&#160;&#160; This guideline reflects
the funds&#8217; intention to focus on the original proposal, which is expected to be
presented a reasonable period of time before the shareholder meeting so that
the funds will have an appropriate opportunity to evaluate it.</font></p>

<p style="margin-bottom:12.0pt;margin-left:0in;margin-right:0in;margin-top:0in;"><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">&nbsp;</font></p>

<p style="margin-bottom:12.0pt;margin-left:0in;margin-right:0in;margin-top:0in;"><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">As adopted February 4, 2011</font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">&nbsp;</font></p>

<p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial lang=EN-US style="font-size:14.0pt;">Proxy voting procedures of the
Putnam funds</font></b></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">The proxy voting procedures
below explain the role of the funds&#8217; Trustees, the proxy voting service and the
Proxy Manager, as well as how the process will work when a proxy question needs
to be handled on a case-by-case basis, or when there may be a conflict of
interest.</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><i><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">The role of the funds&#8217;
Trustees</font></i></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">The Trustees of the Putnam
funds exercise control of the voting of proxies through their Board Policy and
Nominating Committee, which is composed entirely of independent Trustees.&#160; The
Board Policy and Nominating Committee oversees the proxy voting process and
participates, as needed, in the resolution of issues that need to be handled on
a case-by-case basis.&#160; The Committee annually reviews and recommends, for Trustee
approval, guidelines governing the funds&#8217; proxy votes, including how the funds
vote on specific proposals and which matters are to be considered on a
case-by-case basis.&#160; The Trustees are assisted in this process by their
independent administrative staff (&#8220;Office of the Trustees&#8221;), independent legal
counsel, and an independent proxy voting service.&#160; The Trustees also receive
assistance from Putnam Investment Management, LLC (&#8220;Putnam Management&#8221;), the
funds&#8217; investment advisor, on matters involving investment judgments.&#160; In all
cases, the ultimate decision on voting proxies rests with the Trustees, acting
as fiduciaries on behalf of the shareholders of the funds.</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><i><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">The role of the proxy
voting service</font></i></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">The funds have engaged an
independent proxy voting service to assist in the voting of proxies.&#160; The proxy
voting service is responsible for coordinating with the funds&#8217; custodians to
ensure that all proxy materials received by the custodians relating to the
funds&#8217; portfolio securities are processed in a timely fashion.&#160; To the extent
applicable, the proxy voting service votes all proxies in accordance with the
proxy voting guidelines established by the Trustees.&#160; The proxy voting service
will refer proxy questions to the Proxy Manager (described below) for instructions
under circumstances where: (1) the application of the proxy voting guidelines
is unclear; (2) a particular proxy question is not covered </font></p>
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<p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">by
the guidelines; or (3) the guidelines call for specific instructions on a
case-by-case basis.&#160; The proxy voting service is also requested to call to the
Proxy Manager&#8217;s attention specific proxy questions that, while governed by a
guideline, appear to involve unusual or controversial issues.&#160; The funds also
utilize research services relating to proxy questions provided by the proxy
voting service and by other firms. </font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><i><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">The role of the Proxy
Manager</font></i></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">Each year, a member of the
Office of the Trustees is appointed Proxy Manager to assist in the coordination
and voting of the funds&#8217; proxies.&#160; The Proxy Manager will deal directly with
the proxy voting service and, in the case of proxy questions referred by the
proxy voting service, will solicit voting recommendations and instructions from
the Office of the Trustees, the Chair of the Board Policy and Nominating Committee,
and Putnam Management&#8217;s investment professionals, as appropriate.&#160; The Proxy
Manager is responsible for ensuring that these questions and referrals are
responded to in a timely fashion and for transmitting appropriate voting
instructions to the proxy voting service.</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><i><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">Voting procedures for
referral items&#160;&#160; </font></i></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">As discussed above, the
proxy voting service will refer proxy questions to the Proxy Manager under
certain circumstances.&#160; When the application of the proxy voting guidelines is
unclear or a particular proxy question is not covered by the guidelines (and
does not involve investment considerations), the Proxy Manager will assist in
interpreting the guidelines and, as appropriate, consult with one or more
senior staff members of the Office of the Trustees and the Chair of the Board
Policy and Nominating Committee on how the funds&#8217; shares will be voted.&#160;&#160;&#160; </font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">For proxy questions that
require a case-by-case analysis pursuant to the guidelines or that are not
covered by the guidelines but involve investment considerations, the Proxy
Manager will refer such questions, through an electronic request form, to
Putnam Management&#8217;s investment professionals for a voting recommendation.&#160; Such
referrals will be made in cooperation with the person or persons designated by
Putnam Management&#8217;s Legal and Compliance Department to assist in processing
such referral items.&#160; In connection with each referral item, the Legal and
Compliance Department will conduct a conflicts of interest review, as described
below under &#8220;Conflicts of interest,&#8221; and provide electronically a conflicts of
interest report (the &#8220;Conflicts Report&#8221;) to the Proxy Manager describing the
results of such review.&#160; After receiving a referral item from the Proxy
Manager, Putnam Management&#8217;s investment professionals will provide a
recommendation electronically to the Proxy Manager and the person or persons
designated by the Legal and Compliance Department to assist in processing
referral items.&#160; Such recommendation will set forth (1) how the proxies should
be voted; (2) the basis and rationale for such recommendation; and (3) any
contacts the investment professionals have had with respect to the </font></p>
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<p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">referral item with non-investment personnel of Putnam
Management or with outside parties (except for routine communications from
proxy solicitors).&#160; The Proxy Manager will then review the investment
professionals&#8217; recommendation and the Conflicts Report with one or more senior
staff members of the Office of the Trustees in determining how to vote the
funds&#8217; proxies.&#160; The Proxy Manager will maintain a record of all proxy
questions that have been referred to Putnam Management&#8217;s investment
professionals, the voting recommendation, and the Conflicts Report.&#160; </font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">In some situations, the
Proxy Manager and/or one or more senior staff members of the Office of the
Trustees may determine that a particular proxy question raises policy issues
requiring consultation with the Chair of the Board Policy and Nominating
Committee, who, in turn, may decide to bring the particular proxy question to
the Committee or the full Board of Trustees for consideration.</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><i><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">Conflicts of interest</font></i></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">Occasions may arise where a
person or organization involved in the proxy voting process may have a conflict
of interest.&#160; A conflict of interest may exist, for example, if Putnam
Management has a business relationship with (or is actively soliciting business
from) either the company soliciting the proxy or a third party that has a
material interest in the outcome of a proxy vote or that is actively lobbying
for a particular outcome of a proxy vote.&#160; Any individual with knowledge of a
personal conflict of interest (e.g., familial relationship with company
management) relating to a particular referral item shall disclose that conflict
to the Proxy Manager and the Legal and Compliance Department and otherwise
remove himself or herself from the proxy voting process.&#160; The Legal and
Compliance Department will review each item referred to Putnam Management&#8217;s
investment professionals to determine if a conflict of interest exists and will
provide the Proxy Manager with a Conflicts Report for each referral item that
(1) describes any conflict of interest; (2) discusses the procedures used to
address such conflict of interest; and (3) discloses any contacts from parties
outside Putnam Management (other than routine communications from proxy
solicitors) with respect to the referral item not otherwise reported in an
investment professional&#8217;s recommendation.&#160; The Conflicts Report will also
include written confirmation that any recommendation from an investment
professional provided under circumstances where a conflict of interest exists
was made solely on the investment merits and without regard to any other
consideration.&#160; </font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><i><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">&nbsp;</font></i></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><i><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">As adopted March 11, 2005 and revised June 12, 2009</font></i></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><i><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">&nbsp;</font></i></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">&nbsp;</font></p>

<h1 style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;page-break-after:avoid;"><u><font color=black face=Arial style="font-size:10.0pt;font-weight:normal;">Item 8. Portfolio Managers of Closed-End
Management Investment Companies </font></u></h1>

<p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">(a)(1)&#160;
</font><b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">Portfolio Managers.</font></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">&#160; </font><font color=black face=arial lang=EN-US style="font-size:12.0pt;">The officers of Putnam
Management identified below are primarily responsible for the day-to-day
management of the fund&#8217;s portfolio </font><font color=black face=arial lang=EN-US style="font-size:10.0pt;">as of the filing date of this report</font><font color=black face=arial lang=EN-US style="font-size:12.0pt;">.&nbsp;</font></p>


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<p style="margin:0in;margin-bottom:.0001pt;"><b><font color=black face=arial lang=EN-US style="font-size:12.0pt;">&nbsp;</font></b></p>

<div align=left><table cellpadding=0 cellspacing=0 border=0 style="border:none;border-collapse:collapse;width:7in;">
 <tr style="height:13.0pt;">
  <td valign=top width=24% style="background:#d9d9d9;border:solid windowtext 1.0pt;height:13.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><b><font color=windowtext face=arial style="font-size:12.0pt;">Portfolio Managers</font></b></p>
  </td>
 <td valign=top width=14% style="background:#d9d9d9;border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;border-top:solid windowtext 1.0pt;height:13.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:12.0pt;">Joined Fund</font></b></p>
  </td>
 <td valign=top width=19% style="background:#d9d9d9;border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;border-top:solid windowtext 1.0pt;height:13.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><b><font color=windowtext face=arial style="font-size:12.0pt;">&nbsp;</font></b></p>
  <p style="margin:0in;margin-bottom:.0001pt;"><b><font color=windowtext face=arial style="font-size:12.0pt;">Employer</font></b></p>
  </td>
 <td valign=top width=43% style="background:#d9d9d9;border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;border-top:solid windowtext 1.0pt;height:13.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-left:18.1pt;text-indent:-18.1pt;"><b><font color=windowtext face=arial style="font-size:12.0pt;">&nbsp;</font></b></p>
  <p style="margin:0in;margin-bottom:.0001pt;margin-left:18.1pt;text-indent:-18.1pt;"><b><font color=windowtext face=arial style="font-size:12.0pt;">Positions Over Past Five Years</font></b></p>
  </td>
 </tr>
<tr style="height:40.9pt;">
  <td valign=top width=24% style="border-bottom:solid windowtext 1.0pt;border-left:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;height:40.9pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:12.0pt;letter-spacing:0pt;text-decoration:none;">D. </font><font color=windowtext face=arial style="font-size:12.0pt;">William Kohli</font></p>
  </td>
 <td valign=top width=14% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;height:40.9pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><font color=windowtext face=arial style="font-size:12.0pt;">2002</font></p>
  </td>
 <td valign=top width=19% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;height:40.9pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><b><font color=windowtext face=arial style="font-size:12.0pt;">Putnam Management</font></b></p>
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:12.0pt;">1994 &#8211; Present</font></p>
  </td>
 <td valign=top width=43% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;height:40.9pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-left:18.1pt;text-indent:-18.1pt;"><font color=windowtext face=arial style="font-size:12.0pt;letter-spacing:0pt;text-decoration:none;">Co-Head Fixed Income, </font></p>
  <p style="margin:0in;margin-bottom:.0001pt;margin-left:18.1pt;text-indent:-18.1pt;"><font color=windowtext face=arial style="font-size:12.0pt;letter-spacing:0pt;text-decoration:none;">Previously, </font><font color=windowtext face=arial style="font-size:12.0pt;">Team Leader, Portfolio </font></p>
  <p style="margin:0in;margin-bottom:.0001pt;margin-left:18.1pt;text-indent:-18.1pt;"><font color=windowtext face=arial style="font-size:12.0pt;">Construction and Global Strategy</font></p>
  <p style="margin:0in;margin-bottom:.0001pt;margin-left:18.1pt;text-indent:-18.1pt;"><font color=windowtext face=arial style="font-size:12.0pt;letter-spacing:0pt;text-decoration:line-through;">,</font><font color=windowtext face=arial style="font-size:12.0pt;letter-spacing:0pt;text-decoration:none;">and&nbsp;</font><font color=windowtext face=arial style="font-size:12.0pt;">
  Director, Global Core</font></p>
  </td>
 </tr>
<tr style="height:49.9pt;">
  <td valign=top width=24% style="border-bottom:solid windowtext 1.0pt;border-left:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;height:49.9pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:12.0pt;">Michael Atkin</font></p>
  </td>
 <td valign=top width=14% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;height:49.9pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><font color=windowtext face=arial style="font-size:12.0pt;">2007</font></p>
  </td>
 <td valign=top width=19% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;height:49.9pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><b><font color=windowtext face=arial style="font-size:12.0pt;">Putnam Management</font></b></p>
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:12.0pt;line-height:12.0pt;">1997
  &#8211; Present</font></p>
  </td>
 <td valign=top width=43% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;height:49.9pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-left:18.1pt;text-indent:-18.1pt;"><font color=windowtext face=arial style="font-size:12.0pt;letter-spacing:0pt;line-height:12.0pt;text-decoration:none;">Portfolio Manager, Previously </font></p>
  <p style="margin:0in;margin-bottom:.0001pt;margin-left:18.1pt;text-indent:-18.1pt;"><font color=windowtext face=arial style="font-size:12.0pt;line-height:12.0pt;">Director of Sovereign Research,</font></p>
  <p style="margin:0in;margin-bottom:.0001pt;margin-left:18.1pt;text-indent:-18.1pt;"><font color=windowtext face=arial style="font-size:12.0pt;line-height:12.0pt;">Previously, Senior Economist and</font></p>
  <p style="margin:0in;margin-bottom:.0001pt;margin-left:18.1pt;text-indent:-18.1pt;"><font color=windowtext face=arial style="font-size:12.0pt;line-height:12.0pt;">Team Leader Country Analysis</font></p>
  </td>
 </tr>
<tr style="height:53.05pt;">
  <td valign=top width=24% style="border-bottom:solid windowtext 1.0pt;border-left:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;height:53.05pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:12.0pt;">Kevin Murphy</font></p>
  </td>
 <td valign=top width=14% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;height:53.05pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><font color=windowtext face=arial style="font-size:12.0pt;">2007</font></p>
  </td>
 <td valign=top width=19% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;height:53.05pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><b><font color=windowtext face=arial style="font-size:12.0pt;">Putnam Management</font></b></p>
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:12.0pt;line-height:12.0pt;">1999
  &#8211; Present</font></p>
  </td>
 <td valign=top width=43% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;height:53.05pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-left:18.1pt;text-indent:-18.1pt;"><font color=windowtext face=arial style="font-size:12.0pt;letter-spacing:0pt;line-height:12.0pt;text-decoration:none;">Portfolio Manager, Previously, </font><font color=windowtext face=arial style="font-size:12.0pt;line-height:12.0pt;">Team &nbsp;</font></p>
  <p style="margin:0in;margin-bottom:.0001pt;margin-left:18.1pt;text-indent:-18.1pt;"><font color=windowtext face=arial style="font-size:12.0pt;line-height:12.0pt;">Leader, High Grade Credit</font></p>
  </td>
 </tr>
<tr style="height:51.7pt;">
  <td valign=top width=24% style="border-bottom:solid windowtext 1.0pt;border-left:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;height:51.7pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:12.0pt;letter-spacing:0pt;text-decoration:none;">Michael Salm</font></p>
  </td>
 <td valign=top width=14% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;height:51.7pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><font color=windowtext face=arial style="font-size:12.0pt;letter-spacing:0pt;text-decoration:none;">2011</font></p>
  </td>
 <td valign=top width=19% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;height:51.7pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><b><font color=windowtext face=arial style="font-size:12.0pt;letter-spacing:0pt;text-decoration:none;">Putnam Management</font></b></p>
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:12.0pt;letter-spacing:0pt;line-height:12.0pt;text-decoration:none;">1997 &#8211;
  Present</font></p>
  </td>
 <td valign=top width=43% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;height:51.7pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-left:18.1pt;text-indent:-18.1pt;"><font color=windowtext face=arial style="font-size:12.0pt;letter-spacing:0pt;text-decoration:none;">Co-Head Fixed Income, </font></p>
  <p style="margin:0in;margin-bottom:.0001pt;margin-left:18.1pt;text-indent:-18.1pt;"><font color=windowtext face=arial style="font-size:12.0pt;letter-spacing:0pt;line-height:12.0pt;text-decoration:none;">Previously, Team Leader, Liquid
  Markets</font></p>
  <p style="margin:0in;margin-bottom:.0001pt;margin-left:18.1pt;text-indent:-18.1pt;"><font color=windowtext face=arial style="font-size:12.0pt;letter-spacing:0pt;line-height:12.0pt;text-decoration:none;">and Mortgage Specialist</font></p>
  </td>
 </tr>
<tr style="height:51.7pt;">
  <td valign=top width=24% style="border-bottom:solid windowtext 1.0pt;border-left:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;height:51.7pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:12.0pt;">Paul Scanlon</font></p>
  </td>
 <td valign=top width=14% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;height:51.7pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><font color=windowtext face=arial style="font-size:12.0pt;">2005</font></p>
  </td>
 <td valign=top width=19% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;height:51.7pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><b><font color=windowtext face=arial style="font-size:12.0pt;">Putnam Management</font></b></p>
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:12.0pt;">1999 &#8211; Present</font></p>
  </td>
 <td valign=top width=43% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;height:51.7pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-left:18.1pt;text-indent:-18.1pt;"><font color=windowtext face=arial style="font-size:12.0pt;letter-spacing:0pt;text-decoration:none;">Co-Head Fixed Income, </font></p>
  <p style="margin:0in;margin-bottom:.0001pt;margin-left:18.1pt;text-indent:-18.1pt;"><font color=windowtext face=arial style="font-size:12.0pt;">Team Leader, U.S. High Yield</font></p>
  <p style="margin:0in;margin-bottom:.0001pt;margin-left:18.1pt;text-indent:-18.1pt;"><font color=windowtext face=arial style="font-size:12.0pt;line-height:12.0pt;">&nbsp;</font></p>
  </td>
 </tr>
</table></div>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">(a)(2)&#160; </font><b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">Other Accounts
Managed by the Fund&#8217;s Portfolio Managers.</font></b></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">The following table shows
the number and approximate assets of other investment accounts (or portions of
investment accounts) that the fund&#8217;s Portfolio Managers managed as of the
fund&#8217;s most recent fiscal year-end.&#160; Unless noted, none of the other accounts
pays a fee based on the account&#8217;s performance. </font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">&nbsp;</font></p>

<div align=left><table cellpadding=0 cellspacing=0 border=0 style="border:none;border-collapse:collapse;margin-left:0in;width:7in;">
 <tr>
  <td width=20% style="border:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:10.0pt;">Portfolio Leader or Member</font></b></p>
  </td>
 <td colspan=2 width=27% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;border-top:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:10.0pt;">Other SEC-registered open-end and
  closed-end funds</font></b></p>
  </td>
 <td colspan=2 width=28% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;border-top:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:10.0pt;">Other accounts that pool assets
  from more than one client</font></b></p>
  </td>
 <td colspan=2 width=25% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;border-top:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:10.0pt;">Other accounts (including separate
  accounts, managed account programs </font></b><b><font color=black face=arial style="font-size:10.0pt;">and
  single-sponsor defined contribution plan offerings)</font></b></p>
  </td>
 </tr>
<tr>
  <td valign=top width=20% style="border-bottom:solid windowtext 1.0pt;border-left:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><i><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></i></p>
  </td>
 <td valign=top width=11% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><font color=windowtext face=arial style="font-size:10.0pt;">Number of accounts</font></p>
  </td>
 <td valign=top width=16% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><font color=windowtext face=arial style="font-size:10.0pt;">Assets </font></p>
  </td>
 <td valign=top width=11% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><font color=windowtext face=arial style="font-size:10.0pt;">Number of accounts</font></p>
  </td>
 <td valign=top width=17% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><font color=windowtext face=arial style="font-size:10.0pt;">Assets </font></p>
  </td>
 <td valign=top width=9% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><font color=windowtext face=arial style="font-size:10.0pt;">Number of accounts</font></p>
  </td>
 <td valign=top width=16% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><font color=windowtext face=arial style="font-size:10.0pt;">Assets </font></p>
  </td>
 </tr>
<tr>
  <td valign=top width=20% style="border-bottom:solid windowtext 1.0pt;border-left:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;line-height:12.0pt;">D. William Kohli</font></p>
  </td>
 <td valign=top width=11% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><font color=windowtext face=arial style="font-size:10.0pt;">15*</font></p>
  </td>
 <td valign=top width=16% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><font color=windowtext face=arial style="font-size:10.0pt;">$9,242,600,000 </font></p>
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td valign=top width=11% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><font color=windowtext face=arial style="font-size:10.0pt;">19**</font></p>
  </td>
 <td valign=top width=17% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><font color=windowtext face=arial style="font-size:10.0pt;">$4,841,400,000 </font></p>
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td valign=top width=9% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><font color=windowtext face=arial style="font-size:10.0pt;">14***</font></p>
  </td>
 <td valign=top width=16% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><font color=windowtext face=arial style="font-size:10.0pt;">$11,722,000,000 </font></p>
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 </tr>
<tr>
  <td valign=top width=20% style="border-bottom:solid windowtext 1.0pt;border-left:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;line-height:12.0pt;">Michael Salm</font></p>
  </td>
 <td valign=top width=11% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><font color=windowtext face=arial style="font-size:10.0pt;">29*</font></p>
  </td>
 <td valign=top width=16% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><font color=windowtext face=arial style="font-size:10.0pt;">$14,101,300,000 </font></p>
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td valign=top width=11% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><font color=windowtext face=arial style="font-size:10.0pt;">25 #</font></p>
  </td>
 <td valign=top width=17% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><font color=windowtext face=arial style="font-size:10.0pt;">$8,643,000,000 </font></p>
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td valign=top width=9% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><font color=windowtext face=arial style="font-size:10.0pt;">18##</font></p>
  </td>
 <td valign=top width=16% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><font color=windowtext face=arial style="font-size:10.0pt;">$7,670,500,000 </font></p>
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 </tr>
<tr>
  <td valign=top width=20% style="border-bottom:solid windowtext 1.0pt;border-left:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">Michael Atkin</font></p>
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td valign=top width=11% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><font color=windowtext face=arial style="font-size:10.0pt;">6</font></p>
  </td>
 <td valign=top width=16% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><font color=windowtext face=arial style="font-size:10.0pt;">$5,776,200,000 </font></p>
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td valign=top width=11% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><font color=windowtext face=arial style="font-size:10.0pt;">9</font></p>
  </td>
 <td valign=top width=17% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><font color=windowtext face=arial style="font-size:10.0pt;">$2,514,000,000 </font></p>
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td valign=top width=9% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><font color=windowtext face=arial style="font-size:10.0pt;">8***</font></p>
  </td>
 <td valign=top width=16% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><font color=windowtext face=arial style="font-size:10.0pt;">$4,290,600,000 </font></p>
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 </tr>
<tr>
  <td valign=top width=20% style="border-bottom:solid windowtext 1.0pt;border-left:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">Paul
  Scanlon</font></p>
  </td>
 <td valign=top width=11% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><font color=windowtext face=arial style="font-size:10.0pt;">26*</font></p>
  </td>
 <td valign=top width=16% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><font color=windowtext face=arial style="font-size:10.0pt;">$12,228,900,000 </font></p>
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td valign=top width=11% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><font color=windowtext face=arial style="font-size:10.0pt;">24###</font></p>
  </td>
 <td valign=top width=17% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><font color=windowtext face=arial style="font-size:10.0pt;">$5,377,400,000 </font></p>
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td valign=top width=9% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><font color=windowtext face=arial style="font-size:10.0pt;">10</font></p>
  </td>
 <td valign=top width=16% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><font color=windowtext face=arial style="font-size:10.0pt;">$1,950,400,000 </font></p>
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 </tr>
<tr>
  <td valign=top width=20% style="border-bottom:solid windowtext 1.0pt;border-left:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">Kevin
  Murphy</font></p>
  </td>
 <td valign=top width=11% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><font color=windowtext face=arial style="font-size:10.0pt;">24*</font></p>
  </td>
 <td valign=top width=16% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><font color=windowtext face=arial style="font-size:10.0pt;">$11,466,000,000 </font></p>
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td valign=top width=11% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><font color=windowtext face=arial style="font-size:10.0pt;">20#</font></p>
  </td>
 <td valign=top width=17% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><font color=windowtext face=arial style="font-size:10.0pt;">$5,603,600,000 </font></p>
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td valign=top width=9% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><font color=windowtext face=arial style="font-size:10.0pt;">11</font></p>
  </td>
 <td valign=top width=16% style="border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><font color=windowtext face=arial style="font-size:10.0pt;">$6,540,400,000 </font></p>
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 </tr>
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<p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">* </font><font color=windowtext face=arial lang=EN-US style="font-size:10.0pt;">4 accounts, with total assets of
$2,637,500,000&#160; pay an advisory fee based on account performance.</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial lang=EN-US style="font-size:10.0pt;">** 1
account, with total assets of&#160; $72,400,000 pay an advisory fee based on account
performance</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial lang=EN-US style="font-size:10.0pt;">*** 1
account, with total assets of&#160; $459,700,000 pay an advisory fee based on
account performance.</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial lang=EN-US style="font-size:10.0pt;"># 2
accounts, with total assets of&#160; $137,100,000 pay an advisory fee based on account
performance</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial lang=EN-US style="font-size:10.0pt;">## 3
accounts, with total assets of&#160; $477,300,000 pay an advisory fee based on
account performance</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial lang=EN-US style="font-size:10.0pt;">### 3
accounts, with total assets of&#160; $242,900,000 pay an advisory fee based on
account performance</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:12.0pt;text-decoration:none;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:12.0pt;text-decoration:none;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><u><font color=black face=arial lang=EN-US style="font-size:12.0pt;">Potential
conflicts of interest in managing multiple accounts.</font></u><font color=black face=arial lang=EN-US style="font-size:12.0pt;">&#160; Like other investment professionals
with multiple clients, the fund&#8217;s Portfolio Managers may face certain potential
conflicts of interest in connection with managing both the fund and the other
accounts listed under &#8220;Other Accounts Managed by the Fund&#8217;s Portfolio Managers&#8221;
at the same time.&#160; The paragraphs below describe some of these potential
conflicts, which Putnam Management believes are faced by investment
professionals at most major financial firms.&#160; As described below, Putnam
Management and the Trustees of the Putnam funds have adopted compliance
policies and procedures that attempt to address certain of these potential
conflicts. </font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:12.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:12.0pt;font-weight:normal;">The management of accounts with different
advisory fee rates and/or fee structures, including accounts that pay advisory
fees based on account performance (&#8220;performance fee accounts&#8221;), may raise
potential conflicts of interest by creating an incentive to favor higher-fee
accounts.&#160; These potential conflicts may include, among others:</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:12.0pt;font-weight:normal;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-left:.5in;"><font color=black face=arial lang=EN-US style="font-size:12.0pt;font-weight:normal;">&#8226; The most attractive
investments could be allocated to higher-fee accounts or performance fee
accounts. </font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-left:.5in;"><font color=black face=arial lang=EN-US style="font-size:12.0pt;font-weight:normal;">&#8226; The trading of higher-fee
accounts could be favored as to timing and/or execution price.&#160; For example,
higher-fee accounts could be permitted to sell securities earlier than other
accounts when a prompt sale is desirable or to buy securities at an earlier and
more opportune time.</font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-left:.5in;"><font color=black face=arial lang=EN-US style="font-size:12.0pt;font-weight:normal;">&#8226; The trading of other
accounts could be used to benefit higher-fee accounts (front- running). </font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-left:.5in;"><font color=black face=arial lang=EN-US style="font-size:12.0pt;font-weight:normal;">&#8226; The investment management
team could focus their time and efforts primarily on higher-fee accounts due to
a personal stake in compensation.&#160; </font></p>

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<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:12.0pt;font-weight:normal;">Putnam Management attempts to
address these potential conflicts of interest relating to higher-fee accounts
through various compliance policies that are generally intended to place all
accounts, regardless of fee structure, on the same footing for investment
management purposes.&#160; For example, under Putnam Management&#8217;s policies:</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:12.0pt;font-weight:normal;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-left:.5in;"><font color=black face=arial lang=EN-US style="font-size:12.0pt;font-weight:normal;">&#8226; Performance fee accounts
must be included in all standard trading and allocation procedures with all
other accounts. </font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-left:.5in;"><font color=black face=arial lang=EN-US style="font-size:12.0pt;font-weight:normal;">&#8226; All accounts must be
allocated to a specific category of account and trade in parallel with
allocations of similar accounts based on the procedures generally applicable to
all accounts in those groups (e.g., based on relative risk budgets of
accounts).&#160; </font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-left:.5in;"><font color=black face=arial lang=EN-US style="font-size:12.0pt;font-weight:normal;">&#8226; All trading must be
effected through Putnam&#8217;s trading desks and normal queues and procedures must
be followed (i.e., no special treatment is permitted for performance fee
accounts or higher-fee accounts based on account fee structure). </font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-left:.5in;"><font color=black face=arial lang=EN-US style="font-size:12.0pt;font-weight:normal;">&#8226; Front running is strictly
prohibited. </font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-left:.5in;"><font color=black face=arial lang=EN-US style="font-size:12.0pt;font-weight:normal;">&#8226; The fund&#8217;s Portfolio
Manager(s) may not be guaranteed or specifically allocated any portion of a
performance fee. </font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-left:.5in;"><font color=black face=arial lang=EN-US style="font-size:12.0pt;font-weight:normal;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:12.0pt;"><font color=black face=arial lang=EN-US style="font-size:12.0pt;">As part of these policies, Putnam Management has also implemented trade
oversight and review procedures in order to monitor whether particular accounts
(including higher-fee accounts or performance fee accounts) are being favored
over time.&#160; </font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:12.0pt;line-height:12.0pt;">Potential conflicts of interest may also arise when the Portfolio
Manager(s) have personal investments in other accounts that may create an
incentive to favor those accounts.&#160; As a general matter and subject to limited
exceptions, Putnam Management&#8217;s investment professionals do not have the
opportunity to invest in client accounts, other than the Putnam funds.&#160;
However, in the ordinary course of business, Putnam Management or related
persons may from time to time establish &#8220;pilot&#8221; or &#8220;incubator&#8221; funds for the
purpose of testing proposed investment strategies and products prior to offering
them to clients.&#160; These pilot accounts may be in the form of registered
investment companies, private funds such as partnerships or separate accounts
established by Putnam Management or an affiliate.&#160; Putnam Management or an
affiliate supplies the funding for these accounts.&#160; Putnam employees, including
the fund&#8217;s Portfolio Manager(s), may also invest in certain pilot accounts.&#160;
Putnam Management, and to the extent applicable, the Portfolio Manager(s) will
benefit from the favorable investment performance of those funds and accounts.&#160;
Pilot funds and accounts may, and frequently do, invest in the same securities
as the client accounts.&#160; Putnam Management&#8217;s policy is to treat pilot accounts
in the same manner as client accounts for purposes of trading allocation &#8211;
neither favoring nor disfavoring them except as is legally required.&#160; For
example, pilot accounts are normally included in Putnam Management&#8217;s daily
block trades to the same extent as client accounts</font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;letter-spacing:0pt;line-height:12.0pt;text-decoration:none;"> (except that pilot accounts do not participate in
initial public offerings)</font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;line-height:12.0pt;">.&nbsp;</font></p>

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<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:12.0pt;">A potential conflict of interest may arise when the fund and other
accounts purchase or sell the same securities.&#160; On occasions when the Portfolio
Manager(s) consider the purchase or sale of a security to be in the best interests
of the fund as well as other accounts, Putnam Management&#8217;s trading desk may, to
the extent permitted by applicable laws and regulations, aggregate the
securities to be sold or purchased in order to obtain the best execution and
lower brokerage commissions, if any.&#160; Aggregation of trades may create the
potential for unfairness to the fund or another account if one account is
favored over another in allocating the securities purchased or sold &#8211; for
example, by allocating a disproportionate amount of a security that is likely
to increase in value to a favored account.&#160; Putnam Management&#8217;s trade
allocation policies generally provide that each day&#8217;s transactions in
securities that are purchased or sold by multiple accounts are, insofar as
possible, averaged as to price and allocated between such accounts (including
the fund) in a manner which in Putnam Management&#8217;s opinion is equitable to each
account and in accordance with the amount being purchased or sold by each
account.&#160; Certain exceptions exist for specialty, regional or sector accounts.&#160;
Trade allocations are reviewed on a periodic basis as part of Putnam
Management&#8217;s trade oversight procedures in an attempt to ensure fairness over
time across accounts.</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:12.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:12.0pt;">&#8220;Cross trades,&#8221;
in which one Putnam account sells a particular security to another account
(potentially saving transaction costs for both accounts), may also pose a
potential conflict of interest.&#160; Cross trades may be seen to involve a
potential conflict of interest if, for example, one account is permitted to
sell a security to another account at a higher price than an independent third
party would pay</font><font color=windowtext face=arial lang=EN-US style="font-size:10.0pt;letter-spacing:0pt;text-decoration:none;">, </font><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;letter-spacing:0pt;text-decoration:none;">or if such trades result in more attractive investments
being allocated to higher-fee accounts</font><font color=black face=arial lang=EN-US style="font-size:10.0pt;">.&nbsp;</font><font color=black face=arial lang=EN-US style="font-size:12.0pt;">&#160; Putnam Management and the fund&#8217;s Trustees have adopted
compliance procedures that provide that any transactions between the fund and
another Putnam-advised account are to be made at an independent current market
price, as required by law.</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:12.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:12.0pt;">Another
potential conflict of interest may arise based on the different investment
objectives and strategies of the fund and other accounts.&#160; For example, another
account may have a shorter-term investment horizon or different investment
objectives, policies or restrictions than the fund.&#160; Depending on another
account&#8217;s objectives or other factors, the Portfolio Manager(s) may give advice
and make decisions that may differ from advice given, or the timing or nature
of decisions made, with respect to the fund.&#160; In addition, investment decisions
are the product of many factors in addition to basic suitability for the
particular account involved.&#160; Thus, a particular security may be bought or sold
for certain accounts even though it could have been bought or sold for other
accounts at the same time.&#160; More rarely, a particular security may be bought
for one or more accounts managed by the Portfolio Manager(s) when one or more
other accounts are selling the security (including short sales).&#160; There may be
circumstances when purchases or sales of portfolio securities for one or more accounts
may have an adverse effect on other accounts.&#160; As noted above, Putnam
Management has </font></p>
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<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:12.0pt;">implemented trade oversight and review
procedures to monitor whether any account is systematically favored over time.&#160;
</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:12.0pt;">&#160;&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:12.0pt;line-height:12.0pt;">The fund&#8217;s Portfolio Manager(s) may also face other potential
conflicts of interest in managing the fund, and the description above is not a
complete description of every conflict that could be deemed to exist in
managing both the fund and other accounts.&#160; </font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">(a)(3) </font><b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">Compensation
of portfolio managers.</font></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;"> </font><font color=windowtext face=arial lang=EN-US style="font-size:10.0pt;">Putnam&#8217;s goal for our products and investors is to deliver strong
performance versus peers or performance ahead of benchmark, depending on the
product, over a rolling 3-year period. Portfolio managers are evaluated and
compensated, in part, based on their performance relative to this goal across
the products they manage. In addition to their individual performance,
evaluations take into account the performance of their group and a subjective
component. </font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial lang=EN-US style="font-size:10.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial lang=EN-US style="font-size:10.0pt;">Each
portfolio manager is assigned an industry competitive incentive compensation
target consistent with this goal and evaluation framework. Actual incentive
compensation may be higher or lower than the target, based on individual,
group, and subjective performance, and may also reflect the performance of
Putnam as a firm. Typically, performance is measured over the lesser of three
years or the length of time a portfolio manager has managed a product. <br>
<br>
Incentive compensation includes a cash bonus and may also include grants of
deferred cash, stock or options. In addition to incentive compensation,
portfolio managers receive fixed annual salaries typically based on level of
responsibility and experience. <br>
<br>
</font><font color=black face=arial lang=EN-US style="font-size:10.0pt;">For this fund, the peer group Putnam compares fund
performance against is its broad investment category as determined by Lipper
Inc. and identified in the shareholder report included in Item 1.</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:12.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">(a)(4)&#160; </font><b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">Fund ownership.&#160; </font></b><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">The
following table shows the dollar ranges of shares of the fund owned by the
professionals listed above at the end of the fund&#8217;s last two fiscal years,
including investments by their immediate family members and amounts invested
through retirement and deferred compensation plans.</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=blue face=arial lang=EN-US style="font-size:12.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=blue face=arial lang=EN-US style="font-size:12.0pt;">&nbsp;</font></p>

<div align=left><table cellpadding=0 cellspacing=0 border=0 style="border-collapse:collapse;width:7in;">
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  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">* Assets
  in the fund</font></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
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  </td>
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  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
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  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
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  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
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  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
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  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
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  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
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  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
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  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
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  </td>
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  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 </tr>
<tr style="height:13.5pt;">
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  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:13.5pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:13.5pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:13.5pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:13.5pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:13.5pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:13.5pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:13.5pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:13.5pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:13.5pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:13.5pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:13.5pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:13.5pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:13.5pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=7% style="background:white;height:13.5pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 </tr>
<tr style="height:12.75pt;">
  <td nowrap valign=bottom width=9% style="background:black;border-left:solid windowtext 1.0pt;border-top:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=white face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:black;border:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=white face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:black;border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;border-top:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=white face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:black;border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;border-top:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=white face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td colspan=2 rowspan=2 valign=bottom width=12% style="background:black;border-bottom:solid black 1.0pt;border-top:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><font color=white face=arial style="font-size:10.0pt;">$1&#8211;$10,000</font></p>
  </td>
 <td colspan=2 rowspan=2 valign=bottom width=12% style="background:black;border-bottom:solid black 1.0pt;border-right:solid black 1.0pt;border-top:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><font color=white face=arial style="font-size:10.0pt;">$10,001&#8211; $50,000</font></p>
  </td>
 <td colspan=2 rowspan=2 valign=bottom width=12% style="background:black;border-bottom:solid black 1.0pt;border-right:solid black 1.0pt;border-top:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><font color=white face=arial style="font-size:10.0pt;">$50,001&#8211; $100,000</font></p>
  </td>
 <td colspan=2 rowspan=2 valign=bottom width=12% style="background:black;border-bottom:solid black 1.0pt;border-right:solid black 1.0pt;border-top:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><font color=white face=arial style="font-size:10.0pt;">$100,001&#8211; $500,000</font></p>
  </td>
 <td colspan=2 rowspan=2 valign=bottom width=12% style="background:black;border-bottom:solid black 1.0pt;border-right:solid black 1.0pt;border-top:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><font color=white face=arial style="font-size:10.0pt;">$500,001&#8211; $1,000,000</font></p>
  </td>
 <td colspan=2 rowspan=2 valign=bottom width=13% style="background:black;border-bottom:solid black 1.0pt;border-right:solid black 1.0pt;border-top:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><font color=white face=arial style="font-size:10.0pt;">$1,000,001 and over</font></p>
  </td>
 </tr>
<tr style="height:12.75pt;">
  <td nowrap valign=bottom width=9% style="background:black;border:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=white face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:black;border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=right style="margin:0in;margin-bottom:.0001pt;text-align:right;"><font color=white face=arial style="font-size:10.0pt;">Year</font></p>
  </td>
 <td colspan=2 valign=bottom width=12% style="background:black;border-bottom:solid windowtext 1.0pt;border-right:solid black 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><font color=white face=arial style="font-size:10.0pt;">$0 </font></p>
  </td>
 </tr>
<tr style="height:12.75pt;">
  <td nowrap valign=bottom width=9% style="background:white;border-left:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><b><font color=windowtext face=arial style="font-size:10.0pt;">D.
  William Kohli</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-right:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=right style="margin:0in;margin-bottom:.0001pt;text-align:right;"><font color=windowtext face=arial style="font-size:10.0pt;">2011</font></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:10.0pt;">*</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-right:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-right:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=#ff6600 face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-right:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=#ff6600 face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-right:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=#ff6600 face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-right:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=#ff6600 face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-right:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=#ff6600 face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=7% style="background:white;border-right:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=#ff6600 face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 </tr>
<tr style="height:12.75pt;">
  <td nowrap valign=bottom width=9% style="background:white;border-left:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><i><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></i></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=right style="margin:0in;margin-bottom:.0001pt;text-align:right;"><font color=windowtext face=arial style="font-size:10.0pt;">2010</font></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-bottom:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:10.0pt;">*</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-bottom:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=#ff6600 face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-bottom:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=#ff6600 face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-bottom:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=#ff6600 face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-bottom:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=#ff6600 face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-bottom:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=#ff6600 face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-bottom:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=7% style="background:white;border-right:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=#ff6600 face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 </tr>
<tr style="height:12.75pt;">
  <td nowrap valign=bottom width=9% style="background:white;border-left:solid windowtext 1.0pt;border-top:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><b><font color=windowtext face=arial style="font-size:10.0pt;">Michael
  Atkin</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-right:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=right style="margin:0in;margin-bottom:.0001pt;text-align:right;"><font color=windowtext face=arial style="font-size:10.0pt;">2011</font></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:10.0pt;">*</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-right:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-right:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=#ff6600 face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-right:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=#ff6600 face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-right:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=#ff6600 face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-right:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=#ff6600 face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-right:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=#ff6600 face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=7% style="background:white;border-right:solid black 1.0pt;border-top:solid black 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=#ff6600 face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 </tr>
<tr style="height:12.75pt;">
  <td nowrap valign=bottom width=9% style="background:white;border-left:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><i><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></i></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=right style="margin:0in;margin-bottom:.0001pt;text-align:right;"><font color=windowtext face=arial style="font-size:10.0pt;">2010</font></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-bottom:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:10.0pt;">*</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-right:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-right:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=#ff6600 face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-right:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=#ff6600 face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-right:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=#ff6600 face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-right:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=#ff6600 face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-right:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=#ff6600 face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=7% style="background:white;border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=#ff6600 face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 </tr>
<tr style="height:12.75pt;">
  <td nowrap valign=bottom width=9% style="background:white;border-left:solid windowtext 1.0pt;border-top:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><b><font color=windowtext face=arial style="font-size:10.0pt;">Michale
  V Salm **</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-right:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=right style="margin:0in;margin-bottom:.0001pt;text-align:right;"><font color=windowtext face=arial style="font-size:10.0pt;">2011</font></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:10.0pt;">*</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-right:solid windowtext 1.0pt;border-top:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-top:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-right:solid windowtext 1.0pt;border-top:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=#ff6600 face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-top:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-right:solid windowtext 1.0pt;border-top:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=#ff6600 face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-top:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-right:solid windowtext 1.0pt;border-top:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=#ff6600 face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-top:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-right:solid windowtext 1.0pt;border-top:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=#ff6600 face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-top:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-right:solid windowtext 1.0pt;border-top:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=#ff6600 face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-top:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=7% style="background:white;border-right:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=#ff6600 face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 </tr>
<tr style="height:12.75pt;">
  <td nowrap valign=bottom width=9% style="background:white;border-bottom:solid windowtext 1.0pt;border-left:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><i><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></i></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=right style="margin:0in;margin-bottom:.0001pt;text-align:right;"><font color=windowtext face=arial style="font-size:10.0pt;">2010</font></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-bottom:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-bottom:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=#ff6600 face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-bottom:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=#ff6600 face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-bottom:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=#ff6600 face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-bottom:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=#ff6600 face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-bottom:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=#ff6600 face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-bottom:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=7% style="background:white;border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=#ff6600 face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 </tr>
<tr style="height:12.75pt;">
  <td nowrap valign=bottom width=9% style="background:white;border-left:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><b><font color=windowtext face=arial style="font-size:10.0pt;">Kevin
  Murphy</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-right:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=right style="margin:0in;margin-bottom:.0001pt;text-align:right;"><font color=windowtext face=arial style="font-size:10.0pt;">2011</font></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:10.0pt;">*</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-right:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-right:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=#ff6600 face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-right:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=#ff6600 face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-right:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=#ff6600 face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-right:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=#ff6600 face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-right:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=#ff6600 face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=7% style="background:white;border-right:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=#ff6600 face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 </tr>
<tr style="height:12.75pt;">
  <td nowrap valign=bottom width=9% style="background:white;border-left:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><i><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></i></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=right style="margin:0in;margin-bottom:.0001pt;text-align:right;"><font color=windowtext face=arial style="font-size:10.0pt;">2010</font></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-bottom:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:10.0pt;">*</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-right:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-right:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=#ff6600 face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-right:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=#ff6600 face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-right:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=#ff6600 face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-right:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=#ff6600 face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-right:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=#ff6600 face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=7% style="background:white;border-right:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=#ff6600 face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 </tr>
<tr style="height:12.75pt;">
  <td nowrap valign=bottom width=9% style="background:white;border-left:solid windowtext 1.0pt;border-top:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><b><font color=windowtext face=arial style="font-size:10.0pt;">Paul
  Scanlon</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-right:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=right style="margin:0in;margin-bottom:.0001pt;text-align:right;"><font color=windowtext face=arial style="font-size:10.0pt;">2011</font></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:10.0pt;">*</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-right:solid windowtext 1.0pt;border-top:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-top:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-right:solid windowtext 1.0pt;border-top:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=#ff6600 face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-top:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-right:solid windowtext 1.0pt;border-top:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=#ff6600 face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-top:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-right:solid windowtext 1.0pt;border-top:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=#ff6600 face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-top:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-right:solid windowtext 1.0pt;border-top:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=#ff6600 face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-top:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-right:solid windowtext 1.0pt;border-top:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=#ff6600 face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-top:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=7% style="background:white;border-right:solid windowtext 1.0pt;border-top:solid windowtext 1.0pt;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=#ff6600 face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 </tr>
<tr style="height:13.5pt;">
  <td nowrap valign=bottom width=9% style="background:white;border-bottom:solid windowtext 1.0pt;border-left:solid windowtext 1.0pt;height:13.5pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><i><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></i></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;height:13.5pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=right style="margin:0in;margin-bottom:.0001pt;text-align:right;"><font color=windowtext face=arial style="font-size:10.0pt;">2010</font></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-bottom:solid windowtext 1.0pt;height:13.5pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:10.0pt;">*</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;height:13.5pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-bottom:solid windowtext 1.0pt;height:13.5pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;height:13.5pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=#ff6600 face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-bottom:solid windowtext 1.0pt;height:13.5pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;height:13.5pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=#ff6600 face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-bottom:solid windowtext 1.0pt;height:13.5pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;height:13.5pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=#ff6600 face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-bottom:solid windowtext 1.0pt;height:13.5pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;height:13.5pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=#ff6600 face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-bottom:solid windowtext 1.0pt;height:13.5pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;height:13.5pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=#ff6600 face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;border-bottom:solid windowtext 1.0pt;height:13.5pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 <td nowrap valign=bottom width=7% style="background:white;border-bottom:solid windowtext 1.0pt;border-right:solid windowtext 1.0pt;height:13.5pt;padding:0in 5.4pt 0in 5.4pt;">
  <p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><b><font color=#ff6600 face=arial style="font-size:10.0pt;">&nbsp;</font></b></p>
  </td>
 </tr>
<tr style="height:12.75pt;">
  <td nowrap valign=bottom width=9% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
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  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
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  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
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  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
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  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
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  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
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  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
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  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=7% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 </tr>
<tr style="height:12.75pt;">
  <td colspan=6 nowrap valign=bottom width=39% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
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  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
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  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
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  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
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  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
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  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=7% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 </tr>
<tr style="height:12.75pt;">
  <td colspan=6 rowspan=2 valign=bottom width=39% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">** Became
  a portfolio member during the 2011 fiscal year.</font></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=7% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 </tr>
<tr style="height:12.75pt;">
  <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=7% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 </tr>
<tr style="height:12.75pt;">
  <td nowrap valign=bottom width=9% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=7% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 </tr>
<tr style="height:12.75pt;">
  <td nowrap valign=bottom width=9% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=6% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=7% style="background:white;height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 </tr>
</table></div>


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<p style="margin:0in;margin-bottom:.0001pt;"><font face=Times lang=EN-US style="font-size:12.0pt;">&nbsp;</font></p>





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<p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">(b) Not applicable</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial lang=EN-US style="font-size:12.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><u><font color=black face=Arial lang=EN-US style="font-size:10.0pt;">Item 9. Purchases of Equity
Securities by Closed-End Management Investment Companies and Affiliated
Purchasers:</font></u></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=black face=Arial lang=EN-US style="font-size:10.0pt;text-decoration:none;">&nbsp;</font></p>

<div align=left><table cellpadding=0 cellspacing=0 border=0 style="border-collapse:collapse;width:7in;">
 <tr style="height:12.0pt;">
  <td colspan=3 nowrap valign=bottom width=57% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">Registrant Purchase of Equity Securities</font></p>
  </td>
 <td nowrap valign=bottom width=21% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=22% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 </tr>
<tr style="height:12.0pt;">
  <td nowrap valign=bottom width=23% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=17% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=17% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=21% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=22% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">Maximum</font></p>
  </td>
 </tr>
<tr style="height:12.0pt;">
  <td nowrap valign=bottom width=23% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=17% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=17% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=21% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">Total Number </font></p>
  </td>
 <td nowrap valign=bottom width=22% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">Number (or </font></p>
  </td>
 </tr>
<tr style="height:12.0pt;">
  <td nowrap valign=bottom width=23% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=17% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=17% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=21% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">of Shares</font></p>
  </td>
 <td nowrap valign=bottom width=22% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">Approximate </font></p>
  </td>
 </tr>
<tr style="height:12.0pt;">
  <td nowrap valign=bottom width=23% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=17% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=17% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=21% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">Purchased </font></p>
  </td>
 <td nowrap valign=bottom width=22% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">Dollar Value ) </font></p>
  </td>
 </tr>
<tr style="height:12.0pt;">
  <td nowrap valign=bottom width=23% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=17% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=17% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=21% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">as Part</font></p>
  </td>
 <td nowrap valign=bottom width=22% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">of Shares</font></p>
  </td>
 </tr>
<tr style="height:12.0pt;">
  <td nowrap valign=bottom width=23% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=17% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=17% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=21% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">of Publicly</font></p>
  </td>
 <td nowrap valign=bottom width=22% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">that May Yet Be</font></p>
  </td>
 </tr>
<tr style="height:12.0pt;">
  <td nowrap valign=bottom width=23% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=17% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">Total Number</font></p>
  </td>
 <td nowrap valign=bottom width=17% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">Average</font></p>
  </td>
 <td nowrap valign=bottom width=21% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">Announced</font></p>
  </td>
 <td nowrap valign=bottom width=22% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">Purchased</font></p>
  </td>
 </tr>
<tr style="height:12.0pt;">
  <td nowrap valign=bottom width=23% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=17% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">of Shares</font></p>
  </td>
 <td nowrap valign=bottom width=17% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">Price Paid</font></p>
  </td>
 <td nowrap valign=bottom width=21% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">Plans or </font></p>
  </td>
 <td nowrap valign=bottom width=22% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">under the Plans</font></p>
  </td>
 </tr>
<tr style="height:12.0pt;">
  <td nowrap valign=bottom width=23% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><u><font color=windowtext face=arial style="font-size:10.0pt;">Period</font></u></p>
  </td>
 <td nowrap valign=bottom width=17% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><u><font color=windowtext face=arial style="font-size:10.0pt;">Purchased</font></u></p>
  </td>
 <td nowrap valign=bottom width=17% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><u><font color=windowtext face=arial style="font-size:10.0pt;">per Share</font></u></p>
  </td>
 <td nowrap valign=bottom width=21% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><u><font color=windowtext face=arial style="font-size:10.0pt;">Programs*</font></u></p>
  </td>
 <td nowrap valign=bottom width=22% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><u><font color=windowtext face=arial style="font-size:10.0pt;">or Programs** </font></u></p>
  </td>
 </tr>
<tr style="height:12.0pt;">
  <td nowrap valign=bottom width=23% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font face=arial style="font-size:10.0pt;">October 1 - October 7, 2010</font></p>
  </td>
 <td nowrap valign=bottom width=17% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">-</font></p>
  </td>
 <td nowrap valign=bottom width=17% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">-</font></p>
  </td>
 <td nowrap valign=bottom width=21% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">-</font></p>
  </td>
 <td nowrap valign=bottom width=22% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">6,456,512</font></p>
  </td>
 </tr>
<tr style="height:12.0pt;">
  <td nowrap valign=bottom width=23% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font face=arial style="font-size:10.0pt;">October 8 - October 31, 2010</font></p>
  </td>
 <td nowrap valign=bottom width=17% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">-</font></p>
  </td>
 <td nowrap valign=bottom width=17% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">-</font></p>
  </td>
 <td nowrap valign=bottom width=21% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">-</font></p>
  </td>
 <td nowrap valign=bottom width=22% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">6,542,431</font></p>
  </td>
 </tr>
<tr style="height:12.0pt;">
  <td nowrap valign=bottom width=23% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">November 1 - November 30, 2010</font></p>
  </td>
 <td nowrap valign=bottom width=17% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">-</font></p>
  </td>
 <td nowrap valign=bottom width=17% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">-</font></p>
  </td>
 <td nowrap valign=bottom width=21% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">-</font></p>
  </td>
 <td nowrap valign=bottom width=22% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">6,542,431</font></p>
  </td>
 </tr>
<tr style="height:12.0pt;">
  <td nowrap valign=bottom width=23% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">December 1 - December 31, 2010</font></p>
  </td>
 <td nowrap valign=bottom width=17% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">-</font></p>
  </td>
 <td nowrap valign=bottom width=17% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">-</font></p>
  </td>
 <td nowrap valign=bottom width=21% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">-</font></p>
  </td>
 <td nowrap valign=bottom width=22% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">6,542,431</font></p>
  </td>
 </tr>
<tr style="height:12.0pt;">
  <td nowrap valign=bottom width=23% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">January 1 - January 31, 2011</font></p>
  </td>
 <td nowrap valign=bottom width=17% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">-</font></p>
  </td>
 <td nowrap valign=bottom width=17% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">-</font></p>
  </td>
 <td nowrap valign=bottom width=21% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">-</font></p>
  </td>
 <td nowrap valign=bottom width=22% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">6,542,431</font></p>
  </td>
 </tr>
<tr style="height:12.0pt;">
  <td nowrap valign=bottom width=23% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">February 1 - February 28, 2011</font></p>
  </td>
 <td nowrap valign=bottom width=17% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">-</font></p>
  </td>
 <td nowrap valign=bottom width=17% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">-</font></p>
  </td>
 <td nowrap valign=bottom width=21% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">-</font></p>
  </td>
 <td nowrap valign=bottom width=22% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">6,542,431</font></p>
  </td>
 </tr>
<tr style="height:12.0pt;">
  <td nowrap valign=bottom width=23% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">March 1 - March 31, 2011</font></p>
  </td>
 <td nowrap valign=bottom width=17% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">-</font></p>
  </td>
 <td nowrap valign=bottom width=17% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">-</font></p>
  </td>
 <td nowrap valign=bottom width=21% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">-</font></p>
  </td>
 <td nowrap valign=bottom width=22% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">6,542,431</font></p>
  </td>
 </tr>
<tr style="height:12.0pt;">
  <td nowrap valign=bottom width=23% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">April 1 - April 30, 2011</font></p>
  </td>
 <td nowrap valign=bottom width=17% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">-</font></p>
  </td>
 <td nowrap valign=bottom width=17% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">-</font></p>
  </td>
 <td nowrap valign=bottom width=21% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">-</font></p>
  </td>
 <td nowrap valign=bottom width=22% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">6,542,431</font></p>
  </td>
 </tr>
<tr style="height:12.0pt;">
  <td nowrap valign=bottom width=23% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">May 1 - May 31, 2011</font></p>
  </td>
 <td nowrap valign=bottom width=17% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">-</font></p>
  </td>
 <td nowrap valign=bottom width=17% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">-</font></p>
  </td>
 <td nowrap valign=bottom width=21% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">-</font></p>
  </td>
 <td nowrap valign=bottom width=22% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">6,542,431</font></p>
  </td>
 </tr>
<tr style="height:12.0pt;">
  <td nowrap valign=bottom width=23% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">June 1 - June 30, 2011</font></p>
  </td>
 <td nowrap valign=bottom width=17% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">-</font></p>
  </td>
 <td nowrap valign=bottom width=17% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">-</font></p>
  </td>
 <td nowrap valign=bottom width=21% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">-</font></p>
  </td>
 <td nowrap valign=bottom width=22% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">6,542,431</font></p>
  </td>
 </tr>
<tr style="height:12.0pt;">
  <td nowrap valign=bottom width=23% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">July 1 - July 31, 2011</font></p>
  </td>
 <td nowrap valign=bottom width=17% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">-</font></p>
  </td>
 <td nowrap valign=bottom width=17% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">-</font></p>
  </td>
 <td nowrap valign=bottom width=21% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">-</font></p>
  </td>
 <td nowrap valign=bottom width=22% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">6,542,431</font></p>
  </td>
 </tr>
<tr style="height:12.0pt;">
  <td nowrap valign=bottom width=23% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">August 1 - August 31, 2011</font></p>
  </td>
 <td nowrap valign=bottom width=17% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">-</font></p>
  </td>
 <td nowrap valign=bottom width=17% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">-</font></p>
  </td>
 <td nowrap valign=bottom width=21% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">-</font></p>
  </td>
 <td nowrap valign=bottom width=22% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">6,542,431</font></p>
  </td>
 </tr>
<tr style="height:12.0pt;">
  <td nowrap valign=bottom width=23% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">September 1 - September 30, 2011</font></p>
  </td>
 <td nowrap valign=bottom width=17% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">-</font></p>
  </td>
 <td nowrap valign=bottom width=17% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">-</font></p>
  </td>
 <td nowrap valign=bottom width=21% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">-</font></p>
  </td>
 <td nowrap valign=bottom width=22% style="height:12.0pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial style="font-size:10.0pt;">6,542,431</font></p>
  </td>
 </tr>
</table></div>

<p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial lang=EN-US style="font-size:10.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial lang=EN-US style="font-size:10.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=#3366ff face=arial lang=EN-US style="font-size:12.0pt;">&nbsp;</font></p>

<div align=left><table cellpadding=0 cellspacing=0 border=0 style="border-collapse:collapse;width:7in;">
 <tr style="height:12.75pt;">
  <td nowrap valign=bottom width=100% style="height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial style="font-size:10.0pt;">* In October 2005, the Board of Trustees of the Putnam Funds
  initiated the closed-end fund share </font></p>
  </td>
 </tr>
<tr style="height:12.75pt;">
  <td nowrap valign=bottom width=100% style="height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial style="font-size:10.0pt;">repurchase program, which, as subsequently
  amended, authorized the repurchase of up to 10% </font></p>
  </td>
 </tr>
<tr style="height:12.75pt;">
  <td nowrap valign=bottom width=100% style="height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial style="font-size:10.0pt;">of the fund's outstanding common shares over the two-years
  ending October 5, 2007.  The </font></p>
  </td>
 </tr>
<tr style="height:12.75pt;">
  <td nowrap valign=bottom width=100% style="height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial style="font-size:10.0pt;">Trustees subsequently renewed the program on four occasions, to
  permit the repurchase of an </font></p>
  </td>
 </tr>
<tr style="height:12.75pt;">
  <td nowrap valign=bottom width=100% style="height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial style="font-size:10.0pt;">additional 10% of the fund's outstanding common shares over each
  of the twelve-month periods </font></p>
  </td>
 </tr>
<tr style="height:12.75pt;">
  <td nowrap valign=bottom width=100% style="height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial style="font-size:10.0pt;">beginning on October 8, 2007, October 8, 2008 ,October 8, 2009
  and October 8, 2010.  </font></p>
  </td>
 </tr>
<tr style="height:12.75pt;">
  <td nowrap valign=bottom width=100% style="height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial style="font-size:10.0pt;">The October 8, 2008 - October 7, 2009 program, which was
  announced in September</font></p>
  </td>
 </tr>
<tr style="height:12.75pt;">
  <td nowrap valign=bottom width=100% style="height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial style="font-size:10.0pt;">2008, allowed repurchases up to a total of </font><font face=arial style="font-size:10.0pt;">6,664,051&nbsp;</font><font color=black face=arial style="font-size:10.0pt;"> shares of the fund.
  The October 8, 2009 </font></p>
  </td>
 </tr>
<tr style="height:12.75pt;">
  <td nowrap valign=bottom width=100% style="height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial style="font-size:10.0pt;">- October 7, 2010 program, which was announced in September
  2009, allows repurchases up to </font></p>
  </td>
 </tr>
<tr style="height:12.75pt;">
  <td nowrap valign=bottom width=100% style="height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial style="font-size:10.0pt;">a total of </font><font face=arial style="font-size:10.0pt;">6,456,512&nbsp;</font><font color=black face=arial style="font-size:10.0pt;"> shares of the fund.</font></p>
  </td>
 </tr>
<tr style="height:12.75pt;">
  <td nowrap valign=bottom width=100% style="height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial style="font-size:10.0pt;">The October 8, 2010 - October 7, 2011 program, which was
  announced in September 2010, allows repurchases up to</font></p>
  </td>
 </tr>
<tr style="height:12.75pt;">
  <td nowrap valign=bottom width=100% style="height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial style="font-size:10.0pt;">a total of 6,542,431 shares of the fund.</font></p>
  </td>
 </tr>
<tr style="height:12.75pt;">
  <td nowrap valign=bottom width=100% style="height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial style="font-size:10.0pt;">The October 8, 2011 - October 7, 2012 program, which was
  announced in September 2011, allows repurchases up to</font></p>
  </td>
 </tr>
<tr style="height:12.75pt;">
  <td nowrap valign=bottom width=100% style="height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial style="font-size:10.0pt;">a total of 6,569,062 shares of the fund.</font></p>
  </td>
 </tr>
</table></div>


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</DIV>
<p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=#3366ff face=arial lang=EN-US style="font-size:12.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial lang=EN-US style="font-size:10.0pt;">&nbsp;</font></p>

<div align=left><table cellpadding=0 cellspacing=0 border=0 style="border-collapse:collapse;width:7in;">
 <tr style="height:12.75pt;">
  <td colspan=4 nowrap valign=bottom width=100% style="height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">**Information
  prior to October 7, 2010 is based on the total number of shares eligible for
  repurchase </font></p>
  </td>
 </tr>
<tr style="height:12.75pt;">
  <td colspan=4 nowrap valign=bottom width=100% style="height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">under the
  program, as amended through September 2009.  Information from October 8, 2010</font></p>
  </td>
 </tr>
<tr style="height:12.75pt;">
  <td colspan=4 nowrap valign=bottom width=100% style="height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">forward
  is based on the total number of shares eligible for repurchase under the
  program, as </font></p>
  </td>
 </tr>
<tr style="height:12.75pt;">
  <td nowrap valign=bottom width=31% style="height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">amended
  through September  2010</font></p>
  </td>
 <td nowrap valign=bottom width=21% style="height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=23% style="height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=25% style="height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 </tr>
<tr style="height:12.75pt;">
  <td nowrap valign=bottom width=31% style="height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=21% style="height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=23% style="height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 <td nowrap valign=bottom width=25% style="height:12.75pt;padding:0in 5.4pt 0in 5.4pt;">
  <p style="margin:0in;margin-bottom:.0001pt;"><font color=windowtext face=arial style="font-size:10.0pt;">&nbsp;</font></p>
  </td>
 </tr>
</table></div>

<p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=windowtext face=arial lang=EN-US style="font-size:10.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><u><font color=black face=Arial lang=EN-US style="font-size:10.0pt;">Item 10. Submission of
Matters to a Vote of Security Holders:</font></u></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">Not applicable</font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><u><font color=black face=Arial lang=EN-US style="font-size:10.0pt;">Item 11. Controls and
Procedures:</font></u></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">(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="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">(b) Changes in internal control over financial
reporting: Not applicable </font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font face=arial lang=EN-US style="font-size:10.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><u><font color=black face=Arial lang=EN-US style="font-size:10.0pt;">Item 12. Exhibits:</font></u></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">(a)(1)&#160; The Code of Ethics of The Putnam Funds,
which incorporates the Code of Ethics of Putnam Investments, is filed herewith.</font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">(a)(2) Separate certifications for the principal
executive officer and principal financial officer of the registrant as required
by Rule 30a-2(a) under the Investment Company Act of 1940, as amended, are
filed herewith.</font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">(b) The certifications required by Rule 30a-2(b)
under the Investment Company Act of 1940, as amended, are filed herewith.</font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">&nbsp;</font></p>

<h1 style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;page-break-after:avoid;">&nbsp;</h1>
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<h1 style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;page-break-after:avoid;"><u><font color=black face=Arial style="font-size:10.0pt;font-weight:normal;">SIGNATURES</font></u></h1>

<p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">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="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">&nbsp;</font></p>

<h1 style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;page-break-after:avoid;"><u><font color=black face=Arial style="font-size:10.0pt;font-weight:normal;">Putnam Master Intermediate Income Trust</font></u></h1>

<p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">By (Signature and Title):</font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><u><font color=black face=arial lang=EN-US style="font-size:10.0pt;">/s/Janet C. Smith</font></u></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">Janet C. Smith</font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">Principal Accounting Officer</font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">Date: November 29, 2011</font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">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="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">By (Signature and Title):</font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><u><font color=black face=arial lang=EN-US style="font-size:10.0pt;">/s/Jonathan S. Horwitz</font></u></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">Jonathan S. Horwitz</font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">Principal Executive Officer</font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">Date: November 29, 2011</font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">By (Signature and Title):</font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><u><font color=black face=arial lang=DE style="font-size:10.0pt;">/s/Steven D. Krichmar</font></u></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=black face=arial lang=DE style="font-size:10.0pt;">Steven D. Krichmar</font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">Principal Financial Officer</font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-right:0pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">Date: November 29, 2011</font></p>

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<div>

<p style="margin:0in;margin-bottom:.0001pt;"><u><font color=black face=arial lang=EN-US style="font-size:10.0pt;">Certifications</font></u></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">I, Jonathan S. Horwitz, the Principal Executive
Officer of the funds listed on Attachment A, certify that:</font></p><p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">1. I have reviewed each report on Form N-CSR of
the funds listed on Attachment A:</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">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="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">3. Based on my knowledge, the financial
statements, and other financial information included in each report, fairly
present in all material respects the financial condition, results of
operations, changes in net assets, and cash flows (if the financial statements
are required to include a statement of cash flows) of the registrant as of, and
for, the periods presented in each report;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">4. The registrant's other certifying officer and
I are responsible for establishing and maintaining disclosure controls and procedures
(as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and
internal control over financial reporting (as defined in Rule 30a-3(d) under
the Investment Company Act of 1940) for the registrant and have:</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">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="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">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="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">c) evaluated the effectiveness of the
registrant's disclosure controls and procedures and presented in this report
our conclusions about the effectiveness of the disclosure controls and
procedures, as of a date within 90 days prior to the filing date of each report
based on such evaluation; and</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">d) disclosed in this report any change in the
registrant&#8217;s internal control over financial reporting that occurred during the
registrant&#8217;s most recent fiscal quarter that has materially affected, or is
reasonably likely to materially affect, the registrant&#8217;s internal control over financial
reporting; and</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">5. The registrant's other certifying officer and
I have disclosed to each registrant's auditors and the audit committee of each
registrant's board of directors (or persons performing the equivalent
functions):</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">a) all significant deficiencies and material
weaknesses in the design or operation of internal control over financial
reporting which are reasonably likely to adversely affect each registrant's
ability to record, process, summarize, and report financial information; and</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">b) any fraud, whether or not material, that
involves management or other employees who have a significant role in each
registrant's internal control over financial reporting.</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">Date: November 28, 2011</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;"><br>
<br>
/s/ Jonathan S. Horwitz<br>
_______________________</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font face="Times New Roman" lang=EN-US style="font-size:12.0pt;">&nbsp;</font></p>

</div>

<div>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">Jonathan S. Horwitz<br>
Principal Executive Officer</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font face="Times New Roman" lang=EN-US style="font-size:12.0pt;">&nbsp;</font></p>

<div>

<p style="margin:0in;margin-bottom:.0001pt;"><font face=times lang=EN-US style="font-size:12.0pt;">&nbsp;</font></p>

</div>

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<div><p style="margin:0in;margin-bottom:.0001pt;"><font face=times lang=EN-US style="font-size:12.0pt;">&nbsp;</font></p>

</div>

<p style="margin:0in;margin-bottom:.0001pt;"><u><font color=black face=arial lang=EN-US style="font-size:10.0pt;">Certifications</font></u></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">I, Steven D. Krichmar, the Principal Financial
Officer of the funds listed on Attachment A, certify that:</font></p><p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">1. I have reviewed each report on Form N-CSR of
the funds listed on Attachment A:</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">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="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">3. Based on my knowledge, the financial
statements, and other financial information included in each report, fairly
present in all material respects the financial condition, results of
operations, changes in net assets, and cash flows (if the financial statements
are required to include a statement of cash flows) of the registrant as of, and
for, the periods presented in each report;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">4. The registrant's other certifying officer and
I are responsible for establishing and maintaining disclosure controls and
procedures (as defined in Rule 30a-3(c) under the Investment Company Act of
1940) and internal control over financial reporting (as defined in Rule
30a-3(d) under the Investment Company Act of 1940) for the registrant and have:</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">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="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">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="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">c) evaluated the effectiveness of the
registrant's disclosure controls and procedures and presented in this report
our conclusions about the effectiveness of the disclosure controls and
procedures, as of a date within 90 days prior to the filing date of each report
based on such evaluation; and</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">d) disclosed in this report any change in the
registrant&#8217;s internal control over financial reporting that occurred during the
registrant&#8217;s most recent fiscal quarter that has materially affected, or is
reasonably likely to materially affect, the registrant&#8217;s internal control over
financial reporting; and</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">5. The registrant's other certifying officer and
I have disclosed to each registrant's auditors and the audit committee of each
registrant's board of directors (or persons performing the equivalent
functions):</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">a) all significant deficiencies and material
weaknesses in the design or operation of internal control over financial
reporting which are reasonably likely to adversely affect each registrant's
ability to record, process, summarize, and report financial information; and</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">b) any fraud, whether or not material, that
involves management or other employees who have a significant role in each
registrant's internal control over financial reporting.</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">Date:&nbsp; November 28, 2011</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font face="Times New Roman" lang=EN-US style="font-size:12.0pt;">&nbsp;</font></p>

</div>

<div>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">/s/ Steven D. Krichmar<br>
_______________________<br>
Steven D. Krichmar<br>
Principal Financial Officer</font></p>

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<div>

<p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><font face=arial lang=EN-US style="font-size:10.0pt;">Attachment A</font></p>

<p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><font face=arial lang=EN-US style="font-size:10.0pt;">N-CSR</font></p>

<p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><font face=arial lang=EN-US style="font-size:10.0pt;">Period (s) ended September 30, 2011</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font face=arial lang=EN-US style="font-size:11.0pt;">&nbsp;</font></p>

<p style="margin-bottom:.0001pt;margin-left:1.0in;margin-right:0in;margin-top:0in;text-indent:.5in;"><font face=arial lang=EN-US style="font-size:12.0pt;">Putnam
Master Intermediate Income Trust</font></p>

<p style="margin-bottom:.0001pt;margin-left:1.0in;margin-right:0in;margin-top:0in;text-indent:.5in;"><font face=arial lang=EN-US style="font-size:12.0pt;">Putnam California Tax Exempt Income Fund</font></p>

<p style="margin-bottom:.0001pt;margin-left:1.5in;margin-right:0in;margin-top:0in;"><font face=arial lang=EN-US style="font-size:12.0pt;">Putnam American
Government Income Fund</font></p>

<p style="margin-bottom:.0001pt;margin-left:1.5in;margin-right:0in;margin-top:0in;"><font face=arial lang=EN-US style="font-size:12.0pt;">Putnam Tax Exempt Income
Fund</font></p>

<p style="margin-bottom:.0001pt;margin-left:1.5in;margin-right:0in;margin-top:0in;"><font face=arial lang=EN-US style="font-size:12.0pt;">Putnam International
Growth Fund</font></p>

<p style="margin-bottom:.0001pt;margin-left:1.5in;margin-right:0in;margin-top:0in;"><font face=arial lang=EN-US style="font-size:12.0pt;">Putnam U.S. Government Income Trust</font></p>

<p style="margin-bottom:.0001pt;margin-left:1.5in;margin-right:0in;margin-top:0in;"><font face=arial lang=EN-US style="font-size:12.0pt;">Putnam Money Market Fund</font></p>

<p style="margin-bottom:.0001pt;margin-left:1.5in;margin-right:0in;margin-top:0in;"><font face=arial lang=EN-US style="font-size:12.0pt;">Putnam Money Market
Liquidity Fund</font></p>

<p style="margin-bottom:.0001pt;margin-left:1.5in;margin-right:0in;margin-top:0in;"><font face=arial lang=EN-US style="font-size:12.0pt;">Putnam Tax Exempt Money
Market Fund</font></p>

<p style="margin-bottom:.0001pt;margin-left:1.5in;margin-right:0in;margin-top:0in;"><font face=arial lang=EN-US style="font-size:12.0pt;">Putnam Diversified
Income Trust</font></p>

<p style="margin-bottom:.0001pt;margin-left:1.5in;margin-right:0in;margin-top:0in;"><font face=arial lang=EN-US style="font-size:12.0pt;">Putnam Dynamic Asset
Allocation Balanced Fund</font></p>

<p style="margin-bottom:.0001pt;margin-left:1.5in;margin-right:0in;margin-top:0in;"><font face=arial lang=EN-US style="font-size:12.0pt;">Putnam Dynamic Asset
Allocation Growth Fund</font></p>

<p style="margin-bottom:.0001pt;margin-left:1.0in;margin-right:0in;margin-top:0in;text-indent:.5in;"><font face=arial lang=EN-US style="font-size:12.0pt;">Putnam
Dynamic Asset Allocation Conservative Fund</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font face=times lang=EN-US style="font-size:12.0pt;">&nbsp;</font></p>

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<SEQUENCE>3
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<DESCRIPTION>EX-99.906 CERT
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<h1 style="margin:0in;margin-bottom:.0001pt;page-break-after:avoid;"><u><font color=black face=Arial style="font-size:10.0pt;font-weight:normal;">Section 906 Certifications</font></u></h1>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=Arial lang=EN-US style="font-size:10.0pt;">I, Jonathan S. Horwitz, the Principal Executive Officer of
the Funds listed on Attachment A, certify that, to my knowledge:</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">1.
The form N-CSR of the Funds listed on Attachment A for the period ended
September 30, 2011&#160;&#160; fully complies with the requirements of Section 13(a) or
15(d) of the Securities Exchange Act of 1934; and</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">2.
The information contained in the Form N-CSR of the Funds listed on Attachment A
for the period ended September 30, 2011 fairly presents, in all material respects,
the financial condition and results of operations of the Funds listed on
Attachment A.</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">Date:
November 28, 2011</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">/s/
Jonathan S. Horwitz</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">______________________</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">Jonathan
S. Horwitz</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">Principal
Executive Officer</font></p>





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</DIV>
<p style="margin:0in;margin-bottom:.0001pt;"><font face=arial lang=EN-US style="font-size:10.0pt;">&nbsp;</font></p>

<h1 style="margin:0in;margin-bottom:.0001pt;page-break-after:avoid;"><u><font color=black face=Arial style="font-size:10.0pt;font-weight:normal;">Section 906 Certifications</font></u></h1>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=Arial lang=EN-US style="font-size:10.0pt;">I, Steven D. Krichmar, the Principal Financial Officer of
the Funds listed on Attachment A, certify that, to my knowledge:</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">1.
The form N-CSR of the Funds listed on Attachment A for the period ended
September 30, 2011&#160;&#160; fully complies with the requirements of Section 13(a) or
15(d) of the Securities Exchange Act of 1934; and</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">2.
The information contained in the Form N-CSR of the Funds listed on Attachment A
for the period ended September 30, 2011 fairly presents, in all material
respects, the financial condition and results of operations of the Funds listed
on Attachment A.</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">Date:
November 28, 2011</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font color=black face=arial lang=EN-US style="font-size:10.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font face=arial lang=EN-US style="font-size:10.0pt;">/s/ Steven
D. Krichmar</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font face=arial lang=EN-US style="font-size:10.0pt;">______________________</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font face=arial lang=EN-US style="font-size:10.0pt;">Steven D.
Krichmar</font></p>

<h2 style="margin-bottom:3.0pt;margin-left:0in;margin-right:0in;margin-top:12.0pt;page-break-after:avoid;"><font color=black face=Arial style="font-size:10.0pt;font-style:normal;font-weight:normal;">Principal Financial Officer</font></h2>

<p style="margin:0in;margin-bottom:.0001pt;text-indent:.5in;"><font color=black face=Arial lang=EN-US style="font-size:10.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font face=arial lang=EN-US style="font-size:12.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;text-indent:.5in;"><font color=black face=Arial lang=EN-US style="font-size:10.0pt;">&nbsp;</font></p>





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<a name="_bclHeader3"></a><DIV>





<p style="margin:0in;margin-bottom:.0001pt;"><font face=Times lang=EN-US style="font-size:12.0pt;">&nbsp;</font></p>





</DIV>
<p style="margin:0in;margin-bottom:.0001pt;margin-left:1.0in;text-indent:.5in;"><font face=arial lang=EN-US style="font-size:12.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font face=arial lang=EN-US style="font-size:12.0pt;">&nbsp;</font></p>

<p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><font face=arial lang=EN-US style="font-size:10.0pt;">Attachment A</font></p>

<p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><font face=arial lang=EN-US style="font-size:10.0pt;">N-CSR</font></p>

<p align=center style="margin:0in;margin-bottom:.0001pt;text-align:center;"><font face=arial lang=EN-US style="font-size:10.0pt;">Period (s) ended September 30, 2011</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font face=arial lang=EN-US style="font-size:11.0pt;">&nbsp;</font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-left:1.0in;text-indent:.5in;"><font face=arial lang=EN-US style="font-size:12.0pt;">Putnam Master Intermediate Income Trust</font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-left:1.0in;text-indent:.5in;"><font face=arial lang=EN-US style="font-size:12.0pt;">Putnam California Tax Exempt Income Fund</font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-left:1.5in;"><font face=arial lang=EN-US style="font-size:12.0pt;">Putnam
American Government Income Fund</font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-left:1.5in;"><font face=arial lang=EN-US style="font-size:12.0pt;">Putnam
Tax Exempt Income Fund</font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-left:1.5in;"><font face=arial lang=EN-US style="font-size:12.0pt;">Putnam
International Growth Fund</font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-left:1.5in;"><font face=arial lang=EN-US style="font-size:12.0pt;">Putnam
U.S. Government Income Trust</font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-left:1.5in;"><font face=arial lang=EN-US style="font-size:12.0pt;">Putnam
Money Market Fund</font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-left:1.5in;"><font face=arial lang=EN-US style="font-size:12.0pt;">Putnam
Money Market Liquidity Fund</font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-left:1.5in;"><font face=arial lang=EN-US style="font-size:12.0pt;">Putnam
Tax Exempt Money Market Fund</font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-left:1.5in;"><font face=arial lang=EN-US style="font-size:12.0pt;">Putnam
Diversified Income Trust</font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-left:1.5in;"><font face=arial lang=EN-US style="font-size:12.0pt;">Putnam
Dynamic Asset Allocation Balanced Fund</font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-left:1.5in;"><font face=arial lang=EN-US style="font-size:12.0pt;">Putnam
Dynamic Asset Allocation Growth Fund</font></p>

<p style="margin:0in;margin-bottom:.0001pt;margin-left:1.0in;text-indent:.5in;"><font face=arial lang=EN-US style="font-size:12.0pt;">Putnam Dynamic Asset Allocation Conservative Fund</font></p>

<p style="margin:0in;margin-bottom:.0001pt;"><font face=Times lang=EN-US style="font-size:12.0pt;">&nbsp;</font></p>




<a name="_bclFooter3"></a><DIV>





<p style="margin:0in;margin-bottom:.0001pt;"><font face=Times lang=EN-US style="font-size:12.0pt;">&nbsp;</font></p>





</DIV>
</DIV><HR noshade align="center" width="100%" size=2><DIV STYLE="page-break-before: always">&nbsp;</div>
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end
</TEXT>
</DOCUMENT>
<DOCUMENT>
<TYPE>EX-99.CODE ETH
<SEQUENCE>17
<FILENAME>a_nf68stixmod7.htm
<TEXT>

<HTML>
<HEAD>
   <TITLE>a_nf68stixmod7.htm</TITLE>
</HEAD>

<BODY bgcolor="#ffffff">


<!--$$/page=-->
<DIV STYLE="WIDTH: 100%; PADDING-RIGHT: 0%; PADDING-LEFT: 0%">
<P style="text-align: left;">
<FONT size=4 face="serif">Amendments to Putnam&#146;s Code of Ethics &#150; June 2011</FONT></P>
<P style="text-align: left;">
<B><I><FONT size=3 face="serif">The following sections of the Code are rewritten to read in their entirety as follows:</FONT></I></B></P>
<P style="text-align: left;">
<B><FONT size=3 face="serif">Definitions</FONT></B></P>
<P style="text-align: left;">
<B><FONT size=3 face="serif">Access Person </FONT></B><FONT size=3 face="serif">Putnam has identified certain employees as Access Persons due to their position or access to investment information. Access Persons are held to a higher standard under the Code than other employees. Please ask the Code of Ethics Officer if you have any question whether you are an Access Person. The following employees are Access Persons:</FONT></P>
<P style="text-align: left;">
<FONT size=3 face="serif">&#149; All employees of Putnam&#146;s Investment Management Division</FONT></P>
<P style="text-align: left;">
<FONT size=3 face="serif">&#149; Employees of the Operations Division within the following specific groups and departments:</FONT></P>
<P style="text-align: left;">
<FONT size=3 face="serif">&raquo; Fund Administration Group</FONT></P>
<P style="text-align: left;">
<FONT size=3 face="serif">&raquo; investment Services and Operations Group</FONT></P>
<P style="text-align: left;">
<FONT size=3 face="serif">&raquo; Accounting Services Group</FONT></P>
<P style="text-align: left;">
<FONT size=3 face="serif">&raquo; Custody Services Group</FONT></P>
<P style="text-align: left;">
<FONT size=3 face="serif">&#149; Any employee in the following groups or divisions who reports directly to a member of the Operating Committee:</FONT></P>
<P style="text-align: left;">
<FONT size=3 face="serif">&raquo; Mutual Fund Shareholder Services Group</FONT></P>
<P style="text-align: left;">
<FONT size=3 face="serif">&raquo; Accounting, Custody, and Control Services Group</FONT></P>
<P style="text-align: left;">
<FONT size=3 face="serif">&raquo; Global Marketing and Products Division</FONT></P>
<P style="text-align: left;">
<FONT size=3 face="serif">&raquo; Defined Contribution Division</FONT></P>
<P style="text-align: left;">
<FONT size=3 face="serif">&raquo; Global Distribution Division</FONT></P>
<P style="text-align: left;">
<FONT size=3 face="serif">&#149; All members of Putnam&#146;s Operating Committee</FONT></P>
<P style="text-align: left;">
<FONT size=3 face="serif">&#149; All employees of Putnam investments Limited (PiL) and all other Putnam employees based in Europe</FONT></P>
<P style="text-align: left;">
<FONT size=3 face="serif">&#149; All directors and officers of a registered investment advisor affiliate, e.g., Putnam investment Management, LLC (PIM), or The Putnam Advisory Company, LLC (PAC)</FONT></P>
<P style="text-align: left;">
<FONT size=3 face="serif">&#149; All employees who have access to My Putnam (unless access is limited to the </FONT><I><FONT size=3 face="serif">Wall Street Journal, Factiva</FONT></I><FONT size=3 face="serif">, or other systems that do not allow access to non-public information about Putnam products, as determined by the Code of Ethics Officer)</FONT></P>
<P style="text-align: left;">
<FONT size=3 face="serif">&#149; Employees who have systems access or other access to non-public information about any client&#146;s purchase or sale of securities or to information regarding portfolio holdings or recommendations with respect to such purchases or sales</FONT></P>
<P style="text-align: left;">
<FONT size=3 face="serif">&#149; </FONT><FONT size=3 face="serif">Others as determined by the Code of Ethics Officer</FONT></P>
</DIV>

<HR noshade align="center" width="100%" size=2>


<!--$$/page=-->
<DIV style="PADDING-LEFT: 0%; WIDTH: 100%; PADDING-RIGHT: 0%">
<P style="TEXT-ALIGN: left"><B><FONT size=3 face=serif>Section 8 &#151; Sanctions</FONT></B></P>
<P style="TEXT-ALIGN: left"><FONT size=3 face=serif>The Code of Ethics Oversight Committee has adopted the following minimum monetary sanctions for violations of the Code. These sanctions apply even if the exception results from inadvertence rather than intentional misbehavior. The Code of Ethics Oversight Committee will review and approve sanctions on employees. However, the sanctions noted below are only minimums, and the Committee reserves the right to impose sanctions it believes fit the circumstances, such as higher monetary sanctions, trading bans, suspension, or termination of employment. The Committee&#146;s belief that an employee has violated the Code of Ethics intentionally may result in more severe sanctions than outlined in the guidelines.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=3 face=serif>8.1. </FONT><B><FONT size=3 face=serif>Sanctions for violations of Sections 1-3</FONT></B><FONT size=3 face=serif>.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=3 face=serif>The minimum sanction per violation of the Rules in Sections 1, 2 or 3 is disgorgement of any profits or payment of avoided losses and the following payments:</FONT></P>
<DIV align=left>
<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>
<TR>
     <TD width="33%"></TD>
     <TD width="33%"></TD>
     <TD width="33%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><B><FONT size=3 face=serif>Investment Division,</FONT></B>&nbsp;</TD>
     <TD noWrap align=left><B><FONT size=3 face=serif>All other employees</FONT></B>&nbsp;<B><FONT size=3 face=serif>not </FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><B><FONT size=3 face=serif>Operating Committee</FONT></B>&nbsp;</TD>
     <TD noWrap align=left><B><FONT size=3 face=serif>included in the</FONT></B>&nbsp;<B><FONT size=3 face=serif>criteria </FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><B><FONT size=3 face=serif>Member, and any</FONT></B>&nbsp;</TD>
     <TD noWrap align=left><B><FONT size=3 face=serif>for inclusion in</FONT></B>&nbsp;<B><FONT size=3 face=serif>the higher </FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><B><FONT size=3 face=serif>employee who reports</FONT></B>&nbsp;</TD>
     <TD noWrap align=left><B><FONT size=3 face=serif>sanction</FONT></B>&nbsp;<B><FONT size=3 face=serif>schedule</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><B><FONT size=3 face=serif>directly to an</FONT></B>&nbsp;<B><FONT size=3 face=serif>Operating</FONT></B></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><B><FONT size=3 face=serif><B><FONT size=3 face=serif>Committee</FONT></B> Member</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><B><FONT size=3 face=serif>(administrative</FONT></B>&nbsp;<B><FONT size=3 face=serif>assistants</FONT></B></TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><B><FONT size=3 face=serif>will be</FONT></B>&nbsp;<B><FONT size=3 face=serif>excluded from the</FONT></B></TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><B><FONT size=3 face=serif>higher sanction</FONT></B>&nbsp;<B><FONT size=3 face=serif>schedule)</FONT></B></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><FONT size=3 face=serif>1st violation</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=3 face=serif>$250</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=3 face=serif>$50</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=3 face=serif>2nd violation</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=3 face=serif>$500</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=3 face=serif>$100</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=3 face=serif>3rd violation</FONT>&nbsp;</TD>
     <TD colSpan=2 noWrap align=left><FONT size=3 face=serif>Minimum monetary sanction for a 2</FONT><SUP><FONT size=3 face=serif>nd </FONT></SUP><FONT size=3 face=serif>violation with</FONT>&nbsp;<FONT size=3 face=serif>a </FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD colSpan=2 noWrap align=left><FONT size=3 face=serif>ban on all new personal securities transactions</FONT>&nbsp;<FONT size=3 face=serif>for time </FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD colSpan=2 noWrap align=left><FONT size=3 face=serif>period determined by the Code of Ethics</FONT>&nbsp;<FONT size=3 face=serif>Oversight </FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=3 face=serif>Committee</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR></TABLE></DIV>
<P style="MARGIN: 0px">&nbsp;</P>
</DIV>
<HR align=center SIZE=2 width="100%" noShade>

<!--$$/page=-->
<DIV style="PADDING-LEFT: 0%; WIDTH: 100%; PADDING-RIGHT: 0%">
<P style="TEXT-ALIGN: left"><FONT size=3 face=serif>8.2. </FONT><B><FONT size=3 face=serif>Sanctions for violations of Sections 4-6</FONT></B><FONT size=3 face=serif>.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=3 face=serif>The minimum sanction for violations of the rules in Sections 4-6 is as follows:</FONT></P>
<DIV align=left>
<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>
<TR>
     <TD width="33%"></TD>
     <TD width="33%"></TD>
     <TD width="33%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><B><FONT size=3 face=serif>Investment Division,</FONT></B>&nbsp;</TD>
     <TD noWrap align=left><B><FONT size=3 face=serif>All other employees</FONT></B>&nbsp;<B><FONT size=3 face=serif>not </FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><B><FONT size=3 face=serif>Operating Committee</FONT></B>&nbsp;</TD>
     <TD noWrap align=left><B><FONT size=3 face=serif>included in the</FONT></B>&nbsp;<B><FONT size=3 face=serif>criteria </FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><B><FONT size=3 face=serif>Member, and any</FONT></B>&nbsp;</TD>
     <TD noWrap align=left><B><FONT size=3 face=serif>for inclusion in</FONT></B>&nbsp;<B><FONT size=3 face=serif>the higher </FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><B><FONT size=3 face=serif>employee who reports</FONT></B>&nbsp;</TD>
     <TD noWrap align=left><B><FONT size=3 face=serif>sanction</FONT></B>&nbsp;<B><FONT size=3 face=serif>schedule</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><B><FONT size=3 face=serif>directly to an</FONT></B>&nbsp;<B><FONT size=3 face=serif>Operating </FONT></B></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><B><FONT size=3 face=serif><B><FONT size=3 face=serif>Committee</FONT></B> Member</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><B><FONT size=3 face=serif>(administrative</FONT></B>&nbsp;<B><FONT size=3 face=serif>assistants </FONT></B></TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><B><FONT size=3 face=serif>will be&nbsp;<B><FONT size=3 face=serif>excluded from the</FONT></B></FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><B><FONT size=3 face=serif>higher sanction</FONT></B>&nbsp;<B><FONT size=3 face=serif>schedule)</FONT></B></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><FONT size=3 face=serif>1st violation</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=3 face=serif>Warning</FONT>&nbsp;</TD>
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     <TD noWrap align=left><FONT size=3 face=serif>$50</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=3 face=serif>$25</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left><FONT size=3 face=serif>$100</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=3 face=serif>$50</FONT>&nbsp;</TD></TR>
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<P style="MARGIN: 0px"><FONT size=3 face=serif>8.3. </FONT><B><FONT size=3 face=serif>Sanctions for violations of Section 7</FONT></B><FONT size=3 face=serif>.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=3 face=serif>All violations concerning the use of material, non-public information, failure to report inside information, or insider trading will be presented to the Code of Ethics Oversight Committee to determine the appropriate sanction, up to and including termination. Severe criminal penalties may also be imposed.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=3 face=serif>The reference period for determining generally whether a violation is initial or subsequent will be three years.</FONT></P>
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     <TD noWrap align=left><FONT size=3 face=sans-serif><B>working@PUTNAM</B></FONT><B>&nbsp;</B></TD>
     <TD noWrap align=right><FONT size=3 face=sans-serif><B>JUNE 2010</B></FONT><B>&nbsp;</B></TD></TR>
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<P style="TEXT-ALIGN: left"><B><FONT size=6 face=sans-serif>Putnam&#146;s</FONT></B></P>
<P style="TEXT-ALIGN: left"><B><FONT size=6 face=sans-serif>Code of Ethics</FONT></B></P>
<BR>
<P style="TEXT-ALIGN: left"><FONT  size=2 face=sans-serif>[Graphic omitted: Portrait of Samuel Putnam]</FONT></P>
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<P style="TEXT-ALIGN: left"><FONT  size=2 face=sans-serif>[Graphic omitted: Putnam Investments logo]</FONT></P>

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<P style="TEXT-ALIGN: left"><FONT size=4 face=sans-serif>Putnam Investments Code of Ethics</FONT></P>
<P style="TEXT-ALIGN: left"><FONT face=sans-serif>Putnam Investments is required by law to adopt a Code of Ethics (the &#147;Code&#148;). The objective of the Code is to ensure that Putnam&#146;s employees comply with all applicable laws and avoid any conflict of interest that might result in any harm to our clients. Putnam owes a fiduciary duty to its clients. This Code of Ethics is designed to strengthen the trust and confidence our clients place in us and to demonstrate that our clients&#146; interests come first.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT face=sans-serif>Adherence to the Code is a fundamental condition of employment at Putnam. Every employee is expected to adhere to the requirements of the Code. Any employee failing to do so may be subject to disciplinary action, including financial penalties and termination of employment, as determined by the Code of Ethics Officer, the Code of Ethics Oversight Committee, or the Chief Executive Officer of Putnam Investments.</FONT></P>
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<P style="TEXT-ALIGN: left"><FONT size=4 face=sans-serif>Table of Contents</FONT></P>
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     <TD noWrap align=left><FONT size=2 face=sans-serif><B>Putnam Investments Code of Ethics</B></FONT><B>&nbsp;</B></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif><B>1</B></FONT><B>&nbsp;</B></TD></TR>
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     <TD noWrap align=left><FONT size=2 face=sans-serif><B>Definitions</B></FONT><B>&nbsp;</B></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif><B>3</B></FONT><B>&nbsp;</B></TD></TR>
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     <TD noWrap align=left>&nbsp;</TD>
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     <TD noWrap align=left><FONT size=2 face=sans-serif><B>Section 1 &#151; Personal Securities Rules for All Employees</B></FONT><B>&nbsp;</B></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif><B>5</B></FONT><B>&nbsp;</B></TD></TR>
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     <TD noWrap align=left><FONT size=2 face=sans-serif>1.1. Pre-clearance Requirements</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>5</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left><FONT size=2 face=sans-serif>1.2. Restricted List</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>6</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left><FONT size=2 face=sans-serif>1.3. Prohibited Transactions</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>6</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left><FONT size=2 face=sans-serif><B>Section 2 &#151; Putnam Mutual Funds</B></FONT><B>&nbsp;</B></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif><B>7</B></FONT><B>&nbsp;</B></TD></TR>
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     <TD noWrap align=left><FONT size=2 face=sans-serif>2.1. Holding Putnam Mutual Fund Shares at Putnam</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>7</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left><FONT size=2 face=sans-serif>2.2. Putnam Mutual Funds &#151; Employee Holding Periods and Linked Accounts</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>7</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left><FONT size=2 face=sans-serif>2.3. Putnam Mutual Funds &#151; Closed-End Fund Rules</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>8</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left>&nbsp;</TD>
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     <TD noWrap align=left><FONT size=2 face=sans-serif><B>Section 3 &#151; Additional Rules for Access Persons and Certain Investment Professionals</B></FONT><B>&nbsp;</B></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif><B>8</B></FONT><B>&nbsp;</B></TD></TR>
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     <TD noWrap align=left><FONT size=2 face=sans-serif>3.1. 60-Day Short-Term Rule &#151; All Access Persons</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>8</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left><FONT size=2 face=sans-serif>3.2. 7-Day Pre-Trade Rule (Portfolio Managers and Analysts)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>8</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left><FONT size=2 face=sans-serif>3.3. 7-Day Post-Trade Rule (Portfolio Managers and Analysts)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>9</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left><FONT size=2 face=sans-serif>3.4. Contra-Trading Rule (Portfolio Managers and Team Leaders)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>9</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left><FONT size=2 face=sans-serif>3.5. No Personal Benefit (Portfolio Managers and Analysts)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>9</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left><FONT size=2 face=sans-serif><B>Section 4 &#151; Reporting Requirements</B></FONT><B>&nbsp;</B></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif><B>9</B></FONT><B>&nbsp;</B></TD></TR>
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     <TD noWrap align=left><FONT size=2 face=sans-serif>4.1. Brokerage/Securities Accounts &#151; Initial and Annual Requirements</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>9</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left><FONT size=2 face=sans-serif>4.2. Separate Provisions for Brokerage/Securities Accounts That Are</FONT>&nbsp;</TD>
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     <TD noWrap align=left><FONT size=2 face=sans-serif>Professionally Managed (Discretionary) Accounts &#151; Initial and Annual Requirements</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>10</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left><FONT size=2 face=sans-serif>4.3. Account Confirmations and Statements</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>10</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left><FONT size=2 face=sans-serif><B>Section 5 &#151; Additional Reporting, Certification, and Training Requirements</B></FONT><B>&nbsp;</B></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif><B>10</B></FONT><B>&nbsp;</B></TD></TR>
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     <TD noWrap align=left><FONT size=2 face=sans-serif>5.1. Initial/Annual Holdings Report &#151; Access Persons Only</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>10</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left><FONT size=2 face=sans-serif>5.2. Quarterly Transaction Report &#151; Access Persons Only</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>10</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left><FONT size=2 face=sans-serif>5.3. Annual Certification &#151; All Employees</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>11</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left><FONT size=2 face=sans-serif>5.4. Training Requirements &#151; All Employees</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>11</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left><FONT size=2 face=sans-serif>5.5. Maintenance and Distribution of the Code of Ethics</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>11</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left><FONT size=2 face=sans-serif>5.6. Procedures and Timeliness</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>11</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left><FONT size=2 face=sans-serif><B>Section 6 &#151; General Ethics Rules for All Employees</B></FONT><B>&nbsp;</B></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif><B>11</B></FONT><B>&nbsp;</B></TD></TR>
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     <TD noWrap align=left><FONT size=2 face=sans-serif>6.1. Outside Business Activities</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>11</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left><FONT size=2 face=sans-serif>6.2. Charitable or Non-profit Roles/Role as Trustee or Fiduciary Outside Putnam Investments</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>12</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left><FONT size=2 face=sans-serif>6.3. Family Members&#146; Conflict Policy</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>12</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left><FONT size=2 face=sans-serif>6.4. CFA Institute Code of Ethics and Standards of Professional Conduct</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>12</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left><FONT size=2 face=sans-serif>6.5. Business Ethics, Ombudsman, and Hotlines</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>13</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left><FONT size=2 face=sans-serif><B>Section 7 &#151; Insider Trading</B></FONT><B>&nbsp;</B></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif><B>13</B></FONT><B>&nbsp;</B></TD></TR>
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     <TD noWrap align=left><FONT size=2 face=sans-serif>7.1. Material, Non-Public Information and Insider Trading</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>13</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left><FONT size=2 face=sans-serif>7.2. Reporting and Restrictions</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>13</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left><FONT size=2 face=sans-serif>7.3. Special Provisions Applicable to Putnam Affiliates</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>14</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left><FONT size=2 face=sans-serif>7.4. PIL Employees</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>14</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left><FONT size=2 face=sans-serif><B>Section 8 &#151; Sanctions</B></FONT><B>&nbsp;</B></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif><B>14</B></FONT><B>&nbsp;</B></TD></TR>
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     <TD noWrap align=left><FONT size=2 face=sans-serif>8.1. Sanctions for Violations of Sections 1&#150;3</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>14</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left><FONT size=2 face=sans-serif>8.2. Sanctions for Violations of Sections 4&#150;6</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>14</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left><FONT size=2 face=sans-serif>8.3. Sanctions for Violations of Section 7</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>14</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left>&nbsp;</TD>
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     <TD noWrap align=left><FONT size=2 face=sans-serif><B>Section 9 &#151; Procedures for Determinations and Exemptions</B></FONT><B>&nbsp;</B></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif><B>15</B></FONT><B>&nbsp;</B></TD></TR>
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     <TD noWrap align=left><FONT size=2 face=sans-serif><B>Appendix A &#151; Contra-Trading Rule Clearance Form</B></FONT><B>&nbsp;</B></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif><B>16</B></FONT><B>&nbsp;</B></TD></TR></TABLE><BR>
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<P style="TEXT-ALIGN: left"><FONT face=sans-serif>Definitions</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Access Person</FONT></B><B><FONT size=2 face=serif> </FONT></B><FONT size=2 face=sans-serif>Putnam has identified certain employees as Access Persons due to their position or access to investment information. Access Persons are held to a higher standard under the Code than other employees. Please ask the Code of Ethics Officer if you have any question whether you are an Access Person. The following employees are Access Persons:</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>&#149; All employees of Putnam&#146;s Investment Management Division</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>&#149; Employees of the Operations Division within the following specific groups and departments:</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>&#187; </FONT><FONT size=2 face=sans-serif>Fund Administration Group</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>&#187; </FONT><FONT size=2 face=sans-serif>Investment Services and Operations Group</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>&#187; </FONT><FONT size=2 face=sans-serif>Accounting Services Group</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>&#187; </FONT><FONT size=2 face=sans-serif>Custody Services Group</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>&#149; Senior Managing Directors and Managing Directors in:</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>&#187; </FONT><FONT size=2 face=sans-serif>Mutual Fund Shareholder Services Group</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>&#187; </FONT><FONT size=2 face=sans-serif>Accounting, Custody, and Control Services Group</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>&#187; </FONT><FONT size=2 face=sans-serif>Global Marketing and Products Division</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>&#187; </FONT><FONT size=2 face=sans-serif>Global Distribution Division</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>&#149; All members of Putnam&#146;s Operating Committee</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>&#149; All employees of Putnam Investments Limited (PIL) and all other Putnam employees based in Europe</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>&#149; All directors and officers of a registered investment advisor affiliate, e.g., Putnam Investment Management, LLC (PIM), or The Putnam Advisory Company, LLC (PAC)</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>&#149; All employees who have access to My Putnam (unless access is limited to the </FONT><I><FONT size=2 face=sans-serif>Wall Street Journal, Factiva</FONT></I><FONT size=2 face=sans-serif>, or other systems that do not allow access to non-public information about Putnam products, as determined by the Code of Ethics Officer)</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>&#149; Employees who have systems access or other access to non-public information about any client&#146;s purchase or sale of securities or to information regarding portfolio holdings or recommendations with respect to such purchases or sales</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>&#149; Others as determined by the Code of Ethics Officer</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Approved Indices</FONT></B><B><FONT size=2 face=serif> </FONT></B><FONT size=2 face=sans-serif>means any securities index (which is typically a broad-based index) determined by the Code of Ethics Officer to present minimal risks of abuse. All Approved Indices are posted on the Putnam Compliance intranet homepage and the Code of Ethics PTA system.</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Closed-end fund&nbsp;</FONT></B><FONT size=2 face=sans-serif>means a fund that has a fixed number of shares outstanding and does not redeem its shares. Closed-end funds typically trade like stocks on an exchange.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>The </FONT><B><FONT size=2 face=sans-serif>Code of Ethics Officer </FONT></B><FONT size=2 face=sans-serif>and the </FONT><B><FONT size=2 face=sans-serif>Deputy Code of Ethics Officer </FONT></B><FONT size=2 face=sans-serif>are responsible for enforcing and interpreting the Code. The following are the current members of the Code of Ethics staff, each of whom can answer employee questions and provide other assistance regarding the Code:</FONT></P>
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     <TD noWrap align=left><FONT size=2 face=sans-serif>Bob Leveille</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>(617) 760-1858</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left><FONT size=2 face=sans-serif>Deputy Code of Ethics Officer:</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Rick DeGregorio</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>(617) 760-1201</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left><FONT size=2 face=sans-serif>Compliance Analyst:</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Dana Scribner-Shea</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>(617) 760-7182</FONT>&nbsp;</TD></TR>
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<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Code of Ethics Oversight Committee&nbsp;</FONT></B><FONT size=2 face=sans-serif>has oversight responsibility for administering the Code of Ethics. Members include the Code of Ethics Officer and other members of Putnam&#146;s senior management appointed by the Chief Executive Officer of Putnam. The Committee reviews and approves Code revisions, violations, and sanctions. In certain instances, requests for exemptions may require the approval of the Committee. The Committee meets on a quarterly basis or as otherwise necessary.</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Exchange-Traded Fund (ETF)&nbsp;</FONT></B><FONT size=2 face=sans-serif>means a fund (other than a closed-end fund) that can be traded on an exchange throughout the day like a stock. ETFs often track an index. Examples include (but are not limited to) SPDRs, WEBs, QQQQs, iShares, and HLDRs.</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Immediate Family&nbsp;</FONT></B><FONT size=2 face=sans-serif>means the Putnam employee&#146;s spouse, domestic partner, fianc&#233;(e), or other family members who are living in the same household. Immediate Family also includes any other family members, including in-laws, for whom the Putnam employee can exercise investment discretion, regardless of whether or not they live in the same household.</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Private Placement&nbsp;</FONT></B><FONT size=2 face=sans-serif>means any offering of a security not offered to the public and not requiring registration with the relevant securities authorities.</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Putnam </FONT></B><FONT size=2 face=sans-serif>means any or all of Putnam Investments, LLC and its subsidiaries (other than PanAgora Asset Management, Inc.), any one of which shall be a Putnam company.</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Putnam employee, or employee,&nbsp;</FONT></B><FONT size=2 face=sans-serif>means any employee of Putnam and, for purposes of all rules in Sections 1, 2, and 3, also includes the following:</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>&#149; Members of the Immediate Family of a Putnam employee;</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>&#149; Any trust in which a Putnam employee or Immediate Family member is a trustee with investment discretion;</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>&#149; Any account for a partnership in which a Putnam employee or Immediate Family member is a general partner or a partner with investment discretion;</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>&#149; Any closely held entity (such as a partnership, limited liability company, or corporation) in which a Putnam employee or Immediate Family member holds a controlling interest and with respect to which he or she has investment discretion;</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>&#149; Any account (including any retirement, pension, deferred compensation, or similar account) in which a Putnam employee or Immediate Family member has a substantial economic interest and over which the Putnam employee or Immediate Family member exercises investment discretion;</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>&#149; Any account other than a Putnam client account that receives investment advice of any sort from the employee or Immediate Family member, or as to which the employee or Immediate Family member has investment discretion.</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Security </FONT></B><FONT size=2 face=sans-serif>The instruments required to be pre-cleared under Section 1.1 are considered to be securities for purposes of this Code and are also required to be reported by Access Persons under Section 4. In addition, transactions in exchange-traded funds (ETFs), exchange-traded notes (ETNs), exchange-traded commodities (ETCs), options, futures, and other derivative securities are required to be reported by Access Persons under Section 4, even for those instruments that are not required to be pre-cleared pursuant to Section 1.1(c).</FONT></P>
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<P style="TEXT-ALIGN: left"><FONT size=4 face=sans-serif>Section 1 &#151; Personal Securities Rules for All Employees</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Putnam maintains the Code of Ethics PTA system to assist employees in fulfilling their obligations under the Code of Ethics. This system can be accessed by selecting the Code of Ethics PTA link, which appears on Putnam&#146;s intranet page in the Secure Information Section under My Essentials. This system allows the automated pre-clearance of publicly traded equities and other securities trading on major U.S. and other exchanges. To pre-clear an options contract for a publicly traded security, pre-clear the underlying security in the Code of Ethics PTA system. To request clearance to trade bonds or other securities, you must contact the Code of Ethics staff. Pre-clearance hours are 9:00 a.m. to 4:00 p.m. EST.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif><B>1.1. Pre-clearance Requirements</B></FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif><B>1.1(a) Employees must pre-clear all trades in the following securities:</B></FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>&#149; Stocks of companies</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>&#149; Bonds (including corporate, municipal, high-yield, and convertible bonds)</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>&#149; Options, warrants, and all other derivatives of any underlying securities which themselves require pre-clearance. Examples include options and futures based on specific stocks or based on indices that are not Approved Indices (see &#147;Definitions&#148; section)</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>&#149; Exchange-traded funds (ETFs ) other than those based on Approved Indices or based on other instruments listed below (under Section 1.1(c)) that do not require pre-clearance</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>&#149; Exchange-traded notes (ETNs) other than those based on Approved Indices</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>&#149; Closed-end funds, including Putnam closed-end funds</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Employees must also pre-clear the following transactions:</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>&#149; Private placements and purchases of hedge funds or other private investment funds must receive pre-approval from the Code of Ethics Oversight Committee</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>&#149; Donating or gifting of securities</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>&#149; Shares purchased by subscription or by mail (if purchasing directly from a company&#146;s transfer agent by check, you must pre-clear the day the check is to be mailed)</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>&#149; Tendering securities from your personal account</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>1.1(b) Provisions Applicable to Pre-Clearances</FONT></B></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>A pre-clearance is only valid for trading on the day it is obtained. However, trades by employees in Putnam&#146;s Asian or European offices, or trades by any employees in securities listed on Asian or European stock exchanges, may be executed within one business day after pre-clearance is obtained. If the Code of Ethics system does not recognize a security, if an employee is unable to use the system, or if he or she has any questions with respect to the system or pre-clearance, the employee must contact the Code of Ethics staff.</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>1.1(c) Exceptions from Pre-Clearance Requirements</FONT></B></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Pre-clearance is not required for certain transactions. (Please note that reporting may still be required for Access Persons even when pre-clearance is not required. See Sections 4 and 5 for reporting requirements.)</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Pre-clearance is not required for:</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>&#149; Open-end mutual funds</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>&#149; Currencies</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>&#149; Commodities</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>&#149; Treasury securities and other U.S. and other sovereign government debt (Please note that agency securities, such as securities issued by Fannie Mae and Freddie Mac, require pre-clearance.)</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>&#149; Certificates of deposit (CDs), commercial paper</FONT><B><FONT size=2 face=sans-serif>, </FONT></B><FONT size=2 face=sans-serif>repurchase agreements, bankers&#146; acceptances, and other money market instruments</FONT></P>
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<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>&#149; Options and futures and all other derivatives of securities not requiring pre-clearance (Please note that examples include options and futures based on Approved Indices (see Definitions) and Treasury futures.)</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>&#149; ETFs and ETNs based on Approved Indices</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>&#149; Exchange-traded commodities (ETCs)</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>&#149; Withdrawals or distributions from a Putnam Retirement Plan that result in the sale of MMC stock</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>&#149; Trades in approved discretionary accounts (see Section 4.2 for additional information)</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>&#149; Transactions that are involuntary (i.e., not initiated by the employee or an immediate family member covered under the Code), including dividend reinvestments under an automatic program of a publicly traded issuer and broker actions not initiated by the employee, such as option assignments or sales out of the brokerage account to cover fees or margin calls (provided the employee may not have withdrawn funds from the margin account in the prior 10 days)</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>1.2. Restricted List</FONT></B></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Employees may not trade in securities that are on Putnam&#146;s restricted list, except as set forth below under &#147;Large-/Mid-Cap Exemption.&#148; There are a number of reasons why a security may appear on the Restricted List, and securities are placed on the Restricted List under criteria, and in specific circumstances, as determined by the Code of Ethics Officer or the Code of Ethics Oversight Committee. If a security is not on the Restricted List, other classes of securities of the same issuer (e.g., preferred or convertible preferred stock) may be on the Restricted List. It is the employee&#146;s responsibility to identify with particularity the class of securities being pre-cleared.</FONT></P>
<P style="TEXT-ALIGN: left"><B><U><FONT size=2 face=sans-serif>Large-/Mid-Cap Exemption</FONT></U></B><B><FONT size=2 face=sans-serif>. </FONT></B><FONT size=2 face=sans-serif>An employee may trade up to 1,000 shares of a security appearing on the Restricted List if it is an equity security of an issuer with a market capitalization greater than $2 billion. However, these transactions must still be pre-cleared. Market capitalization is defined as outstanding shares multiplied by current price per share.</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>1.3. Prohibited Transactions</FONT></B></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>The following transactions and activities are prohibited for all employees:</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>1. Good-Until-Canceled Orders (GTC). Any order not executed on the day of pre-clearance must be resubmitted for pre-clearance before being executed on a subsequent day.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>2. Short sales of any security that is subject to pre-clearance requirements. However, short sales against the box are permitted. In addition, opening an option position that would result in a short position in the underlying security upon assignment or expiration is also prohibited. For example, buying a put option without owning a number of shares at least equal to the delivery obligation under the contract, or selling a naked call option, would be prohibited.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>3. Purchasing securities in an initial public offering (IPO). Although exceptions from this prohibition will rarely be granted, employees may request an exemption from the Code of Ethics Officer, who may grant exceptions in unusual cases such as when an immediate family member&#146;s association or employment with the issuer warrants consideration or when the employee has had a pre-existing status for at least two years as a policyholder or depositor in connection with a bank or insurance company conversion from mutual or cooperative form to stock form.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>4. Trading with Material Non-public Information (see Section 7)</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>5. Personal Trading with Putnam Client Portfolios. Putnam employees may not buy or sell securities when the employee knows a Putnam client account is on the other side of the trade.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>6. Participating in an Investment Club</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>7. Spread Betting. PIL employees may not enter into any spread betting contracts on financial instruments.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>8. Excessive Trading. Employees are prohibited from making more than 10 trades in individual securities in any given quarter across all their accounts (including accounts held by Immediate Family members). For purposes of applying this rule, securities that are required to be pre-cleared shall be the only securities counted, and trading the same security in the same direction (buy or sell) over a period of five business days will be counted as one transaction.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>6</FONT></P>
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<P style="TEXT-ALIGN: left"><FONT size=4 face=sans-serif>Section 2 &#151; Putnam Mutual Funds</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif><B>2.1. Holding Putnam Mutual Fund Shares at Putnam</B></FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Putnam employees must hold shares of Putnam open-end U.S. mutual funds through accounts maintained at Putnam, with Putnam Retail Management (PRM) listed as the dealer of record. All transactions must be executed through Putnam and not through an outside broker or other intermediary.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>These requirements also apply to:</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>&#149; Self-directed IRA accounts holding Putnam fund shares;</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>&#149; Variable annuities and variable insurance contracts, such as Putnam/Hartford Capital Manager and Allstate Advisor, which invest in Putnam Variable Trusts (must list PRM as dealer but may be held at the insurer).</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>In limited circumstances, retirement, pension, deferred compensation, and similar accounts (and variable insurance arrangements) that cannot be legally transferred to Putnam may be allowed to hold Putnam funds upon approval of the Code of Ethics Officer. For example, a spouse of a Putnam employee may have a 401(k)/ Profit Sharing Plan with his or her employer that invests in Putnam funds. The employee must notify the Code of Ethics Officer in writing, provide the reason why the account cannot be transferred to Putnam, and arrange for a quarterly statement of transactions in such account to be sent to the Code of Ethics staff, if approved.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif><B>2.2. Putnam Mutual Funds &#151; Employee Holding Periods and Linked Accounts</B></FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Employees may not, within a 90-calendar day period, make a purchase followed by a sale or a sale followed by a purchase of shares of the same open-end Putnam mutual fund, even if the transactions occur in different accounts.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Employees who have sole or shared supervisory or portfolio management responsibility for a Putnam open-end mutual fund or a U.S. registered mutual fund to which Putnam acts as advisor or sub-advisor may not, within a one-year period, make a purchase followed by a sale or a sale followed by a purchase of shares of such fund, even if the transactions occur in different accounts.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>All employees are required to ensure that their Immediate Family members&#146; accounts holding Putnam mutual funds are linked to comply with the disclosure and holding period requirements. To ensure these accounts are linked, log on to Putnam&#146;s intranet home page at </FONT><U><FONT size=2 face=sans-serif>http://intranet/home/index.shtml</FONT></U><FONT size=2 face=sans-serif>, and select My Essentials/Linked Mutual Fund Accounts.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>The above holding period restrictions do not apply to:</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>&#149; 401(k)/Profit Sharing (or other employee benefit plan) contributions, withdrawals, loans, or distributions, including employer contributions or forfeitures to an employee&#146;s account. However, exchanges within these accounts are subject to these holding period restrictions.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>&#149; Putnam&#146;s Money Market Funds or Putnam Stable Value Fund</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>&#149; Systematic investments, exchanges, or redemptions and payroll deductions. However, once these programs are established/revised, they may not be changed again for 90 days. Employees subject to a one-year holding period with respect to a fund may establish a semiannual or annual automatic rebalancing program, although it may only be changed on an annual basis.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>&#149; Dividend reinvestments, distributions, fund mergers, and share class conversions</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>&#149; Qualified redemptions (i.e., from the Putnam CollegeAdvantage 529 Plan for matters such as tuition, school fees, books, supplies, and equipment required by the school, room and board, disability, and death)</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>In special situations, such as financial hardship or disability, an exemption from the holding period requirements may be provided by the Code of Ethics Oversight Committee upon written application by the employee.</FONT></P>
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<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif><B>2.3. Putnam Mutual Funds &#151; Closed-End Fund Rules</B></FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>2.3(a) </FONT></B><U><FONT size=2 face=sans-serif>Pre-clearance and Reporting</FONT></U><FONT size=2 face=sans-serif>. Putnam closed-end fund shares are subject to the same pre-clearance and reporting requirements as other stocks. A list of the Putnam closed-end funds can be obtained from the Code of Ethics staff.</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>2.3(b) </FONT></B><U><FONT size=2 face=sans-serif>Special Rules Applicable to Managing Directors in the Investment Division, Operating Committee members, and officers of the Putnam Funds</FONT></U><FONT size=2 face=sans-serif>. Managing Directors in Putnam&#146;s Investment Division, Putnam Operating Committee members, and officers of the Putnam Funds will not receive clearance to engage in any combination of purchase and sale, or sale and purchase, of the shares of a given closed-end fund within six months of each other. Therefore, purchases should be made only if you intend to hold the shares more than six months, and sales should not be made if you plan to purchase more shares of that fund within six months.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=4 face=sans-serif>Section 3 &#151; Additional Rules for Access Persons and Certain Investment Professionals</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif><B>3.1. 60-Day Short-Term Rule &#151; All Access Persons</B></FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Access Persons may not sell a security at a price higher than any price paid for that security within the past 60 calendar days, or buy a security at a price below which he or she sold it within the past 60 days. This rule applies to transactions across all accounts of the employee. All trades for the previous 60 days will be compared to the trade date for the transaction in question to determine whether a violation has occurred. Thus, if an employee buys a security for $10, buys it again for $15, and then sells shares of this security for $12, this will be considered a violation even though some shares of the security in question were bought for a higher price. Access Persons may also not open an option transaction for a contract that expires in 60 days or less. Although portfolio managers and analysts may sell securities at a profit within 60 days of purchase in order to comply with the requirements of the 7-Day Pre-Trade and 7-Day Post-Trade Rules (described below), any profit must be disgorged to charity.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif><B>3.2. 7-Day Pre-Trade Rule (Portfolio Managers and Analysts)</B></FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>3.2(a) </FONT></B><FONT size=2 face=sans-serif>Portfolio Managers: (i) Before a portfolio manager places an order to buy a security for any Putnam client portfolio that he manages, he must sell that security or related derivative security if he has purchased it in his personal account within the preceding seven calendar days; or (ii) upon entering an order to sell a security for any Putnam client portfolio that he manages, he must disgorge to charity any losses avoided if he sold the security in his personal account within the preceding seven calendar days. Disgorgements will be measured by the difference between the selling price for the personal account and the selling price for the client account, multiplied by the number of shares sold for the personal account.</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>3.2(b) </FONT></B><FONT size=2 face=sans-serif>Analysts: (i) Before an analyst makes a purchase or an outperform recommendation for a security (including designation of a security for inclusion in the portfolio of Putnam Research Fund), he must sell that security or related derivative security if he has purchased it in his personal account within the preceding seven calendar days; or (ii) upon making a sell or an underperform recommendation for a security (including designation of a security for sale from the portfolio of Putnam Research Fund), he must disgorge to charity any losses avoided if he sold the security in his personal account within the preceding seven calendar days. Disgorgements will be measured by the difference between the selling price for the personal account and the price at the time that the recommendation is made, multiplied by the number of shares sold for the personal account.</FONT></P>
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<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif><B>3.3. 7-Day Post-Trade Rule (Portfolio Managers and Analysts)</B></FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>3.3(a) </FONT></B><FONT size=2 face=sans-serif>Portfolio Managers: No portfolio manager shall: (i) sell any security or related derivative security for her personal account until seven calendar days have elapsed after the date of the most recent purchase of that security or related derivative security by any Putnam client portfolio she manages or co-manages; or (ii) purchase any security or related derivative security for her personal account until seven calendar days have elapsed after the date of the most recent sale of that security or related derivative security from any Putnam client portfolio that she manages or co-manages.</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>3.3(b) </FONT></B><FONT size=2 face=sans-serif>Analysts: No analyst shall: (i) sell any security or related derivative security for his personal account until seven calendar days have elapsed after the date of his most recent buy or outperform recommendation for that security or related derivative security (including designation of a security for inclusion in the portfolio of Putnam Research Fund); or (ii) purchase any security or related derivative security for his personal account until seven calendar days have elapsed after the date of his most recent sell or underperform recommendation for that security or related derivative security (including the removal of a security from the portfolio of Putnam Research Fund).</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif><B>3.4. Contra-Trading Rule (Portfolio Managers and Team Leaders)</B></FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>3.4(a) </FONT></B><FONT size=2 face=sans-serif>Portfolio Managers: No portfolio manager shall, without prior clearance and written approval, sell in his personal account any securities or related derivative securities that are held in any Putnam client portfolio that he manages or co-manages (see Appendix A for the Contra-Trading Rule Clearance Form).</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>3.4(b) </FONT></B><FONT size=2 face=sans-serif>Team Leaders: No Team Leader within the Investment Division shall, without prior clearance and written approval, sell in his personal account any securities or related derivative securities that are held in any Putnam client portfolio managed in his team (see Appendix A for the Contra-Trading Rule Clearance Form).</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif><B>3.5. No Personal Benefit </B><B>(Portfolio Managers and Analysts)</B></FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>No portfolio manager shall cause, and no analyst shall recommend, an action that would cause a Putnam client to take action for the portfolio manager&#146;s or analyst&#146;s own personal benefit. A portfolio manager who trades in, or an analyst who recommends, particular securities for a Putnam client account in order to support the price of securities in his personal account, or who &#147;front runs&#148; a Putnam client order, is in violation of this Rule.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=4 face=sans-serif>Section 4 &#151; Reporting Requirements</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif><B>4.1. Brokerage/Securities Accounts &#151; Initial and Annual Requirements</B></FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>All employees (on their own behalf and on behalf of their Immediate Family members) are required to report the existence of any accounts which have the capability of purchasing any securities. This Rule includes all brokerage accounts, accounts held directly at an issuer&#146;s transfer agent, and securities held in physical certificate form by an employee or any Immediate Family member of the employee. The only investment accounts excluded from this rule are accounts that are only permitted to hold open-end mutual funds (other than Putnam open-end funds) and no other investments.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>To satisfy this requirement, a new employee must enter the requested information in the Code of Ethics PTA system within the required time frame below:</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>&#149; Access Persons &#151; within 10 days of hire</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>&#149; Non-access Persons &#151; within 30 days of hire</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Existing employees opening a new account (including accounts being opened for Immediate Family members) must disclose them in the system in advance of the first personal securities transaction in the account.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>All employees will be required to certify annually that all accounts requiring disclosure are accurately listed in the Code of Ethics PTA system.</FONT></P>
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<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif><B>4.2. Separate Provisions for Brokerage/Securities Accounts That Are Professionally Managed (Discretionary) Accounts &#151; Initial and Annual Requirements</B></FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>If you wish to establish a professionally managed or discretionary account (including professionally managed or discretionary accounts being opened for Immediate Family members), where you completely turn over decision-making authority to a professional money manager who is not subject to this Code, you must disclose the existence of the account and receive approval from the Code of Ethics staff in advance of the first personal securities transaction. You do not need to pre-clear or report securities transactions in these accounts. Please note a discretionary account may not purchase an IPO or hold Putnam open-end mutual funds.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>The broker or advisor maintaining discretion over the account may not be a family member of the Putnam employee.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>In order for the account to be considered discretionary, the employee must:</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>1. Complete an initial certification (as well as annual certifications each year) in which both the employee and the broker/advisor certify that the Putnam employee does not participate in investment decisions on the account; and</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>2. Ensure that copies of broker statements are delivered to Putnam Investments.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif><B>4.3. Account Confirmations and Statements</B></FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>All employees are required to ensure that copies of all confirmations and statements are delivered to Putnam for all accounts described in Section 4.1 above, and to ensure that copies of all statements (but not confirmations) are delivered to Putnam for all discretionary accounts described in Section 4.2. When the employee discloses the account as required, the Code of Ethics staff will issue a 407 letter, or other communication to the entity where the employee&#146;s account is held, requesting that confirmations and statements be sent to Putnam on the employee&#146;s behalf. However, it is ultimately the employee&#146;s responsibility to ensure his or her broker has complied with this request.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>If it is discovered these reports are not being delivered to Putnam, the Code of Ethics staff will bring this issue to the employee&#146;s attention and request he or she assist in rectifying the issue. If it is determined that a broker has failed to comply with requests to deliver these reports, Putnam reserves the right to require the employee to close the account within 30 days by transferring the account to another dealer willing to comply with this requirement (any trades as a result of a transfer must be pre-cleared).</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=4 face=sans-serif>Section 5 &#151; Additional Reporting, Certification, and Training Requirements</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif><B>5.1. Initial/Annual Holdings Report &#151; Access Persons Only</B></FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Access Persons must disclose their securities holdings, including all holdings for Immediate Family member accounts, within 10 days of hire (or within 10 days of becoming an Access Person) and then on an annual basis thereafter (within 45 days after the end of the year). The report of securities holdings must include all securities that require pre-clearance under Section 1.1, as well as holdings in non-U.S. sovereign government debt, ETFs, ETNs, ETCs, options, futures and other derivative securities, and holdings of Putnam open-end U.S. mutual funds not held through a Putnam account and U.S. registered mutual funds to which Putnam acts as advisor or sub-advisor (see Section 4).</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif><B>5.2. Quarterly Transaction Report &#151; Access Persons Only</B></FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Access Persons must disclose and certify all of their personal securities transactions, including transactions for Immediate Family member accounts, within 20 calendar days following the end of each quarter. In addition to the securities requiring pre-clearance under Section 1.1, Access Persons are also required to disclose and certify all personal transactions in non-U.S. sovereign government debt, as well as ETFs, ETNs, ETCs, options, futures, and other derivative securities, not just those requiring pre-clearance.</FONT></P>
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<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif><B>5.3. Annual Certification &#151; All Employees</B></FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Each calendar year, all employees will be required to certify that they have reviewed and understand the rules and requirements of the Code and that the list of brokerage accounts (for the employee and all Immediate Family members) disclosed in the Code of Ethics PTA system is accurate. An e-mail notification will be sent informing employees of their requirement and the due date.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif><B>5.4. Training Requirements &#151; All Employees</B></FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>As deemed necessary by the Code of Ethics staff, employees will be required to complete training on Putnam&#146;s Code of Ethics. E-mail notifications will be sent notifying employees of the requirements and the due date.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif><B>5.5. Maintenance and Distribution of the Code of Ethics</B></FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>When revisions are made to the Code of Ethics, all employees will receive a revised version of the Code. The Code will be available to all employees on Putnam&#146;s intranet site. Hard copies may be requested by contacting the Code of Ethics staff.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif><B>5.6. Procedures and Timeliness</B></FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>The certifications and reports required by the Code are completed in the Code of Ethics PTA system. There are strict deadlines for these filings. Planned absences, vacations, and business trips are not valid excuses for failing to meet a deadline. Employees will receive instructions regarding these submissions and the due dates. Please contact the Code of Ethics staff for assistance.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=4 face=sans-serif>Section 6 &#151; General Ethics Rules for All Employees</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Putnam employees are expected to act ethically at all times in connection with their employment. In addition to complying with the specific provisions of this section, employees should contact the Code of Ethics staff or the Ombudsman if they are not sure how to proceed in any circumstances involving ethical issues or questions.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif><B>6.1. Outside Business Activities</B></FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>No Putnam employee shall serve as employee, officer, director, trustee, or general partner of a corporation or entity other than Putnam, without prior written approval of the Code of Ethics Officer, who may also confirm that the employee&#146;s manager has approved such outside position. Requests for a role at a publicly traded company are especially disfavored and are closely reviewed. Permission will be granted only in extenuating circumstances.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>All employees must provide a written request seeking approval from the Code of Ethics Officer by entering the details of the proposed position in the Code of Ethics PTA system. Employees may not engage in any outside employment activity until they receive an e-mail approving their request. Employees hired at Putnam with an outside position must disclose the position upon hire in the system and may be required to resign such position if the position presents conflicts of interest or other issues.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>FINRA-licensed employees under PRM also have an obligation to disclose outside positions to, and receive approval from the PRM Compliance Department. Employees must also keep this information accurate by updating their profile in the Code of Ethics system and updating the PRM Compliance Department if they change or terminate a position previously approved.</FONT></P>
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<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif><B>6.2. Charitable or Non-profit Roles/Role as Trustee or Fiduciary Outside Putnam Investments</B></FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>6.2(a) </FONT></B><FONT size=2 face=sans-serif>An employee may serve as a volunteer, officer, director, or trustee of a charitable or not-for-profit institution, provided that the employee abides by the Code of Ethics with respect to any investment activity for which she has any discretion or input as a volunteer, officer, director, or trustee. The pre-clearance and reporting requirements of the Code of Ethics do not apply to the trading activities of such charitable or not-for-profit institutions for which an employee serves as a volunteer, officer, director, or trustee unless the employee has discretion for the account. You must contact the Code of Ethics staff if you are asked to serve in a role in which you may have discretion, investment, or financial authority for a charitable or not-for-profit institution to discuss whether such position is permissible and whether you must perform any additional actions prior to serving in such role.</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>6.2(b) </FONT></B><FONT size=2 face=sans-serif>Except as stated below, no Putnam employee shall serve as a trustee, an executor, a custodian, or any other fiduciary, or as an investment advisor or a counselor for any account outside Putnam.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Putnam employees may serve as a fiduciary with respect to a religious or charitable trust or foundation, provided that the employee abides by the Code of Ethics with respect to any investment activity for which she has any discretion or input. The pre-clearance and reporting requirements of the Code of Ethics apply to the trading activities of such a religious or charitable trust or foundation if the employee has discretion for the account.</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>6.2(c) </FONT></B><I><FONT size=2 face=sans-serif>Family Trust or Estate Exception</FONT></I><FONT size=2 face=sans-serif>. Putnam employees may serve as a fiduciary with respect to a family trust or estate, as long as the employee abides by all of the Rules of the Code of Ethics with respect to any investment activity over which he has any discretion.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif><B>6.3. Family Members&#146; Conflict Policy</B></FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>No employee or member of an employee&#146;s Immediate Family shall have any direct or indirect personal financial interests in companies that do business with Putnam, unless such interest is disclosed and approved by the Code of Ethics Officer.</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>6.3(a) </FONT></B><FONT size=2 face=sans-serif>Corporate Purchase of Goods and Services &#151; Putnam will not acquire goods and services from any firm in which a member of an employee&#146;s Immediate Family serves as a sales representative or in a senior management capacity, or has an ownership interest (excluding normal investment holdings in public companies), unless permission is obtained from the Assistant Treasurer and the Code of Ethics Officer. Any employee who is aware of a proposal to purchase goods and services from a firm with which a member of the employee&#146;s Immediate Family has one of these associations must notify the Assistant Treasurer and the Code of Ethics Officer.</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>6.3(b) </FONT></B><FONT size=2 face=sans-serif>Portfolio Trading &#150; Putnam will not allocate any client trades to any firm that employs a member of an employee&#146;s Immediate Family as a sales representative to Putnam (in a primary, secondary, or backup role). Any Putnam employee who is aware that an Immediate Family member serves as a broker-dealer&#146;s sales representative to Putnam should inform the Code of Ethics Officer.</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>6.3(c) </FONT></B><FONT size=2 face=sans-serif>Definition of Immediate Family (specific to this rule) &#150; &#147;Immediate Family&#148; of an employee means (1) spouse, fianc&#233;(e), or domestic partner of the employee, (2) any child, sibling, or parent of an employee and any person married to a child, sibling or parent of an employee, and (3) any other person who lives in the same household as the employee.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif><B>6.4. CFA Institute Code of Ethics and Standards of Professional Conduct</B></FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>All members of the Investment Division and any other CFA Institute Members or Candidates must follow and abide by the spirit of the Code of Ethics and the Standards of Professional Conduct of the CFA Institute. The text of the CFA Institute Code of Ethics and Standards of Professional Conduct can be found on the Putnam Compliance Department intranet home page, which is accessible from the Putnam intranet home page. The terms of Putnam&#146;s Code of Ethics shall govern in any case where there is a conflict between the terms of this Code and the CFA Institute Code of Ethics and Standards of Professional Conduct. Please contact the Code of Ethics Officer with any questions.</FONT></P>
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<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif><B>6.5. Business Ethics, Ombudsman, and Hotlines</B></FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>6.5(a) </FONT></B><FONT size=2 face=sans-serif>If a Putnam employee suspects that fraudulent, illegal, or other irregular activity (including violations of the Code of Ethics) might be occurring at Putnam, the activity should be reported immediately to Putnam&#146;s Controller, Chief Compliance Officer or Code of Ethics Officer, through the Ombudsman or hotlines described below or through Putnam&#146;s Human Resources department.</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>6.5(b) </FONT></B><FONT size=2 face=sans-serif>Putnam has established the office of the corporate ombudsman as a resource to help employees address legal or ethical issues in the workplace and to allow employees to voice concerns or seek clarity on issues. The Ombudsman provides a confidential, independent, and impartial source to employees to discuss potential violations of law or of company standards without fear of retribution, and serves as a neutral party with no vested interest in a particular outcome.</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>6.5(c) </FONT></B><FONT size=2 face=sans-serif>An employee who does not feel comfortable reporting activity in the manner described in 6.5(a) above may instead contact any of the following on an anonymous basis:</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>&#149; The Putnam Ethics hotline at 1-888-475-4210,</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>&#149; The Putnam Funds Trustees&#146; hotline at 1-866-858-4155, or</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>&#149; Putnam&#146;s Ombudsman at 1-866-ombuds7 (866-662-8377).</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=4 face=sans-serif>Section 7 &#151; Material, Non-Public Information and Insider Trading</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif><B>7.1. Material, Public Information and Insider Trading</B></FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Antifraud provisions of the U.S. securities laws as well as the laws of other countries generally prohibit persons who possess material, non-public information from trading on or communicating that information to others. Putnam&#146;s policy calls for strict compliance with such laws. Unlawful trading while in possession of material, non-public information is a very serious matter and can be a crime punishable by imprisionment. There is also significant monetary liability for an inside trader, which can include liability to private plaintiffs and/or the Securities and Exchange Commission, which can seek a court order requiring a violator to pay back profits, as well as penalties substantially greater than those profits. In certain cases, controlling persons of inside traders, including supervisors of inside traders or Putnam itself, can be liable for penalties.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Employees found to have conducted this activity will be immediately referred to the Code of Ethics Oversight Committee or Putnam&#146;s Chief Executive Officer to determine the appropriate sanction, up to and including termination.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>While employees in the Investment Division are most likely to come into contact with material, non-public information, the rules (and sanctions) in this area apply to all Putnam employees (see Section 7.2 for information on what to do if you believe you may have material, non-public information).</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif><B>7.2. Reporting and Restrictions</B></FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Any employee who believes he or she is (or may be) in possession of material, non-public information must immediately contact Putnam&#146;s Code of Ethics Officer or an attorney in Putnam&#146;s Legal Department, and provide details on the information received and the source. The employee must also take precautions to maintain the confidentiality of the information in question.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>After reviewing the facts and circumstances, Putnam&#146;s Code of Ethics Officer or Putnam&#146;s Legal Department will make a determination as to whether possession of the information warrants restricting trading activity in the issuer&#146;s securities for client accounts as well as personal securities transactions for employees.</FONT></P>
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<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif><B>7.3. Special Provisions Applicable to Putnam Affiliates</B></FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Any employee wishing to place a trade in the securities of Great-West Lifeco Inc., Power Financial Corporation, Power Corporation of Canada, or IGM Financial Inc. must contact the Code of Ethics Officer or the Deputy Code of Ethics Officer to request manual approval of the pre-clearance request. An employee requesting such approval must certify that he or she is not in possession of any material, non-public information regarding the company in which he or she is seeking to place a trade. The decision whether or not to grant the pre-clearance request is in the sole discretion of the Code of Ethics Officer and the Deputy Code of Ethics Officer. The Code of Ethics Officer and Deputy Code of Ethics Officer will reject any such request for pre-clearance made by members of Putnam&#146;s Operating Committee and certain members of the Chief Financial Officer&#146;s staff from the end of each calendar quarter to the date of announcement of Great-West Lifeco Inc.&#146;s earnings for such quarter.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif><B>7.4. PIL Employees</B></FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>For PIL employees, these topics are covered by the FSA&#146;s Market Abuse rules. PIL employees receive information on this topic in their annual instructor-led code of ethics and compliance training.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=4 face=sans-serif>Section 8 &#151; Sanctions</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>The Code of Ethics Oversight Committee has adopted the following minimum monetary sanctions for violations of the Code. These sanctions apply even if the exception results from inadvertence rather than intentional misbehavior. The Code of Ethics Oversight Committee will review and approve sanctions on employees. However, the sanctions noted below are only minimums, and the Committee reserves the right to impose sanctions it believes fit the circumstances, such as higher monetary sanctions, trading bans, suspension, or termination of employment. The Committee&#146;s belief that an employee has violated the Code of Ethics intentionally may result in more severe sanctions than outlined in the guidelines.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif><B>8.1. Sanctions for Violations of Sections 1&#150;3</B></FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>The minimum sanction per violation of the Rules in Sections 1, 2, or 3 is disgorgement of any profits or payment of avoided losses and the following payments:</FONT></P>
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     <TD noWrap align=left><FONT size=2 face=sans-serif>SMD/MD/SVP</FONT>&nbsp;</TD>
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     <TD noWrap align=left><FONT size=2 face=sans-serif>1st violation</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>$250</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>$50</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left><FONT size=2 face=sans-serif>2nd violation</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>$500</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>$100</FONT>&nbsp;</TD></TR>
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     <TD colSpan=2 noWrap align=left><FONT size=2 face=sans-serif>Minimum monetary sanction as above with ban on all new personal</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left><FONT size=2 face=sans-serif>3rd violation</FONT>&nbsp;</TD>
     <TD colSpan=2 noWrap align=left><FONT size=2 face=sans-serif>securities transactions</FONT></TD></TR>
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<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif><B>8.2. Sanctions for Violations of Sections 4&#150;6</B></FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>The minimum sanction for violations of the rules in Sections 4&#150;6 is as follows:</FONT></P>
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     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Officer level</FONT></B>&nbsp;</TD>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>SMD/MD/SVP</FONT></B>&nbsp;</TD>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>VP/AVP/Non-officer</FONT></B>&nbsp;</TD></TR>
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     <TD noWrap align=left><FONT size=2 face=sans-serif>1st violation</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Warning</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Warning</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left><FONT size=2 face=sans-serif>2nd violation</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>$50</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>$25</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left><FONT size=2 face=sans-serif>Subsequent violation</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>$100</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>$50</FONT>&nbsp;</TD></TR>
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<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif><B>8.3. Sanctions for Violations of Section 7</B></FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>All violations concerning the use of material, non-public information, failure to report inside information, or insider trading will be presented to the Code of Ethics Oversight Committee to determine the appropriate sanction, up to and including termination. Severe criminal penalties may also be imposed.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>The reference period for determining generally whether a violation is initial or subsequent will be three years.</FONT></P>
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<P style="TEXT-ALIGN: left"><FONT size=4 face=sans-serif>Section 9 &#151; Procedures for Determinations and Exemptions</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>No perceived ambiguity in the Code of Ethics shall excuse any violation. Any employee who has a question concerning the applicability of the Code or believes the Code to be ambiguous in a particular situation should request a determination from the Code of Ethics Officer in advance of the conduct. Employees may also request an exemption from the Code of Ethics if they do so in advance of the conduct or transaction sought to be exempted.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Any employee seeking a determination or exemption shall provide the Code of Ethics Officer with such information as the Code of Ethics Officer deems necessary to render the determination or make a decision on the exemption.</FONT></P>
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<P style="TEXT-ALIGN: left"><FONT size=4 face=sans-serif>Appendix A &#151; Contra-Trading Rule Clearance Form</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>To: Code of Ethics Officer</FONT></P>
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     <TD noWrap align=left><FONT size=2 face=sans-serif>Re: Sale of Personal Security</FONT>&nbsp;</TD>
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<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>This serves as prior written approval to sell the following personal security:</FONT></P>
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     <TD noWrap align=left><FONT size=2 face=sans-serif>Security to be sold:</FONT>&nbsp;</TD>
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     <TD noWrap align=left><FONT size=2 face=sans-serif>Number of shares to be sold:</FONT>&nbsp;</TD>
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     <TD noWrap align=left><FONT size=2 face=sans-serif>Fund(s) holding security:</FONT>&nbsp;</TD>
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     <TD noWrap align=left><FONT size=2 face=sans-serif>Number of shares held by fund:</FONT>&nbsp;</TD>
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     <TD noWrap align=left><FONT size=2 face=sans-serif>Reason for the personal sale:</FONT>&nbsp;</TD>
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     <TD colSpan=2 noWrap align=left><FONT size=2 face=sans-serif>Specify the reason why the sale is inappropriate for fund: (Please attach additional sheets if necessary.)</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left><FONT size=2 face=sans-serif>CIO approval: </FONT>&nbsp;</TD>
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     <TD noWrap align=left><FONT size=2 face=sans-serif>Code of Ethics Officer:</FONT>&nbsp;</TD>
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     <TD noWrap align=left><FONT size=2 face=sans-serif>Deputy Code of Ethics Officer approval: </FONT>&nbsp;</TD>
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<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Putnam Investments | One Post Office Square | Boston, MA 02109 | putnam.com</FONT></B></P>
<P style="TEXT-ALIGN: right"><FONT size=1 face=sans-serif>262362 6/10</FONT></P>
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     <TD noWrap align=center><B><FONT face=serif>THE PUTNAM FUNDS</FONT></B>&nbsp;</TD></TR>
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<P style="TEXT-ALIGN: left"><FONT face=serif>Each of The Putnam Funds (the "Funds") has determined to adopt this Code of Ethics with respect to certain activities by officers and Trustees of the Funds which might be deemed to create possible conflicts of interest and to establish reporting requirements and enforcement procedures with respect to such activities.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT face=serif>I. </FONT><U><FONT face=serif>Rules Applicable to Officers and Trustees Affiliated with Putnam Investments Trust or Its Subsidiaries</FONT></U></P>
<P style="TEXT-ALIGN: left"><FONT face=serif>A. </FONT><U><FONT face=serif>Incorporation of Adviser's Code of Ethics</FONT></U><FONT face=serif>. The provisions of the Code of Ethics for employees of Putnam Investments Trust and its subsidiaries (the "Putnam Investments Code of Ethics"), which is attached as Appendix A hereto, are hereby incorporated herein as the Funds' Code of Ethics applicable to officers and Trustees of the Funds who are employees of the Funds or officers, directors or employees of Putnam Investments Trust or its subsidiaries. A violation of the Putnam Investments' Code of Ethics shall constitute a violation of the Funds' Code.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT face=serif>B. </FONT><U><FONT face=serif>Reports</FONT></U><FONT face=serif>. Officers and Trustees of each of the Funds who are made subject to the Putnam Investments' Code of Ethics pursuant to the preceding paragraph shall file the reports required by the Putnam Investments' Code of Ethics with the Code of Ethics Officer designated therein. A report filed with the Code of Ethics Officer shall be deemed to be filed with each of the Funds of which the reporting individual is an officer or Trustee.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT face=serif>C. </FONT><U><FONT face=serif>Review and Reporting</FONT></U><FONT face=serif>.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT face=serif>(1) The Code of Ethics Officer shall cause the reported personal securities transactions to be compared with completed and contemplated portfolio transactions of each of the Funds to determine whether a violation of this Code may have occurred. Before making any determination that a violation has been committed by any person, the Code of Ethics Officer shall give such person an opportunity to supply additional explanatory material.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT face=serif>(2) If the Code of Ethics Officer determines that a violation of any provision of this Code has or may have occurred, he shall submit his written determination, together with any additional explanatory material, to the Audit and Compliance Committee of the Funds at its next meeting when Code of Ethics matters are discussed.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT face=serif>D. </FONT><U><FONT face=serif>Sanctions</FONT></U><FONT face=serif>. In addition to reporting violations of this Code to the Audit and Compliance Committee of the Funds as provided in Section I-C(2), the Code of Ethics Officer shall also report to such Committee any sanctions imposed with</FONT></P>
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<P style="TEXT-ALIGN: left"><FONT face=serif>respect to such violations. The Committee reserves the right to impose such additional sanctions as it deems appropriate.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT face=serif>II. </FONT><U><FONT face=serif>Rules Applicable to Unaffiliated Trustees</FONT></U></P>
<P style="TEXT-ALIGN: left"><FONT face=serif>A. </FONT><U><FONT face=serif>Definitions</FONT></U><FONT face=serif>.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT face=serif>(1) "Beneficial ownership" shall be interpreted in the same manner as it would be in determining whether a person is subject to the provisions of Section 16 of the Securities Exchange Act of 1934 and the rules and regulations thereunder.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT face=serif>(2) "Control" means the power to exercise a controlling influence over the management or policies of a company, unless such power is solely the result of an official position with such company.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT face=serif>(3) "Covered Person" means an affiliated person of the Fund, who is not made subject to the Putnam Investments Code of Ethics pursuant to Part I hereof.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT face=serif>(4) "Interested Trustee" means a Trustee of a Fund who is an "interested person" of the Fund within the meaning of the Investment Company Act of 1940, as amended (the "Investment Company Act").</FONT></P>
<P style="TEXT-ALIGN: left"><FONT face=serif>(5) "Purchase or sale of a security" includes, among other things, the writing of an option to purchase or sell a security.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT face=serif>(6) "Security" shall have the same meaning as that set forth in Section 2(a)(36) of the Investment Company Act (in effect, all securities) except that it shall not include securities issued by the Government of the United States or an agency thereof, bankers' acceptances, bank certificates of deposit, commercial paper and high-quality short-term debt investments, including repurchase agreements, and shares of registered open-end investment companies, but shall include any security convertible into or exchangeable for a security.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT face=serif>(7) "Security Held or to be Acquired by a Fund" means: (i) any security, as defined herein, which, within the most recent 15 days: (A) is or has been held by the Fund, or (B) is being or has been considered by the Fund or Putnam Investments for purchase by the Fund, and (ii) any option to purchase or sell, and any security convertible into or exchangeable for, a security described in (i) above.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT face=serif>(8) "Unaffiliated Trustee" means a Trustee who is not made subject to the Putnam Investments Code of Ethics pursuant to Part I hereof.</FONT></P>
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<P style="TEXT-ALIGN: left"><FONT face=serif>B. </FONT><U><FONT face=serif>Prohibited Actions</FONT></U><FONT face=serif>. No Covered Person, in connection with the purchase or sale, directly or indirectly, by such Covered Person of a security held or to be acquired by the Fund, shall:</FONT></P>
<P style="TEXT-ALIGN: left"><FONT face=serif>(1) Employ any device, scheme or artifice to defraud the Fund;</FONT></P>
<P style="TEXT-ALIGN: left"><FONT face=serif>(2) Make any untrue statement of a material fact to the Fund or omit to state a material fact necessary in order to make the statements made to the Fund, in light of the circumstances under which they are made, not misleading;</FONT></P>
<P style="TEXT-ALIGN: left"><FONT face=serif>(3) Engage in any act, practice or course of business that operates or would operate as a fraud or deceit on the Fund; or</FONT></P>
<P style="TEXT-ALIGN: left"><FONT face=serif>(4) Engage in any manipulative practice with respect to the Fund.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT face=serif>C. </FONT><U><FONT face=serif>Reporting</FONT></U><FONT face=serif>.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT face=serif>(1) Every Unaffiliated Trustee of a Fund shall file with the Funds' Compliance Liaison a report containing the information described in Section II-C(2) of this Code with respect to purchases or sales of any security in which such Unaffiliated Trustee has, or by reason of such transaction acquires, any direct or indirect beneficial ownership, if such Trustee, at the time of that transaction, knew or, in the ordinary course of fulfilling his official duties as a Trustee of the Fund, should have known that, during the 15-day period immediately preceding or after the date of the transaction by the Trustee:</FONT></P>
<P style="TEXT-ALIGN: left"><FONT face=serif>(a) such security was or is to be purchased or sold by the Fund or</FONT></P>
<P style="TEXT-ALIGN: left"><FONT face=serif>(b) such security was or is being considered for purchase or sale by the Fund;</FONT></P>
<P style="TEXT-ALIGN: left"><U><FONT face=serif>provided</FONT></U><FONT face=serif>, </FONT><U><FONT face=serif>however</FONT></U><FONT face=serif>, that an Unaffiliated Trustee shall not be required to make a report with respect to transactions effected for any account over which such person does not have any direct or indirect influence or control.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT face=serif>(2) Every report shall be made not later than 10 days after the end of the calendar quarter in which the transaction to which the report relates was effected, and shall contain the following information:</FONT></P>
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<P style="TEXT-ALIGN: left"><FONT face=serif>(a) The date of the transaction, the title, the number of shares, the interest rate and maturity date (if applicable) and the principal amount of each security involved;</FONT></P>
<P style="TEXT-ALIGN: left"><FONT face=serif>(b) The nature of the transaction (i.e., purchase, sale or any other type of acquisition or disposition);</FONT></P>
<P style="TEXT-ALIGN: left"><FONT face=serif>(c) The price at which the transaction was effected;</FONT></P>
<P style="TEXT-ALIGN: left"><FONT face=serif>(d) The name of the broker, dealer or bank with or through whom the transaction was effected; and</FONT></P>
<P style="TEXT-ALIGN: left"><FONT face=serif>(e) the date that the report is submitted by each Unaffiliated Trustee.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT face=serif>(3) Any such report may contain a statement that the report shall not be construed as an admission by the person making such report that he has any direct or indirect beneficial ownership in the security to which the report relates.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT face=serif>(4) Notwithstanding anything to the contrary contained herein, an Unaffiliated Trustee who is an "interested person" of the Funds shall file the reports required by Rule 17j-1(d)(1) under the Investment Company Act with the Code of Ethics Officer of Putnam Investments. Such reports shall be reviewed by such Officer as provided in Section I-D(1) and any related violations shall be reported by him to the Audit and Compliance Committee as provided in Section I-C(2). The Committee may impose such additional sanctions as it deems appropriate.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT face=serif>D. </FONT><U><FONT face=serif>Review and Reporting</FONT></U><FONT face=serif>.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT face=serif>(1) The Compliance Liaison of the Funds, in consultation with the Code of Ethics Officer of Putnam Investments, shall cause the reported personal securities transactions that he receives pursuant to Section II-C(1) to be compared with completed and contemplated portfolio transactions of the Funds to determine whether any prohibited action listed in Section II-B may have occurred.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT face=serif>(2) Before making any determination that a violation of this Code has occurred, the Compliance Liaison shall give the person involved an opportunity to supply additional information regarding the transaction in question.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT face=serif>E. </FONT><U><FONT face=serif>Sanctions</FONT></U><FONT face=serif>. If the Compliance Liaison determines that a violation of this Code has occurred, he shall so advise the Funds' Audit and Compliance Committee, and provide the Committee with a report of the matter, including any additional information supplied by such person. The Committee may impose such sanctions as it deems appropriate.</FONT></P>
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<P style="TEXT-ALIGN: left"><FONT face=serif>III. </FONT><U><FONT face=serif>Miscellaneous</FONT></U></P>
<P style="TEXT-ALIGN: left"><FONT face=serif>A. </FONT><U><FONT face=serif>Amendments to the Putnam Investments' Code of Ethics</FONT></U><FONT face=serif>. Any amendment to the Putnam Investments' Code of Ethics shall be deemed an amendment to Section 1-A of this Code effective 30 days after written notice of such amendment shall have been received by the Chairman of the Funds, unless the Trustees of the Funds expressly determine that such amendment shall become effective at an earlier or later date or shall not be adopted.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT face=serif>B. </FONT><U><FONT face=serif>Records</FONT></U><FONT face=serif>. The Funds shall maintain records in the manner and to the extent set forth below, which records may be maintained on microfilm under the conditions described in Rule 31a-2(f)(1) under the Investment Company Act and shall be available for examination by representatives of the Securities and Exchange Commission.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT face=serif>(1) A copy of this Code and any other code which is, or at any time within the past five years has been, in effect shall be preserved in an easily accessible place;</FONT></P>
<P style="TEXT-ALIGN: left"><FONT face=serif>(2) A record of any violation of this Code and of any action taken as a result of such violation shall be preserved in an easily accessible place for a period of not less than five years following the end of the fiscal year in which the violation occurs;</FONT></P>
<P style="TEXT-ALIGN: left"><FONT face=serif>(3) A copy of each report made by an officer or Trustee pursuant to this Code shall be preserved for a period of not less than five years from the end of the fiscal year in which it is made, the first two years in an easily accessible place;</FONT></P>
<P style="TEXT-ALIGN: left"><FONT face=serif>(4) A list of all persons who are, or within the past five years have been, required to make reports pursuant to this Code shall be maintained in an easily accessible place; and</FONT></P>
<P style="TEXT-ALIGN: left"><FONT face=serif>(5) To the extent any record required to be kept by this section is also required to be kept by Putnam Investments pursuant to the Putnam Investments' Code of Ethics, Putnam Investments shall maintain such record on behalf of the Funds as well.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT face=serif>C. </FONT><U><FONT face=serif>Confidentiality</FONT></U><FONT face=serif>. All reports of securities transactions and any other information filed with any Fund pursuant to this Code shall be treated as confidential, but are subject to review as provided herein and by personnel of the Securities and Exchange Commission.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT face=serif>D. </FONT><U><FONT face=serif>Interpretation of Provisions</FONT></U><FONT face=serif>. The Trustees may from time to time adopt such interpretations of this Code as they deem appropriate.</FONT></P>
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<P style="TEXT-ALIGN: left"><FONT face=serif>E. </FONT><U><FONT face=serif>Delegation by Chairman</FONT></U><FONT face=serif>. The Chairman of the Funds may from time to time delegate any or all of his responsibilities under this Code, either generally or as to specific instances, to such officer or Trustee of the Funds as he may designate.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT face=serif>As revised</FONT><BR>
<FONT face=serif>September 11, 2009</FONT></P>
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