<SEC-DOCUMENT>0000928816-12-000816.txt : 20120529
<SEC-HEADER>0000928816-12-000816.hdr.sgml : 20120529
<ACCEPTANCE-DATETIME>20120529124241
ACCESSION NUMBER:		0000928816-12-000816
CONFORMED SUBMISSION TYPE:	N-CSRS
PUBLIC DOCUMENT COUNT:		14
CONFORMED PERIOD OF REPORT:	20120331
FILED AS OF DATE:		20120529
DATE AS OF CHANGE:		20120529
EFFECTIVENESS DATE:		20120529

FILER:

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

	FILING VALUES:
		FORM TYPE:		N-CSRS
		SEC ACT:		1940 Act
		SEC FILE NUMBER:	811-05498
		FILM NUMBER:		12873367

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

	MAIL ADDRESS:	
		STREET 1:		ONE POST OFFICE SQ
		CITY:			BOSTON
		STATE:			MA
		ZIP:			02109
</SEC-HEADER>
<DOCUMENT>
<TYPE>N-CSRS
<SEQUENCE>1
<FILENAME>a_masterintinctrust.htm
<DESCRIPTION>PUTNAM MASTER INTERMEDIATE INCOME TRUST
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<tr valign=top><td></td><td align=center colspan=2><font size=+2>UNITED STATES<br>SECURITIES AND EXCHANGE COMMISSION</font></td></tr></table>



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<tr valign=top><td></td><td align=center colspan=2>Washington, D.C. 20549</td></tr></table>




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<tr valign=top><td></td><td align=center colspan=2><font size=+2><b>CERTIFIED SHAREHOLDER REPORT OF REGISTERED<br>MANAGEMENT INVESTMENT COMPANIES</b><br><br><br><br></font></td></tr></table>




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<tr valign=top><td></td><td>Investment Company Act file number:</td>	<td>(811-05498)</td></tr></table>




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<tr valign=top><td></td><td>Exact name of registrant as specified in charter:</td>	<td>Putnam Master Intermediate Income Trust</td></tr></table>




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<tr valign=top><td></td><td>Address of principal executive offices:</td>	<td>One Post Office Square, Boston, Massachusetts 02109</td></tr></table>




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<tr valign=top><td></td><td>Name and address of agent for service:</td>	<td>Robert T. Burns, Vice President<br>One Post Office Square<br>Boston, Massachusetts 02109</td></tr></table>




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<tr valign=top><td></td><td align=right>Copy to:&nbsp;&nbsp;&nbsp&nbsp;&nbsp;&nbsp;&nbsp&nbsp;</td>	<td>John W. Gerstmayr, Esq.<br>Ropes & Gray LLP<br>800 Boylston Street<br>Boston, Massachusetts 02199-3600</td></tr></table>




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<tr valign=top><td></td><td>Registrant&#8217;s telephone number, including area code:</td>	<td>(617) 292-1000</td></tr></table>




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<tr valign=top><td></td><td>Date of fiscal year end:</td>	<td>September 30, 2012</td></tr></table>




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<tr valign=top><td></td><td>Date of reporting period:</td>	<td>October 1, 2011 &#8211; March 31, 2012</td></tr></table>





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<br><tr valign=top><td></td><td><br><br><u>Item 1. Report to Stockholders:</td>	<td></u></td></tr></table><br>



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<tr valign=top><td></td><td colspan=2>The following is a copy of the report transmitted to stockholders  pursuant to Rule 30e-1 under the Investment Company Act of 1940:</td>	<td></td></tr></table>















































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

<P style="TEXT-ALIGN: left"><B><FONT size=4 face=sans-serif>Semiannual report</FONT></B><BR><B><FONT size=4 face=sans-serif>3 </FONT></B><B><FONT size=5 face=sans-serif>| </FONT></B><B><FONT size=4 face=sans-serif>31 </FONT></B><B><FONT size=5 face=sans-serif>| </FONT></B><B><FONT size=4 face=sans-serif>12</FONT></B></P>

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   <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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   <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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   <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>

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

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   <TD width="10%" noWrap align=right><B><FONT size=2 face=sans-serif>15</FONT></B>&nbsp;</TD>

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   <TD width="10%" noWrap align=right><B><FONT size=2 face=sans-serif>98</FONT></B>&nbsp;</TD>

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<P style="MARGIN: 0px"><B><FONT size=2 face=sans-serif></FONT></B>&nbsp;</P>

<P style="MARGIN: 0px"><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. Lower-rated bonds may offer higher yields in return for more risk. 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>

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<B><FONT size=5 face="sans-serif">Message from the Trustees</FONT></B></P>
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<FONT size=2 face="sans-serif">Dear Fellow Shareholder:</FONT></P>
<P style="text-align: left;">
<FONT size=2 face="sans-serif">After a quarter century of trending lower, U.S. Treasury rates have shown some upward movement on signs of an improving economy during the past few months. Greece&#146;s successful debt restructuring and some better-than-expected economic data in the United States have helped to coax investors off the sidelines and back into the markets. While we believe the historic bull market in government debt is likely near its close, fixed-income markets today continue to offer myriad investing&nbsp;opportunities.</FONT></P>
<P style="text-align: left;">
<FONT size=2 face="sans-serif">Investing in fixed-income markets, however, requires particular expertise and the capacity for deep security-level research. We believe Putnam&#146;s veteran fixed-income team is well suited to that task, and offers a long-term track record of uncovering attractive opportunities across all sectors of the bond markets.</FONT></P>
<P style="text-align: left;">
<FONT size=2 face="sans-serif">In other news, please join us in welcoming the return of Elizabeth T. Kennan to the Board of Trustees. Dr. Kennan, who served as a Trustee from 1992 until 2010, has rejoined the Board, effective January 1, 2012. Dr. Kennan is a Partner of Cambus-Kenneth Farm (thoroughbred horse breeding and general farming), and is also President Emeritus of Mount Holyoke College.</FONT></P>
<P style="text-align: left;">
<FONT size=2 face="sans-serif">We would also like to take this opportunity to welcome new shareholders to the fund and to thank all of our investors for your continued confidence in Putnam.</FONT></P>
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<P style="TEXT-ALIGN: left"><B><FONT size=5 face=sans-serif>About the fund</FONT></B></P>

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

<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>When Putnam Master Intermediate Income Trust was launched in 1988, its three-pronged focus on U.S. investment-grade bonds, high-yield corporate bonds, and non-U.S. bonds was considered innovative. Lower-rated, higher-yielding corporate bonds were relatively new, having just been established in the late 1970s. 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"><FONT size=2 face=sans-serif>In the two decades since then, the bond investment landscape has undergone a </FONT><FONT size=2 face=sans-serif>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 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"><FONT size=2 face=sans-serif>The fund&#8217;s managers believe that the fund&#8217;s multi-strategy approach is well suited to the </FONT><FONT size=2 face=sans-serif>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"><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"><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"><B><FONT size=1 face=sans-serif>More assets at work </FONT></B><FONT size=1 face=sans-serif>While open-end funds need to maintain a cash position to meet redemptions, closed-end funds are not subject to redemptions and can keep more of their assets invested in the market.</FONT></P>

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

<P style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>Net asset value vs. market price </FONT></B><FONT size=1 face=sans-serif>Like an open-end fund&#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. See pages 5 and 11&#8211;12 for additional performance information, including fund returns at market price. </FONT></I></B><B><I><FONT size=1 face=sans-serif>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>

<P style="TEXT-ALIGN: left"><B><I><FONT size=1 face=sans-serif>* Returns for the six-month period are not annualized, but&nbsp;cumulative.</FONT></I></B></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>4</FONT></P></DIV>

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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>
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<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>What was the bond market environment like during the six months ended March&nbsp;31,&nbsp;2012?</FONT></B></P>

<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>We experienced a significant shift in investor sentiment during the first half of the fund&#8217;s fiscal year. In October and November, so-called &#8220;risk assets&#8221; continued to sell off, as investors worried that the sovereign debt situation in Europe might lead to a wave of defaults in the peripheral European countries or a rapid deleveraging in the banking sector. Meanwhile, economic data in the United States around that time suggested continued challenges ahead, with persistently high unemployment and sluggish growth.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>In December, risk assets began to reverse course, led in part by a rally in corporate </FONT><FONT size=2 face=sans-serif>debt. This trend continued into 2012 as fixed-income markets in general benefited from a change in investors&#8217; risk outlook. Central banks continued to provide liquidity for financial markets, both in Europe through the Long-Term Refinancing Operation [LTRO] and in the United States, where there is speculation that the Federal Reserve [Fed] is considering a third round of quantitative easing. This accommodative policy helped offer some level of support for the bond markets after a challenging fourth quarter in which investors demonstrated little appetite for risk. In the United States, interest rates climbed higher, even on the short end of the yield curve, in part reflecting increasing optimism about the strength of the economic</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 six&nbsp;months ended 3/31/12. See pages 4 and 11&#8211;12 for additional fund performance information. Index descriptions can be found on pages 13&#8211;14.</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>recovery. Recent economic data, while not indicative of a strong recovery, has generally come in stronger than anticipated. In Europe, Greece defaulted in February, but it was an orderly one and appears unlikely to start a wave of restructurings in other peripheral European countries or to force European banks to rapidly delever and raise capital.</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>The fund posted solid gains during the period. What factors contributed to its performance?</FONT></B></P>

<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>The fund is currently positioned to be less reliant on declining interest rates to drive </FONT><FONT size=2 face=sans-serif>returns, focusing more on credit, prepayment, and liquidity risks as the main drivers of performance. This approach was relatively successful during the trailing six months, particularly as investors regained some of their appetite for risk.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>From a sector positioning standpoint, the fund&#8217;s allocations to high-yield and emerging-market debt, non-agency residential mortgage-backed securities [RMBS], and collateralized mortgage obligations [CMOs] all contributed positively to performance.</FONT></P>
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<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Credit qualities are shown as a percentage of net assets as of 3/31/12. 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 could reflect 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"><B><FONT size=2 face=sans-serif>What is it about the high-yield market you find attractive?</FONT></B></P>

<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>High yield is one of the largest positions in the portfolio, and we&#8217;ve held a positive view on the fundamentals in the corporate debt sector for some time. First, the spread, which measures the difference in yield between Treasuries and high-yield bonds, has historically averaged about 500 basis points. But today, even after the rally that began in late 2011, spreads are still around 600 basis points, which leaves open the possibility for additional tightening. This is particularly true </FONT><FONT size=2 face=sans-serif>given the fundamental backdrop for high-yield bonds, with record earnings for publicly traded companies and large amounts of cash on corporate balance sheets. Over the long term, the par-weighted default rate for the high-yield universe has been about 4.2%. However, today that rate is under 2%, which is well below the long-term average. We believe this combination of historically low defaults, above-average spreads, and strong fundamentals makes for a very attractive investment opportunity.</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>You mentioned non-agency RMBS, which performed poorly in the second half of 2011. What led to their strong performance during the more recent period?</FONT></B></P>

<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>As many investors will recall, non-agency RMBS experienced significant declines in 2008 as banks sold their positions to reduce their leverage and raise capital. With that memory still fresh in investors&#8217; minds, there</FONT></P>
<IMG border=0 src="masterinterinctrustx8x2.jpg"> <BR>

<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>This table shows the fund&#8217;s top holdings across three key sectors and the percentage of the fund&#8217;s net assets that each represented as of 3/31/12. Short-term holdings 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">was significant concern in 2011 that a new round of forced selling in the non-agency RMBS market would again lead to price volatility in the sector.</FONT></P>
<P style="text-align: left;">
<FONT size=2 face="sans-serif">Case in point, earlier in 2011, investors pulled out of the market, prompting the New York Federal Reserve [the Fed] to suspend the auction of its Maiden Lane portfolio. By way of background, &#147;Maiden Lane&#148; is the name of the New York Fed&#146;s non-agency RMBS holdings it took over as a part of the government&#146;s bailout package for the financials sector. The Fed had attempted to sell off the bulk of this portfolio last year, but lackluster demand brought the auctions to a halt, and non-agency RMBS prices suffered.</FONT></P>
<P style="text-align: left;">
<FONT size=2 face="sans-serif">The Fed resumed auctions in 2012 and was able to complete its sales during the first quarter. Doing so greatly diversified the holders of non-agency RMBS and reduced the likelihood that a single seller could flood the market with excess supply. With this as a backdrop, the fund&#146;s non-agency RMBS performed quite well in the first quarter, and we remain positive on our outlook for the sector.</FONT></P>
<P style="text-align: left;">
<B><FONT size=2 face="sans-serif">The fund has a sizable exposure to another segment of the mortgage market in the form of CMOs. How did that position affect performance?</FONT></B></P>
<P style="text-align: left;">
<FONT size=2 face="sans-serif">CMOs are securities backed by pools of prime, or &#147;conforming,&#148; residential mortgages, and the bulk of those the fund holds are known as interest-only, or IO, securities. As the name suggests, the cash flow on securities is derived from the interest payments on those pools of mortgages. Essentially, the longer it takes for homeowners to repay the principal on their mortgages, the longer a bondholder will receive interest payments on those loans. And today, with home prices still under pressure and refinancing difficult for many homeowners to obtain, IO securities have been performing quite well.</FONT></P>
<P style="text-align: left;">
<FONT size=2 face="sans-serif">There had been some pressure on the CMO IO market earlier in the period as the market began to price in modifications to the government&#146;s existing Home Affordable Refinance Program, or HARP. HARP, as you may recall, was launched by the Obama administration in 2009 to help homeowners who owed more on their mortgages than their homes were worth. The program was modified in</FONT></P>
<IMG src="masterinterinctrustx9x1.jpg" border=0>
<BR>
<P style="text-align: left;">
<FONT size=2 face="sans-serif">This chart shows how the fund&#146;s top weightings have changed over the past six months. Weightings are shown as a percentage of net assets. 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. Holdings will vary over time. Cash positions may represent collateral used to cover certain derivative contracts.</FONT></P>
<P style="text-align: left;">
<FONT size=1 face="sans-serif">8</FONT></P>
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<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>October 2011 to allow more borrowers to qualify. Despite the modification, refinancing activity generally still has been light, and the fund holds positions less likely to be affected, namely more seasoned loans with lower balances and lower interest rates. In implementing our IO CMO strategy, I should point out that we used interest-rate swaps and options to hedge the duration of these securities [a measure of interest-rate sensitivity] and isolate the prepayment risks, which we believe offers attractive return potential.</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>How did the fund&#8217;s currency exposure affect performance?</FONT></B></P>

<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Our currency strategy, implemented as long and short positions with currency forward contracts, was one of the few detractors from performance during the first half of the fund&#8217;s fiscal year. In terms of positioning, the primary theme has been to overweight the U.S. dollar given our belief that interest rates globally are in the process of converging with those of the United States. We have also been maintaining significant long positions in oil and other commodity-linked currencies like the Australian dollar and Norwegian krone, among others. At the same time, we underweighted the Japanese yen. Japan is a large commodity importer, and rising commodity prices tend to negatively impact the country&#8217;s economic performance and weaken the yen relative to other currencies. Our exposure to the Australian dollar and Norwegian krone detracted in the fourth quarter of 2011 as risk-averse investors reduced positions in higher-yielding currencies, and detracted again in March as global growth slowed. Our short position in the Japanese yen proved favorable during the six-month period.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Another theme that detracted from returns recently was our underweight to Europe broadly and the euro specifically. The &#8220;relief rally&#8221; in the first quarter of 2012 boosted the region&#8217;s currencies as investors viewed the sovereign debt developments as positive </FONT><FONT size=2 face=sans-serif>news. Within emerging markets, Brazil is one of the few developing economies that is actively cutting interest rates &#8212; which caught the market somewhat by surprise &#8212; and our positioning there detracted slightly from returns.</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>What is your outlook for the coming months, and how do you plan to position the fund?</FONT></B></P>

<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>We believe 2012 is likely to be a year of sustained economic growth in the United States. In our view, during the first half of the year, growth is likely to be restrained by a recession in Europe and high oil prices, but should develop into an improving trend in the second half.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>As for positioning the fund, at period-end, the portfolio&#8217;s exposure to interest-rate risk remained limited. With rates across the yield curve near historic lows, we believe the potential rewards from a long-duration stance are minimal. That said, we believe there are opportunities to take tactical positions in the long end of the yield curve &#8212; represented by bonds with maturities of 10 years or more &#8212; which we believe will continue to be relatively volatile. We plan to maintain the fund&#8217;s allocation to credit- and prepayment-sensitive sectors of the market, where we believe the most compelling opportunities exist.</FONT></P>

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

<P style="TEXT-ALIGN: left"><I><FONT size=2 face=sans-serif>The views expressed in this report are exclusively those of Putnam Management 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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<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 California, Berkeley, and a B.A. from the University of California, San&nbsp;Diego. Bill joined Putnam in 1994 and has&nbsp;been in the investment industry since 1986.</FONT></P>
<P style="text-align: left;">
<FONT size=2 face="sans-serif">In addition to Bill, your fund&#146;s portfolio managers are Michael J. Atkin; Kevin&nbsp;F.&nbsp;Murphy; Michael V. Salm; Paul D. Scanlon, CFA; and Raman Srivastava, CFA.</FONT></P>
<P style="text-align: left;">
<FONT size=2 face="sans-serif">Mr. Srivastava joined the fund in February 2012. A CFA charterholder, he joined Putnam in 1999 and has been in the investment industry since 1997.</FONT></P>
<P style="text-align: left;">
<B><FONT size=2 face="sans-serif">A word about derivatives</FONT></B></P>
<P style="text-align: left;">
<FONT size=1 face="sans-serif">Derivatives are an increasingly common type of investment instrument, the performance of which is </FONT><I><FONT size=1 face="sans-serif">derived </FONT></I><FONT size=1 face="sans-serif">from an underlying security, index, currency, or other area of the capital markets. Derivatives employed by the fund&#146;s managers generally serve one of two main purposes: to implement a strategy that may be difficult or more expensive to invest in through traditional securities, or to hedge unwanted risk associated with a particular position.</FONT></P>
<P style="text-align: left;">
<FONT size=1 face="sans-serif">For example, the fund&#146;s managers might use forward currency contracts to capitalize on an anticipated change in exchange rates between two currencies. This approach would require a significantly smaller outlay of capital than purchasing traditional bonds denominated in the underlying currencies. In another example, the managers&nbsp;may identify a bond that they believe is undervalued relative to its risk of default, but may seek to reduce the interest-rate risk of that bond by using interest-rate swaps, a derivative through which two parties &#147;swap&#148; payments based on the movement of certain rates.</FONT></P>
<P style="text-align: left;">
<FONT size=1 face="sans-serif">Like any other investment, derivatives may not appreciate in value and may lose money. Derivatives may amplify traditional fixed income risks and may be less liquid than traditional securities. And because derivatives&nbsp;typically represent contractual agreements between two financial institutions, derivatives entail &#147;counterparty risk,&#148; which is the risk that the other party is unable to pay. Putnam monitors the counterparty risks we assume. Putnam also seeks to mitigate the level of ongoing counterparty credit risk by entering into collateral agreements with counterparties in which collateral is posted on a regular basis&nbsp;to cover the developing gain or loss of open swaps and forward contracts.</FONT></P>
<P style="text-align: left;">
<FONT size=1 face="sans-serif">See pages 90&#150;93 for more information on the types of derivatives used.</FONT></P>
<P style="text-align: left;">
<FONT size=1 face="sans-serif">10</FONT></P>
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<P style="TEXT-ALIGN: left"><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 March 31, 2012, the end of the first half of its current 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 3/31/12</FONT></P>

<DIV align=left>

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



<TR>

   <TD width="33%"></TD>

   <TD width="33%" align=center></TD>

   <TD width="33%" align=center></TD></TR>

<TR vAlign=bottom>

   <TD width="33%" noWrap align=left>&nbsp;</TD>

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

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

   <TD width="33%" noWrap align=center>&nbsp;</TD>

   <TD width="33%" noWrap align=center>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <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=center><FONT size=1 face=sans-serif>7.20%</FONT>&nbsp;</TD>

   <TD width="33%" noWrap align=center><FONT size=1 face=sans-serif>6.61%</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>10 years</FONT>&nbsp;</TD>

   <TD width="33%" noWrap align=center><FONT size=1 face=sans-serif>94.48</FONT>&nbsp;</TD>

   <TD width="33%" noWrap align=center><FONT size=1 face=sans-serif>97.20</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=center><FONT size=1 face=sans-serif>6.88</FONT>&nbsp;</TD>

   <TD width="33%" noWrap align=center><FONT size=1 face=sans-serif>7.03</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>5 years</FONT>&nbsp;</TD>

   <TD width="33%" noWrap align=center><FONT size=1 face=sans-serif>27.45</FONT>&nbsp;</TD>

   <TD width="33%" noWrap align=center><FONT size=1 face=sans-serif>31.21</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=center><FONT size=1 face=sans-serif>4.97</FONT>&nbsp;</TD>

   <TD width="33%" noWrap align=center><FONT size=1 face=sans-serif>5.58</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>3 years</FONT>&nbsp;</TD>

   <TD width="33%" noWrap align=center><FONT size=1 face=sans-serif>77.97</FONT>&nbsp;</TD>

   <TD width="33%" noWrap align=center><FONT size=1 face=sans-serif>69.44</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=center><FONT size=1 face=sans-serif>21.19</FONT>&nbsp;</TD>

   <TD width="33%" noWrap align=center><FONT size=1 face=sans-serif>19.22</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=center><FONT size=1 face=sans-serif>&#8211;2.08</FONT>&nbsp;</TD>

   <TD width="33%" noWrap align=center><FONT size=1 face=sans-serif>&#8211;6.70</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>6 months</FONT>&nbsp;</TD>

   <TD width="33%" noWrap align=center><FONT size=1 face=sans-serif>5.79</FONT>&nbsp;</TD>

   <TD width="33%" noWrap align=center><FONT size=1 face=sans-serif>5.51</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></FONT>&nbsp;</P>

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

<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Comparative index returns </FONT></B><FONT size=2 face=sans-serif>For periods ended 3/31/12</FONT></P>

<DIV align=left>

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



<TR>

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

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

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

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

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

<TR vAlign=bottom>

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

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

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

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

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

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

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

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

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

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

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

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

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

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

<TR>

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

   <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=center><FONT size=1 face=sans-serif>7.27%</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=center><FONT size=1 face=sans-serif>6.67%</FONT>&nbsp;</TD>

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

   <TD width="20%" noWrap align=center><FONT size=1 face=sans-serif>6.85%</FONT>&nbsp;</TD></TR>

<TR>

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

   <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=center><FONT size=1 face=sans-serif>77.68</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=center><FONT size=1 face=sans-serif>126.89</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=center><FONT size=1 face=sans-serif>151.46%</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=center><FONT size=1 face=sans-serif>93.64</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=center><FONT size=1 face=sans-serif>5.92</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=center><FONT size=1 face=sans-serif>8.54</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=center><FONT size=1 face=sans-serif>8.38</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=center><FONT size=1 face=sans-serif>6.81</FONT>&nbsp;</TD></TR>

<TR>

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

   <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=center><FONT size=1 face=sans-serif>35.44</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=center><FONT size=1 face=sans-serif>39.92</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=center><FONT size=1 face=sans-serif>49.51</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=center><FONT size=1 face=sans-serif>33.83</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=center><FONT size=1 face=sans-serif>6.26</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=center><FONT size=1 face=sans-serif>6.95</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=center><FONT size=1 face=sans-serif>9.66</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=center><FONT size=1 face=sans-serif>5.94</FONT>&nbsp;</TD></TR>

<TR>

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

   <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=center><FONT size=1 face=sans-serif>22.81</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=center><FONT size=1 face=sans-serif>22.27</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=center><FONT size=1 face=sans-serif>92.91</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=center><FONT size=1 face=sans-serif>67.47</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=center><FONT size=1 face=sans-serif>7.09</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=center><FONT size=1 face=sans-serif>6.93</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=center><FONT size=1 face=sans-serif>24.49</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=center><FONT size=1 face=sans-serif>18.72</FONT>&nbsp;</TD></TR>

<TR>

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

   <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=center><FONT size=1 face=sans-serif>8.53</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=center><FONT size=1 face=sans-serif>3.93</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=center><FONT size=1 face=sans-serif>7.41</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=center><FONT size=1 face=sans-serif>3.35</FONT>&nbsp;</TD></TR>

<TR>

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

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</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>6 months</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=center><FONT size=1 face=sans-serif>1.26</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=center><FONT size=1 face=sans-serif>&#8211;0.69</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=center><FONT size=1 face=sans-serif>12.68</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=center><FONT size=1 face=sans-serif>7.65</FONT>&nbsp;</TD></TR>

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

<P style="MARGIN: 0px"><FONT size=1 face=sans-serif></FONT>&nbsp;</P>

<P style="MARGIN: 0px"><FONT size=1 face=sans-serif>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 6-month, 1-year, 3-year, 5-year, 10-year, and life-of-fund periods ended 3/31/12, there were 5, 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 six-month period ended 3/31/12</FONT></P>

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



<TR>

   <TD width="69%"></TD>

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

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

<TR vAlign=bottom>

   <TD width="69%" noWrap align=left><B><FONT size=1 face=sans-serif>Distributions</FONT></B>&nbsp;</TD>

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

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

<TR>

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   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Number</FONT>&nbsp;</TD>

   <TD width="30%" colSpan=2 noWrap align=center><FONT size=1 face=sans-serif>6</FONT>&nbsp;</TD></TR>

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   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Income</FONT>&nbsp;</TD>

   <TD width="30%" colSpan=2 noWrap align=center><FONT size=1 face=sans-serif>$0.174000</FONT>&nbsp;</TD></TR>

<TR>

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

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   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Capital gains</FONT>&nbsp;</TD>

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

<TR>

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   <TD width="69%" noWrap align=left><B><FONT size=1 face=sans-serif>Total</FONT></B>&nbsp;</TD>

   <TD width="30%" colSpan=2 noWrap align=center><B><FONT size=1 face=sans-serif>$0.174000</FONT></B>&nbsp;</TD></TR>

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</TD></TR>

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   <TD width="69%" noWrap align=left><B><FONT size=1 face=sans-serif>Share value</FONT></B>&nbsp;</TD>

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

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

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   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>9/30/11</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=center><FONT size=1 face=sans-serif>$5.34</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=center><FONT size=1 face=sans-serif>$5.05</FONT>&nbsp;</TD></TR>

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   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>3/31/12</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=center><FONT size=1 face=sans-serif>5.46</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=center><FONT size=1 face=sans-serif>5.15</FONT>&nbsp;</TD></TR>

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   <TD width="69%" noWrap align=left><B><FONT size=1 face=sans-serif>Current yield (end of period)</FONT></B>&nbsp;</TD>

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

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

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   <TD width="69%" noWrap align=left><FONT size=1 face=sans-serif>Current dividend rate*</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=center><FONT size=1 face=sans-serif>6.37%</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=center><FONT size=1 face=sans-serif>6.76%</FONT>&nbsp;</TD></TR>

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

<P style="MARGIN: 0px"><FONT size=1 face=sans-serif></FONT>&nbsp;</P>

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

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

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

<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Fixed-income terms</FONT></B></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>Mortgage-backed security (MBS)</FONT></B><FONT size=2 face=sans-serif>, also known as a mortgage &#8220;pass-through,&#8221; is a type of asset-backed security that is secured by a mortgage or collection of mortgages. The following are types of MBSs:</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>&#8226; Agency &#8220;pass-through&#8221; </FONT></B><FONT size=2 face=sans-serif>has its principal and interest backed by a U.S. government agency, such as the Federal National Mortgage Association (Fannie Mae), Government National Mortgage Association (Ginnie Mae), and Federal Home Loan Mortgage Corporation (Freddie Mac).</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>&#8226; Collateralized mortgage obligation (CMO) </FONT></B><FONT size=2 face=sans-serif>represents claims to specific cash flows from pools of home mortgages. The streams of principal and interest payments on the mortgages are distributed to the different classes of CMO interests in &#8220;tranches.&#8221; Each tranche may have different principal balances, coupon rates, prepayment risks, and maturity dates. A CMO is highly sensitive to changes in </FONT><FONT size=2 face=sans-serif>interest rates and any resulting change in the rate at which homeowners sell their properties, refinance, or otherwise prepay loans. CMOs are subject to prepayment, market, and liquidity risks.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>&#8226; </FONT><B><FONT size=2 face=sans-serif>Interest-only (IO) security </FONT></B><FONT size=2 face=sans-serif>is a type of CMO in which the underlying asset is the interest portion of mortgage, Treasury, or bond payments.</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>&#8226; Non-agency residential mortgage-backed security (RMBS) </FONT></B><FONT size=2 face=sans-serif>is an MBS not backed by Fannie Mae, Ginnie Mae, or Freddie Mac. One type of RMBS is an Alt-A mortgage-backed security.</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>&#8226; Commercial mortgage-backed security (CMBS) </FONT></B><FONT size=2 face=sans-serif>is secured by the loan on a commercial property.</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Yield curve </FONT></B><FONT size=2 face=sans-serif>is a graph that plots the yields of bonds with equal credit quality against their differing maturity dates, ranging from shortest to longest. It is used as a benchmark for other debt, such as mortgage or bank lending rates.</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 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>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>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 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"><FONT size=1 face=sans-serif>13</FONT></P></DIV>

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<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"><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 delivery of shareholder documents</FONT></B></P>

<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>In accordance with Securities and Exchange Commission (SEC) regulations, Putnam sends a single copy of annual and semiannual shareholder reports, prospectuses, and proxy statements to Putnam shareholders who share the same address, unless a shareholder requests otherwise. If you prefer to receive your own copy of these documents, please call Putnam at 1-800-225-1581, and Putnam will begin sending individual copies within&nbsp;30&nbsp;days.</FONT></P>

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

<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Putnam is committed to managing our mutual funds in the best interests of our shareholders. The Putnam funds&#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 of putnam.com, and on the SEC&#8217;s website, www.sec.gov. If </FONT><FONT size=2 face=sans-serif>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 March 31, 2012, Putnam employees had approximately $353,000,000 and the Trustees had approximately $81,000,000 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>14</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>A guide to financial statements</FONT></B></P>

<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>These sections of the report, as well as the accompanying Notes, constitute the fund&#8217;s financial statements.</FONT></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 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 </FONT><FONT size=2 face=sans-serif>investment result to determine the fund&#8217;s net gain or loss for the fiscal period.</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Statement of changes in net assets </FONT></B><FONT size=2 face=sans-serif>shows how the fund&#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. Dividend sources are estimated at the time of declaration. Actual results may vary. Any non-taxable return of capital cannot be determined until final tax calculations are completed after the end of the fund&#8217;s fiscal year.</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Financial highlights </FONT></B><FONT size=2 face=sans-serif>provide an overview of the fund&#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>15</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>3/31/12(Unaudited)</FONT></P>

<DIV align=left>

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



<TR>

   <TD width="60%"></TD>

   <TD width="9%"></TD>

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

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

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><B><FONT size=1 face=sans-serif>MORTGAGE-BACKED SECURITIES (34.2%)*</FONT></B>&nbsp;</TD>

   <TD width="24%" 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 vAlign=bottom>

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

   <HR SIZE=1 noShade>

&nbsp;</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="60%" noWrap align=left><FONT size=1 face=sans-serif>American Home Mortgage Investment Trust FRB Ser. 2007-1,</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>Class GA1A, 0.402s, 2047</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$6,473,799</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$3,495,850</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>American Home Mortgage Assets</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 06-6, Class A1A, 0.432s, 2046</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3,267,744</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,552,178</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 06-4, Class 1A11, 0.432s, 2046</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>4,299,636</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,067,694</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Banc of America Commercial Mortgage, Inc. 144A</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 01-1, Class J, 6 1/8s, 2036</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>122,658</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 01-1, Class K, 6 1/8s, 2036</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>58,559</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 07-5, Class XW, IO, 0.416s, 2051</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>104,593,749</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,594,635</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Banc of America Funding Corp. FRB Ser. 07-B, Class A1,</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>0.452s, 2047</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>857,385</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>503,714</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Barclays Capital LLC Trust 144A</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 09-RR7, Class 1A7, IO, 1.837s, 2046</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>17,888,664</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>737,907</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 09-RR7, Class 2A7, IO, 1.637s, 2047</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>42,085,263</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,746,537</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 09-RR7, Class 2A1, IO, 0 3/4s, 2047</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>51,525,803</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,272,686</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 09-RR7, Class 1A1, IO, 0 3/4s, 2046</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>48,102,314</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,188,126</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Barclays Capital, LLC Trust</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 07-AA2, Class 12A1, 0.452s, 2047</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,509,685</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>754,842</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 07-AA1, Class 2A1, 0.422s, 2037</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,237,982</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>656,131</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Bear Stearns Alt-A Trust FRB Ser. 06-3, Class 31A1, 3.054s, 2036</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,592,273</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>692,639</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Bear Stearns Asset Backed Securities Trust FRB Ser. 06-IM1,</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>Class A1, 0.472s, 2036</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,223,133</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>623,798</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Bear Stearns Commercial Mortgage Securities, Inc.</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 05-PWR7, Class B, 5.214s, 2041</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>697,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>627,300</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Bear Stearns Mortgage Funding Trust</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 06-AR2, Class 1X, IO, 0.7s, 2046</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>7,664,961</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>194,690</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 07-AR5, Class 1X2, IO, 0 1/2s, 2047</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>4,664,151</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>96,548</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 06-AR5, Class 1X, IO, 0 1/2s, 2046</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>10,173,161</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>184,134</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 06-AR2, Class 1A1, 0.442s, 2046</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,184,326</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>615,849</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 06-AR3, Class 1A1, 0.422s, 2036</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>949,161</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>478,140</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 06-AR3, Class 1X, IO, 0.4s, 2036</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>5,483,699</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>76,223</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Citigroup/Deutsche Bank Commercial Mortgage Trust 144A</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 07-CD5, Class XS, IO, 0.059s, 2044</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>32,945,576</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>129,748</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Cornerstone Titan PLC 144A</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 05-CT1A, Class D, 1.88s, 2014 (United Kingdom)</FONT>&nbsp;</TD>

   <TD width="9%" 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>497,151</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" 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="9%" 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>147,083</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>176,445</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Countrywide Alternative Loan Trust</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 06-0A19, Class XP, IO, 2.588s, 2047 </FONT><B><SUP><FONT size=1 face=sans-serif>F</FONT></SUP></B>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$14,495,644</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,032,814</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 05-38, Class A1, 1.659s, 2035</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,077,883</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>689,845</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 07-OA11, Class A1A, 1.539s, 2047</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,376,580</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>764,002</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 05-62, Class 2A1, 1.159s, 2035</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,124,050</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>663,190</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 05-38, Class A3, 0.592s, 2035</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,539,652</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>923,791</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 07-AL1, Class A1, 0.492s, 2037</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,428,920</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,068,724</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 06-OA6, Class 1A1A, 0.452s, 2046</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,547,703</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,477,667</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 06-OA17, Class 1A1A, 0.437s, 2046</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,311,659</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,196,283</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 06-OA21, Class A1, 0.432s, 2047</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,849,544</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>948,446</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 06-OA12, Class A1B, 0.432s, 2046</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3,989,733</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,024,788</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 06-OA10, Class 3A1, 0.432s, 2046</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,439,700</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,268,643</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 06-OA8, Class 1A1, 0.432s, 2046</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,632,711</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>959,218</FONT>&nbsp;</TD></TR></TABLE></DIV>

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

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

<HR align=center SIZE=2 width="100%" noShade>



<!--$$/page=--><A name="page_18"></A><BR>

<DIV style="PADDING-LEFT: 0%; PADDING-RIGHT: 0%">

<DIV align=left>

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



<TR>

   <TD width="60%"></TD>

   <TD width="9%"></TD>

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

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

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><B><FONT size=1 face=sans-serif>MORTGAGE-BACKED SECURITIES (34.2%)* </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="24%" 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 vAlign=bottom>

   <TD width="99%" colSpan=4 noWrap align=left>

   <HR SIZE=1 noShade>

&nbsp;<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="60%" noWrap align=left><FONT size=1 face=sans-serif>Countrywide Alternative Loan Trust</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 07-OA4, Class A1, 0.412s, 2047</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$2,664,662</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$1,652,089</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 06-OC8, Class 2A2B, 0.412s, 2036</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>4,064,344</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,143,940</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 07-OA7, Class A1B, 0.382s, 2047</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,065,760</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>603,487</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 06-OA18, Class A1, 0.362s, 2046</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3,346,163</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,121,676</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 06-OC8, Class 2A2A, 0.362s, 2036</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,423,796</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,193,718</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 06-HY11, Class A1, 0.362s, 2036</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,688,940</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>928,917</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Countrywide Home Loans</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 07-HYB2, Class 3A1, 2.997s, 2047</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,607,063</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>827,798</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 06-OA4, Class A1, 1.119s, 2046</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,320,390</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>607,379</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 05-3, Class 1A2, 0.532s, 2035</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>527,797</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>343,563</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 06-OA4, Class A2, 0.512s, 2046</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>977,196</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>439,738</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>CS First Boston Mortgage Securities Corp. 144A Ser. 02-CP5,</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>Class M, 5 1/4s, 2035</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>106,075</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Deutsche Alt-A Securities, Inc. Mortgage Loan Trust FRB</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 06-AR1, Class 1A3, 0.572s, 2036</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>4,159,628</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,851,033</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>DLJ Commercial Mortgage Corp. Ser. 98-CF2, Class B4,</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>6.04s, 2031</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>275,749</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" 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="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>1.935s, 2014 (United Kingdom)</FONT>&nbsp;</TD>

   <TD width="9%" 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>22,811</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>21,891</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Federal Home Loan Mortgage Corp.</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3182, Class SP, 27.633s, 2032</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>297,362</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>460,911</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3408, Class EK, 24.82s, 2037</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>179,515</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>279,453</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 2979, Class AS, 23.387s, 2034</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>94,298</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>128,881</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3072, Class SM, 22.91s, 2035</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>245,439</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>369,101</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3072, Class SB, 22.764s, 2035</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>219,872</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>329,214</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3249, Class PS, 21.477s, 2036</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>200,892</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>288,926</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3031, Class BS, 16.121s, 2035</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>363,727</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>483,672</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3951, Class CS, IO, 6.508s, 2026</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>5,151,771</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>915,624</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 4032, Class SA, IO, 6 1/2s, 2042 </FONT><FONT size=1 face=sans-serif><FONT lang=EN-US size=1 face="arial narrow">&#8710;</FONT></FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>6,321,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>951,943</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3727, Class PS, IO, 6.458s, 2038</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,673,877</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>317,063</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3895, Class SM, IO, 6.408s, 2040</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>5,023,271</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>844,138</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3940, Class PS, IO, 6.408s, 2040</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>6,106,595</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,061,936</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3835, Class SC, IO, 6.408s, 2038</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,702,809</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>498,506</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3994, Class AS, IO, 6.258s, 2042</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>4,962,487</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,017,310</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3708, Class SA, IO, 6.208s, 2040</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>6,472,368</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>974,933</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3922, Class CS, IO, 5.858s, 2041</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,194,916</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>328,827</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3852, Class TB, 5.758s, 2041</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,252,281</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,278,691</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3768, Class PS, IO, 5.758s, 2036</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>7,753,663</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,040,922</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 3753, Class S, IO, 5.708s, 2040</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,615,010</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>438,014</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 3645, Class ID, IO, 5s, 2040</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,054,145</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>105,509</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 3653, Class KI, IO, 5s, 2038</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,262,871</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>224,929</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 3632, Class CI, IO, 5s, 2038</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,153,042</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>114,140</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 3626, Class DI, IO, 5s, 2037</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>768,826</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>40,502</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 3623, Class CI, IO, 5s, 2036</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>702,978</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>51,845</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 4000, Class PI, IO, 4 1/2s, 2042</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,199,571</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>311,019</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 3747, Class HI, IO, 4 1/2s, 2037</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>601,286</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>74,945</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 4010, Class NI, IO, 4s, 2041</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>4,026,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>669,323</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 3738, Class MI, IO, 4s, 2034</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>6,081,269</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>522,705</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 3748, Class NI, IO, 4s, 2034</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,847,861</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>278,920</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 3736, Class QI, IO, 4s, 2034</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>7,559,968</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>368,548</FONT>&nbsp;</TD></TR></TABLE></DIV>

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

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

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



<TR>

   <TD width="67%"></TD>

   <TD width="17%"></TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><B><FONT size=1 face=sans-serif>MORTGAGE-BACKED SECURITIES (34.2%)* </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="17%" 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 vAlign=bottom>

   <TD width="99%" colSpan=3 noWrap align=left><B><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

&nbsp;</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="67%" noWrap align=left><FONT size=1 face=sans-serif>Federal Home Loan Mortgage Corp.</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 3751, Class MI, IO, 4s, 2034</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>$8,231,279</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$512,973</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Ser. T-57, Class 1AX, IO, 0.425s, 2043</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>2,975,165</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>37,190</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 3124, Class DO, PO, zero %, 2036</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>16,212</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>13,869</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 3326, Class YF, zero %, 2037</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>36,110</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>33,792</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 3326, Class WF, zero %, 2035</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>11,247</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9,704</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 3030, Class EF, zero %, 2035</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>12,849</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>12,725</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Federal National Mortgage Association</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 10-129, Class PS, IO, 6.458s, 2038</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>6,296,677</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,082,240</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 06-62, Class PS, 38.45s, 2036</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>380,322</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>672,397</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 07-53, Class SP, 23.314s, 2037</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>212,445</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>322,235</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 08-24, Class SP, 22.397s, 2038</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>188,414</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>277,044</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 05-75, Class GS, 19.525s, 2035</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>237,346</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>333,691</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 05-83, Class QP, 16.765s, 2034</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>251,258</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>341,711</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 10-135, Class SP, IO, 6.358s, 2040</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>4,199,941</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>714,360</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 12-2, Class PS, IO, 6.308s, 2041</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>1,971,169</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>425,033</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 11-51, Class SJ, IO, 6.308s, 2041</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>3,419,148</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>596,812</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 404, Class S13, IO, 6.158s, 2040</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>5,377,070</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>728,725</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 10-35, Class SG, IO, 6.158s, 2040</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>3,892,351</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>711,522</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 11-132, Class SB, IO, 5.858s, 2030</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>4,384,130</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>715,315</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 10-140, Class GS, IO, 5.758s, 2039</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>8,910,949</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,438,282</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 11-51, Class SM, IO, 5.608s, 2041</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>5,786,809</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>840,303</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 10-46, Class WS, IO, 5.508s, 2040</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>4,086,048</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>509,571</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 374, Class 6, IO, 5 1/2s, 2036</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>928,592</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>128,833</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 10-21, Class IP, IO, 5s, 2039</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>2,204,182</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>292,054</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 10-92, Class CI, IO, 5s, 2039</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>1,178,213</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>115,612</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 398, Class C5, IO, 5s, 2039</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>775,679</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>76,327</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 10-13, Class EI, IO, 5s, 2038</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>497,911</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>33,936</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 378, Class 19, IO, 5s, 2035</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>2,249,344</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>269,921</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 12-30, Class TI, IO, 4 1/2s, 2041</FONT>&nbsp;</TD>

   <TD width="17%" 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>356,819</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 12-30, Class HI, IO, 4 1/2s, 2040</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>10,424,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,075,522</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 366, Class 22, IO, 4 1/2s, 2035</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>845,244</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>69,318</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 406, Class 2, IO, 4s, 2041</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>3,767,299</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>594,480</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 406, Class 1, IO, 4s, 2041</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>2,414,586</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>405,650</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 03-W10, Class 1, IO, 1.437s, 2043</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>700,286</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>33,154</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 99-51, Class N, PO, zero %, 2029</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>31,446</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>29,698</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 06-48, Class FG, zero %, 2036</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>6,542</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>6,524</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" 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="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>1.088s, 2020 </FONT><B><SUP><FONT size=1 face=sans-serif>F</FONT></SUP></B>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>2,761,351</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>69,896</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>GMAC Commercial Mortgage Securities, Inc. 144A Ser. 99-C3,</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Class G, 6.974s, 2036</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>3,787</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3,394</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Government National Mortgage Association</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 11-56, Class MS, 6.829s, 2041</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>3,009,613</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3,214,627</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 11-56, Class SG, 6.829s, 2041</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>1,453,595</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,559,910</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 10-142, Class SA, IO, 6.458s, 2039</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>2,967,028</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>424,656</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 10-151, Class SL, IO, 6.458s, 2039</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>1,499,972</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>257,560</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 11-37, Class SB, IO, 6.458s, 2038</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>3,908,353</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>558,928</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 10-85, Class AS, IO, 6.408s, 2039</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>2,916,776</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>473,976</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 10-85, Class SD, IO, 6.408s, 2038</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>492,491</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>83,458</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 11-37, Class SD, IO, 6.408s, 2038</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>5,028,810</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>712,508</FONT>&nbsp;</TD></TR></TABLE></DIV>

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

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

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<TR>

   <TD width="67%"></TD>

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   <TD width="67%" noWrap align=left><B><FONT size=1 face=sans-serif>MORTGAGE-BACKED SECURITIES (34.2%)* </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="17%" 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 vAlign=bottom>

   <TD width="99%" colSpan=3 noWrap align=left><B><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

&nbsp;</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="67%" noWrap align=left><FONT size=1 face=sans-serif>Government National Mortgage Association</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 10-163, Class SI, IO, 6.388s, 2037</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>$4,069,175</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$702,094</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 10-47, Class HS, IO, 6.358s, 2039</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>1,833,529</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>302,991</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 10-157, Class SN, IO, 6.308s, 2038</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>2,663,452</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>368,142</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 10-120, Class SB, IO, 5.958s, 2035</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>995,113</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>108,756</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 10-20, Class SC, IO, 5.908s, 2040</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>256,131</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>43,186</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 11-79, Class AS, IO, 5.868s, 2037</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>3,201,040</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>336,109</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 11-50, Class PS, IO, 5.858s, 2041</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>2,611,791</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>386,858</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 10-115, Class SN, IO, 5.858s, 2038</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>1,408,997</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>218,972</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 10-116, Class SL, IO, 5.808s, 2039</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>1,429,741</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>226,771</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 11-70, Class SM, IO, 5.648s, 2041</FONT>&nbsp;</TD>

   <TD width="17%" 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>698,635</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 11-70, Class SH, IO, 5.648s, 2041</FONT>&nbsp;</TD>

   <TD width="17%" 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>721,946</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>IFB Ser. 11-12, Class IB, IO, 4.556s, 2040</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>1,578,443</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>201,693</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 11-140, Class BI, IO, 4 1/2s, 2040</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>1,681,492</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>222,125</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 11-18, Class PI, IO, 4 1/2s, 2040</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>429,078</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>74,284</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 10-168, Class PI, IO, 4 1/2s, 2039</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>1,670,311</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>251,866</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 10-158, Class IP, IO, 4 1/2s, 2039</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>5,010,525</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>783,045</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 12-8, Class PI, IO, 4s, 2041</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>3,121,727</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>555,043</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 11-116, Class BI, IO, 4s, 2026</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>8,559,382</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>998,709</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 12-H02, Class AI, IO, 1.759s, 2062</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>6,074,416</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>449,871</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 12-H04, Class FI, IO, 0.971s, 2062</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>16,990,904</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>785,829</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 11-70, PO, zero %, 2041</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>5,405,665</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>4,258,636</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 06-36, Class OD, PO, zero %, 2036</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>10,918</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>10,156</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Greenpoint Mortgage Funding Trust Ser. 06-AR3, Class 4X, IO,</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>1s, 2036</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>5,238,014</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>190,140</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Greenwich Capital Commercial Funding Corp. FRB Ser. 05-GG3,</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Class D, 4.986s, 2042</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>676,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>621,920</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>GS Mortgage Securities Corp. II 144A Ser. 05-GG4, Class XC, IO,</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>0.308s, 2039</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>65,744,321</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,176,822</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>GSC Capital Corp. Mortgage Trust</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 06-1, Class A1, 0.442s, 2036</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>658,538</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>349,025</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 06-2, Class A1, 0.422s, 2036</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>857,126</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>376,001</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>GSR Mortgage Loan Trust FRB Ser. 06-OA1, Class 3A1,</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>2.724s, 2046</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>2,569,945</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,352,434</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Harborview Mortgage Loan Trust</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 05-7, Class 1A1, 3.071s, 2045</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>2,849,709</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,453,351</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 05-8, Class 1A2A, 0.572s, 2035</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>1,063,410</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>584,875</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 05-16, Class 3A1A, 0.492s, 2036</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>3,036,562</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,718,693</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 05-3, Class 2A1A, 0.482s, 2035 </FONT><B><SUP><FONT size=1 face=sans-serif>F</FONT></SUP></B>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>960,244</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>626,386</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 06-7, Class 2A1A, 0.442s, 2046</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>1,261,600</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>769,576</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>IndyMac Index Mortgage Loan Trust FRB Ser. 06-AR39, Class A1,</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>0.422s, 2037</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>3,495,615</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,852,675</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>IndyMac Indx Mortgage Loan Trust FRB Ser. 06-AR35, Class 2A1A,</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>0.412s, 2037</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>5,497,569</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,955,465</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>JPMorgan Alternative Loan Trust</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 07-A2, Class 12A1, 0.442s, 2037</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>736,096</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>331,243</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 06-A7, Class 1A1, 0.402s, 2036 </FONT><B><SUP><FONT size=1 face=sans-serif>F</FONT></SUP></B>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>1,716,465</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>875,153</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 06-A6, Class 1A1, 0.402s, 2036</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>1,700,343</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>938,160</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 07-A1, Class 1A1A, 0.382s, 2037 </FONT><B><SUP><FONT size=1 face=sans-serif>F</FONT></SUP></B>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>814,076</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>333,678</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>JPMorgan Chase Commercial Mortgage Securities Corp. 144A</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 07-CB20, Class X1, IO, 0.146s, 2051</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>62,731,933</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>642,438</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>19</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="67%"></TD>

   <TD width="17%"></TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><B><FONT size=1 face=sans-serif>MORTGAGE-BACKED SECURITIES (34.2%)* </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="17%" 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 vAlign=bottom>

   <TD width="99%" colSpan=3 noWrap align=left><B><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

&nbsp;</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="67%" noWrap align=left><FONT size=1 face=sans-serif>LB Commercial Conduit Mortgage Trust 144A Ser. 99-C1, Class G,</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>6.41s, 2031</FONT>&nbsp;</TD>

   <TD width="17%" 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>$255,632</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" 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="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>6.529s, 2035 </FONT><B><SUP><FONT size=1 face=sans-serif>F</FONT></SUP></B>&nbsp;</TD>

   <TD width="17%" 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>924,304</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Merrill Lynch Alternative Note Asset Ser. 07-OAR5, Class X, PO,</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>zero %, 2047</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>3,944,531</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>123,267</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" 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="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>2.518s, 2028 </FONT><B><SUP><FONT size=1 face=sans-serif>F</FONT></SUP></B>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>435,668</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>10,457</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Mezz Cap Commercial Mortgage Trust 144A</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 04-C1, Class X, IO, 8.324s, 2037</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>674,613</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>50,596</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 07-C5, Class X, IO, 4.44s, 2049</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>2,164,467</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>162,335</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" 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="17%" 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>1,505,100</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Morgan Stanley ReREMIC Trust 144A FRB Ser. 10-C30A,</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Class A3B, 5.87s, 2043</FONT>&nbsp;</TD>

   <TD width="17%" 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>1,256,364</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Mortgage Capital Funding, Inc. Ser. 97-MC2, Class X, IO,</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>1.473s, 2012</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>685</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>PNC Mortgage Acceptance Corp. 144A Ser. 00-C1, Class J,</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>6 5/8s, 2033</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>109,635</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>5,482</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Residential Accredit Loans, Inc.</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 06-Q07, Class X3, IO, 1 1/2s, 2046</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>6,586,987</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>339,230</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 06-Q07, Class X1, IO, 0.9s, 2046</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>4,606,909</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>146,500</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>STRIPS 144A Ser. 03-1A, Class N, 5s, 2018</FONT>&nbsp;</TD>

   <TD width="17%" 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="67%" noWrap align=left><FONT size=1 face=sans-serif>Structured Asset Mortgage Investments Trust Ser. 07-AR6,</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Class X2, IO, 0 1/2s, 2047</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>17,493,386</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>356,865</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Structured Asset Mortgage Investments, Inc.</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 06-AR6, Class 2X, IO, 1s, 2046</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>10,540,212</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>398,420</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 06-AR7, Class X, IO, 0.9s, 2036</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>25,197,992</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>733,262</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 07-AR1, Class 1X, IO, 0.6s, 2037</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>3,664,189</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>77,314</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 06-AR8, Class X, IO, 0.4s, 2036</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>16,215,835</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>215,671</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Structured Asset Securities Corp. IFB Ser. 07-4, Class 1A3, IO,</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>6.009s, 2045</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>3,356,112</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>553,759</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Wachovia Bank Commercial Mortgage Trust Ser. 07-C34, IO,</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>0.377s, 2046</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>17,677,120</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>253,843</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Wachovia Mortgage Loan Trust, LLC FRB Ser. 06-AMN1,</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Class A2, 0.392s, 2036</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>1,611,954</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>693,140</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>WAMU Mortgage Pass-Through Certificates FRB Ser. 05-AR11,</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Class A1C4, 0.682s, 2045</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>1,052,616</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>610,517</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Washington Mutual Mortgage Pass-Through Certificates FRB</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 07-0C2, Class A3, 0.552s, 2037 </FONT><B><SUP><FONT size=1 face=sans-serif>F</FONT></SUP></B>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>950,026</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>491,501</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><B><FONT size=1 face=sans-serif>Total mortgage-backed securities (cost $118,549,683)</FONT></B>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>$122,435,662</FONT></B>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><B><FONT size=1 face=sans-serif>CORPORATE BONDS AND NOTES (29.9%)*</FONT></B>&nbsp;</TD>

   <TD width="17%" 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 vAlign=bottom>

   <TD width="99%" colSpan=3 noWrap align=left><B><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

&nbsp;</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="67%" noWrap align=left><B><FONT size=1 face=sans-serif>Basic materials (2.0%)</FONT></B>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Associated Materials, LLC company</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>guaranty sr. notes 9 1/8s, 2017</FONT>&nbsp;</TD>

   <TD width="17%" 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>$88,498</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Atkore International, Inc. company</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>guaranty sr. notes 9 7/8s, 2018</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>302,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>316,345</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Celanese US Holdings, LLC company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>6 5/8s, 2018 (Germany)</FONT>&nbsp;</TD>

   <TD width="17%" 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>287,550</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" 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="17%" 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>195,175</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>20</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="60%"></TD>

   <TD width="9%"></TD>

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

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

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><B><FONT size=1 face=sans-serif>CORPORATE BONDS AND NOTES (29.9%)* </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="24%" 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 vAlign=bottom>

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

   <HR SIZE=1 noShade>

&nbsp;</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="60%" 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="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>Clondalkin Acquisition BV 144A company guaranty sr. notes FRN</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>2.474s, 2013 (Netherlands)</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>$70,875</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Ferro Corp. sr. unsec. notes 7 7/8s, 2018</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>288,660</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>FMG Resources August 2006 Pty, Ltd. 144A sr. notes 7s, 2015</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>(Australia)</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>234,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>242,775</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" 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="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>2018 (Australia)</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>178,449</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>FMG Resources August 2006 Pty, Ltd. 144A sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>6 7/8s, 2022 (Australia)</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>109,390</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Grohe Holding GmbH 144A company guaranty sr. notes FRN</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>4.876s, 2017 (Germany)</FONT>&nbsp;</TD>

   <TD width="9%" 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>402,633</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>company guaranty notes 9s, 2020</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>41,850</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>company guaranty sr. notes 8 7/8s, 2018</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>165,600</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Huntsman International, LLC company guaranty sr. unsec.</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>sub. notes 8 5/8s, 2021</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>322,158</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>INEOS Finance PLC 144A company guaranty sr. notes 9s, 2015</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>(United Kingdom)</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>212,000</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>INEOS Group Holdings, Ltd. company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>Ser. REGS, 7 7/8s, 2016 (United Kingdom)</FONT>&nbsp;</TD>

   <TD width="9%" 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>281,784</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Lyondell Chemical Co. company guaranty notes 11s, 2018</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$466,658</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>515,657</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>LyondellBasell Industries NV 144A company guaranty sr. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>6s, 2021 (Netherlands)</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>231,000</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>LyondellBasell Industries NV 144A sr. unsec. notes 5s, 2019</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>(Netherlands)</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>415,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>415,000</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Momentive Performance Materials, Inc. notes 9s, 2021</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>63,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>55,125</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" 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="9%" noWrap align=left>&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>169,725</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" 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="9%" noWrap align=left>&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>243,000</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" 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="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>(Austria)</FONT>&nbsp;</TD>

   <TD width="9%" 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>333,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>483,111</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" 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="9%" noWrap align=left>&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>76,426</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>SGL Carbon SE company guaranty sr. sub. notes FRN Ser. EMTN,</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>2.307s, 2015 (Germany)</FONT>&nbsp;</TD>

   <TD width="9%" 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>199,094</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" 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="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>2015 (Ireland)</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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="60%" 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="9%" noWrap align=left>&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>162,126</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" 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="9%" noWrap align=left>&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>374,768</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" 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="9%" noWrap align=left>&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>277,743</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Teck Resources Limited sr. notes 10 1/4s, 2016 (Canada)</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>202,683</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Thompson Creek Metals Co., Inc. company guaranty sr. unsec.</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>notes 7 3/8s, 2018 (Canada)</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>17,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>15,810</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>TPC Group, LLC company guaranty sr. notes 8 1/4s, 2017</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>210,548</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Tube City IMS Corp. company guaranty sr. unsec. sub. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>9 3/4s, 2015</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>223,995</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Verso Paper Holdings, LLC/Verso Paper, Inc. company guaranty</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>sr. notes 8 3/4s, 2019</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>46,750</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left>&nbsp;</TD>

   <TD width="9%" 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>7,221,878</FONT></B>&nbsp;</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>

<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="60%"></TD>

   <TD width="9%"></TD>

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

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

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><B><FONT size=1 face=sans-serif>CORPORATE BONDS AND NOTES (29.9%)* </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="24%" 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 vAlign=bottom>

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

   <HR SIZE=1 noShade>

&nbsp;</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="60%" noWrap align=left><B><FONT size=1 face=sans-serif>Capital goods (1.5%)</FONT></B>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>Alliant Techsystems, Inc. sr. sub. notes 6 3/4s, 2016</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>$203,478</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" 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="9%" noWrap align=left>&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>102,125</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>American Axle &amp; Manufacturing, Inc. company guaranty sr. unsec.</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>notes 7 3/4s, 2019</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>24,610</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>American Axle &amp; Manufacturing, Inc. company guaranty sr. unsec.</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>notes 5 1/4s, 2014</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>106,860</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>American Axle &amp; Manufacturing, Inc. 144A company guaranty</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>sr. notes 9 1/4s, 2017</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>40,230</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" 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="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>2017 (Ireland)</FONT>&nbsp;</TD>

   <TD width="9%" 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>196,483</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Ball Corp. company guaranty sr. unsec. notes 5s, 2022</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>55,138</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" 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="9%" noWrap align=left>&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>324,075</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>BE Aerospace, Inc. sr. unsec. unsub. notes 5 1/4s, 2022</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>140,700</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Berry Plastics Corp. company guaranty notes 9 1/2s, 2018</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>86,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>91,160</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Berry Plastics Corp. company guaranty unsub. notes 9 3/4s, 2021</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>26,220</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Briggs &amp; Stratton Corp. company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>6 7/8s, 2020</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>151,410</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" 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="9%" 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>70,751</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Kratos Defense &amp; Security Solutions, Inc. company guaranty</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>sr. notes 10s, 2017</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$418,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>452,485</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Mueller Water Products, Inc. company guaranty sr. unsec. unsub.</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>notes 8 3/4s, 2020</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>26,880</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" 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="9%" noWrap align=left>&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>251,735</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Polypore International, Inc. company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>7 1/2s, 2017</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>121,325</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Raynolds Group Issuer, Inc./Raynolds Group Issuer, LLC/</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>Raynolds Group Issuer Lu 144A company guaranty sr. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>8 3/4s, 2016</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>528,941</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" 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="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>(France)</FONT>&nbsp;</TD>

   <TD width="9%" 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>333,384</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Reynolds Group Issuer, Inc. 144A company guaranty sr. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>7 1/8s, 2019</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>135,525</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Reynolds Group Issuer, Inc. 144A company guaranty sr. unsec.</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>notes 9s, 2019</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>98,500</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" 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="9%" noWrap align=left>&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>107,500</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" 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="9%" noWrap align=left>&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>102,250</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Ryerson, Inc. company guaranty sr. notes 12s, 2015</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>342,350</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Silgan Holdings, Inc. 144A sr. notes 5s, 2020</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>54,725</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Tenneco, Inc. company guaranty sr. unsec. unsub. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>7 3/4s, 2018</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>162,000</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" 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="9%" noWrap align=left>&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>150,500</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Terex Corp. sr. unsec. sub. notes 8s, 2017</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>60,030</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Thermadyne Holdings Corp. company guaranty sr. notes 9s, 2017</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>331,075</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Thermadyne Holdings Corp. 144A sr. notes 9s, 2017</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>123,000</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Thermon Industries, Inc. company guaranty sr. notes 9 1/2s, 2017</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>128,700</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>TransDigm, Inc. company guaranty unsec. sub. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>7 3/4s, 2018</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>313,925</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left>&nbsp;</TD>

   <TD width="9%" 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>5,358,070</FONT></B>&nbsp;</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>

<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="60%"></TD>

   <TD width="9%"></TD>

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

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

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><B><FONT size=1 face=sans-serif>CORPORATE BONDS AND NOTES (29.9%)* </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="24%" 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 vAlign=bottom>

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

   <HR SIZE=1 noShade>

&nbsp;</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="60%" noWrap align=left><B><FONT size=1 face=sans-serif>Communication services (3.7%)</FONT></B>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>Bresnan Broadband Holdings, LLC 144A company guaranty</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>sr. unsec. unsub. notes 8s, 2018</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>$78,000</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" 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="9%" noWrap align=left>&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>217,750</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Cablevision Systems Corp. sr. unsec. unsub. notes 8s, 2020</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>158,625</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>CCO Holdings, LLC/CCO Holdings Capital Corp. company</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>guaranty sr. unsec. notes 7 7/8s, 2018</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>76,680</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>CCO Holdings, LLC/CCO Holdings Capital Corp. company</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>guaranty sr. unsec. notes 6 1/2s, 2021</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>131,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>134,930</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>CCO Holdings, LLC/CCO Holdings Capital Corp. company</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>guaranty sr. unsub. notes 7s, 2019</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>101,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>106,808</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Cequel Communications Holdings I, LLC/Cequel Capital Corp.</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>144A sr. notes 8 5/8s, 2017</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>156,768</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Cincinnati Bell, Inc. company guaranty sr. unsec. notes 7s, 2015</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>88,880</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Cincinnati Bell, Inc. company guaranty sr. unsec. sub. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>8 3/4s, 2018</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>253,125</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Clearwire Communications, LLC/Clearwire Finance, Inc. 144A</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>company guaranty sr. notes 12s, 2015</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>451,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>444,235</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Cricket Communications, Inc. company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>7 3/4s, 2020</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>233,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>228,923</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Cricket Communications, Inc. company guaranty sr. unsec. unsub.</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>notes 10s, 2015</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>372,585</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Cricket Communications, Inc. company guaranty sr. unsub. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>7 3/4s, 2016</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>506,400</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" 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="9%" noWrap align=left>&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>76,475</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" 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="9%" noWrap align=left>&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>344,745</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Equinix, Inc. sr. unsec. notes 7s, 2021</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>142,675</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Frontier Communications Corp. sr. unsec. notes 8 1/8s, 2018</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>794,415</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Hughes Satellite Systems Corp. company guaranty sr. sec. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>6 1/2s, 2019</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>214,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>223,630</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Hughes Satellite Systems Corp. company guaranty sr. unsec.</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>notes 7 5/8s, 2021</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>278,850</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" 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="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>2017 (United Kingdom)</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>389,638</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Intelsat Jackson Holdings SA company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>7 1/2s, 2021 (Bermuda)</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>222,865</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Intelsat Luxembourg SA company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>11 1/2s, 2017 (Luxembourg) &#8225;&#8225;</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>906,684</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Intelsat Luxembourg SA company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>11 1/4s, 2017 (Luxembourg)</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>263,120</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Intelsat Luxembourg SA 144A company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>11 1/2s, 2017 (Luxembourg) &#8225;&#8225;</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>139,050</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Kabel BW Erste Beteiligungs GmbH/Kabel Baden-Wurttemberg</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" 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="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>(Germany)</FONT>&nbsp;</TD>

   <TD width="9%" 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>185,119</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Kabel Deutschland GmbH 144A sr. sec. bonds 6 1/2s, 2018</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>(Germany)</FONT>&nbsp;</TD>

   <TD width="9%" 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>148,544</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>9 3/8s, 2019</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>135,470</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Level 3 Financing, Inc. 144A company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>8 1/8s, 2019</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>41,300</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="60%"></TD>

   <TD width="9%"></TD>

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

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

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><B><FONT size=1 face=sans-serif>CORPORATE BONDS AND NOTES (29.9%)* </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="24%" 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 vAlign=bottom>

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

   <HR SIZE=1 noShade>

&nbsp;</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="60%" 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="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>Level 3 Financing, Inc. 144A company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>FRN 8 5/8s, 2020</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>$150,150</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Mediacom, LLC/Mediacom Capital Corp. sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>9 1/8s, 2019</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>64,089</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>MetroPCS Wireless, Inc. company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>7 7/8s, 2018</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>427,350</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Nextel Communications, Inc. company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>Ser. D, 7 3/8s, 2015</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>55,005</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>NII Capital Corp. company guaranty sr. unsec. unsub. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>10s, 2016</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>407,700</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>NII Capital Corp. company guaranty sr. unsec. unsub. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>7 5/8s, 2021</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>63,700</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" 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="9%" noWrap align=left>&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>283,185</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>PAETEC Holding Corp. company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>9 7/8s, 2018</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>176,280</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Phones4U Finance PLC 144A sr. notes 9 1/2s, 2018</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>(United Kingdom)</FONT>&nbsp;</TD>

   <TD width="9%" 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>259,119</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Qwest Communications International, Inc. company guaranty</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>7 1/2s, 2014</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>181,905</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Qwest Corp. sr. unsec. notes 7 1/2s, 2014</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>83,616</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>SBA Telecommunications, Inc. company guaranty sr. unsec.</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>notes 8 1/4s, 2019</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>68,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>74,970</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>SBA Telecommunications, Inc. company guaranty sr. unsec.</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>notes 8s, 2016</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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="60%" noWrap align=left><FONT size=1 face=sans-serif>Sprint Nextel Corp. sr. notes 8 3/8s, 2017</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>926,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>893,590</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Sprint Nextel Corp. sr. unsec. notes 6s, 2016</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>131,198</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Sprint Nextel Corp. 144A company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>9s, 2018</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>261,205</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Sprint Nextel Corp. 144A sr. unsec. notes 9 1/8s, 2017</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>159,200</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Sunrise Communications Holdings SA 144A company</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>guaranty sr. notes 8 1/2s, 2018 (Luxembourg)</FONT>&nbsp;</TD>

   <TD width="9%" 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>142,234</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Unitymedia GmbH company guaranty sr. notes Ser. REGS,</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>9 5/8s, 2019 (Germany)</FONT>&nbsp;</TD>

   <TD width="9%" 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>428,195</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Unitymedia Hessen GmbH &amp; Co. KG/Unitymedia NRW GmbH</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>144A company guaranty sr. notes 8 1/8s, 2017 (Germany)</FONT>&nbsp;</TD>

   <TD width="9%" 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>307,241</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>UPC Holdings BV sr. notes 9 3/4s, 2018 (Netherlands)</FONT>&nbsp;</TD>

   <TD width="9%" 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>507,590</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Virgin Media Finance PLC company guaranty sr. unsec. bonds</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>8 7/8s, 2019 (United Kingdom)</FONT>&nbsp;</TD>

   <TD width="9%" 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>88,886</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Wind Acquisition Finance SA 144A company guaranty sr. sec.</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>bonds 7 3/8s, 2018 (Luxembourg)</FONT>&nbsp;</TD>

   <TD width="9%" 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>402,903</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Windstream Corp. company guaranty sr. unsec. unsub. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>8 1/8s, 2018</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>64,200</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Windstream Corp. company guaranty sr. unsec. unsub. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>7 7/8s, 2017</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>272,318</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Windstream Corp. company guaranty sr. unsec. unsub. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>7 3/4s, 2021</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>116,630</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left>&nbsp;</TD>

   <TD width="9%" 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>13,244,523</FONT></B>&nbsp;</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 style="PADDING-LEFT: 0%; PADDING-RIGHT: 0%">

<DIV align=left>

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



<TR>

   <TD width="60%"></TD>

   <TD width="9%"></TD>

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

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

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><B><FONT size=1 face=sans-serif>CORPORATE BONDS AND NOTES (29.9%)* </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="24%" 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 vAlign=bottom>

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

   <HR SIZE=1 noShade>

&nbsp;</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="60%" noWrap align=left><B><FONT size=1 face=sans-serif>Consumer cyclicals (5.6%)</FONT></B>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>Academy, Ltd./Academy Finance Corp. 144A company</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>guaranty sr. unsec. notes 9 1/4s, 2019</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>$25,625</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Affinion Group Holdings, Inc. company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>11 5/8s, 2015</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>18,100</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Affinion Group, Inc. company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>7 7/8s, 2018</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>370,370</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Affinion Group, Inc. company guaranty sr. unsec. sub. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>11 1/2s, 2015</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>235,625</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>AMC Entertainment, Inc. company guaranty sr. sub. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>9 3/4s, 2020</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>160,225</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>American Casino &amp; Entertainment Properties LLC sr. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>11s, 2014</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>252,280</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>AmeriGas Finance, LLC/AmeriGas Finance Corp. company</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>guaranty sr. unsec notes 7s, 2022</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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="60%" 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="9%" noWrap align=left>&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>75,850</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" 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="9%" noWrap align=left>&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>274,763</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Autonation, Inc. company guaranty sr. unsec. unsub. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>5 1/2s, 2020</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>55,825</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Beazer Homes USA, Inc. company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>6 7/8s, 2015</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>70,313</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" 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="9%" noWrap align=left>&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>61,060</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Bon-Ton Department Stores, Inc. (The) company guaranty</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>10 1/4s, 2014</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>248,663</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Building Materials Corp. 144A company guaranty sr. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>7 1/2s, 2020</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>107,750</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Building Materials Corp. 144A sr. notes 6 7/8s, 2018</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>78,844</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Building Materials Corp. 144A sr. notes 6 3/4s, 2021</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>191,025</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Burlington Coat Factory Warehouse Corp. company guaranty</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>sr. unsec notes 10s, 2019</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>145,600</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Caesars Entertainment Operating Co., Inc. company guaranty</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>sr. notes 10s, 2018</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>416,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>321,360</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Caesars Entertainment Operating Co., Inc. sr. notes 11 1/4s, 2017</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>373,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>406,570</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Caesars Operating Escrow LLC/Caesars Escrow Corp. 144A</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>sr. sub. notes 8 1/2s, 2020</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>157,713</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Carlson Wagonlit BV company guaranty sr. sec. notes FRN</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>Ser. REGS, 6.881s, 2015 (Netherlands)</FONT>&nbsp;</TD>

   <TD width="9%" 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>175,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>227,350</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Cedar Fair LP/Canada&#8217;s Wonderland Co./Magnum</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>Management Corp. company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>9 1/8s, 2018</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>78,575</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Cenveo Corp. company guaranty sr. notes 8 7/8s, 2018</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>104,500</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Chrysler Group, LLC/CG Co-Issuer, Inc. company guaranty notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>8 1/4s, 2021</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>308,050</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Cinemark USA, Inc. company guaranty sr. unsec. sub. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>7 3/8s, 2021</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>42,900</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>CityCenter Holdings LLC/CityCenter Finance Corp. company</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>guaranty 10 3/4s, 2017 &#8225;&#8225;</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>302,511</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>335,031</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Clear Channel Communications, Inc. company guaranty sr. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>9s, 2021</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>121,500</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Clear Channel Communications, Inc. company guaranty unsec.</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>unsub. notes 10 3/4s, 2016</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>74,745</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>

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<TR>

   <TD width="60%"></TD>

   <TD width="9%"></TD>

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

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<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><B><FONT size=1 face=sans-serif>CORPORATE BONDS AND NOTES (29.9%)* </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="24%" 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 vAlign=bottom>

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

   <HR SIZE=1 noShade>

&nbsp;</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="60%" 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="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>Clear Channel Worldwide Holdings, Inc. company guaranty</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>sr. unsec. unsub. notes Ser. B, 9 1/4s, 2017</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>$496,601</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" 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="9%" noWrap align=left>&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>162,750</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Conti-Gummi Finance B.V. company guaranty bonds Ser. REGS,</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>7 1/8s, 2018 (Netherlands)</FONT>&nbsp;</TD>

   <TD width="9%" 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>434,348</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Cumulus Media, Inc. 144A sr. notes 7 3/4s, 2019</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>222,075</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>DIRECTV Holdings, LLC/DIRECTV Financing Co., Inc. company</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>guaranty sr. unsec. notes 7 5/8s, 2016</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>122,558</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>DISH DBS Corp. company guaranty 6 5/8s, 2014</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>563,530</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" 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="9%" noWrap align=left>&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>132,941</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>DISH DBS Corp. company guaranty sr. unsec. notes 6 3/4s, 2021</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>206,880</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>FelCor Lodging LP company guaranty sr. notes 6 3/4s, 2019 </FONT><B><SUP><FONT size=1 face=sans-serif>R</FONT></SUP></B>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>303,000</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Ford Motor Credit Co., LLC sr. unsec. notes 7s, 2015</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>136,545</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Ford Motor Credit Co., LLC sr. unsec. notes 5s, 2018</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>398,805</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" 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="9%" noWrap align=left>&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>442,800</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" 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="9%" noWrap align=left>&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>218,400</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" 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="9%" noWrap align=left>&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>260,580</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Hanesbrands, Inc. company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>6 3/8s, 2020</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>179,813</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Interactive Data Corp. company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>10 1/4s, 2018</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>490,420</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Isle of Capri Casinos, Inc. company guaranty 7s, 2014</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>149,250</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Isle of Capri Casinos, Inc. company guaranty sr. unsec. unsub.</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>notes 7 3/4s, 2019</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>359,560</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" 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="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>(Denmark)</FONT>&nbsp;</TD>

   <TD width="9%" 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>346,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>471,054</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Jarden Corp. company guaranty sr. unsec. sub. notes Ser. 1,</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>7 1/2s, 2020</FONT>&nbsp;</TD>

   <TD width="9%" 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>68,435</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" 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="9%" noWrap align=left>&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>112,500</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Lamar Media Corp. 144A sr. sub. notes 5 7/8s, 2022</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>55,963</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Lender Processing Services, Inc. company guaranty sr. unsec.</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>unsub. notes 8 1/8s, 2016</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>830,775</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Limited Brands, Inc. company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>6 5/8s, 2021</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>168,175</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Limited Brands, Inc. sr. notes 5 5/8s, 2022</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>85,850</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" 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="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>5.9s, 2016</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>223,710</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Mashantucket Western Pequot Tribe 144A bonds Ser. A, 8 1/2s,</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>2015 (In default) &#8224;</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>23,800</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Masonite International Corp., 144A company guaranty sr. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>8 1/4s, 2021 (Canada)</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>135,200</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>MGM Resorts International company guaranty sr. notes 9s, 2020</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>50,063</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>MGM Resorts International company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>6 7/8s, 2016</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>65,650</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>MGM Resorts International company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>6 5/8s, 2015</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>210,638</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>MGM Resorts International company guaranty sr. unsec. unsub.</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>notes 7 3/4s, 2022</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>111,925</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>MTR Gaming Group, Inc. company guaranty notes 11 1/2s, 2019</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>522,600</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>517,374</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>

<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="60%"></TD>

   <TD width="9%"></TD>

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

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

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><B><FONT size=1 face=sans-serif>CORPORATE BONDS AND NOTES (29.9%)* </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="24%" 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 vAlign=bottom>

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

   <HR SIZE=1 noShade>

&nbsp;</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="60%" 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="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>Navistar International Corp. sr. notes 8 1/4s, 2021</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>$321,160</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" 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="9%" noWrap align=left>&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>135,675</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Nielsen Finance, LLC/Nielsen Finance Co. company guaranty</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>sr. unsec. notes 7 3/4s, 2018</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>159,863</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Nortek, Inc. company guaranty sr. unsec. notes 10s, 2018</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>121,900</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Nortek, Inc. company guaranty sr. unsec. notes 8 1/2s, 2021</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>153,450</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Owens Corning company guaranty sr. unsec. notes 9s, 2019</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>668,015</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" 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="9%" noWrap align=left>&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>56,125</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Penske Automotive Group, Inc. company guaranty sr. unsec.</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>sub. notes 7 3/4s, 2016</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>166,602</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>PETCO Animal Supplies, Inc. 144A company guaranty sr. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>9 1/4s, 2018</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>109,875</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>PHH Corp. sr. unsec. unsub. notes 9 1/4s, 2016</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>101,625</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Pinnacle Entertainment, Inc. company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>8 5/8s, 2017</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>59,950</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Polish Television Holding BV sr. notes stepped-coupon</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" 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="9%" 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>512,386</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>QVC Inc. 144A sr. notes 7 1/2s, 2019</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>131,700</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" 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="9%" noWrap align=left>&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>50,000</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Roofing Supply Group, LLC/Roofing Supply Finance, Inc. 144A</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>sr. notes 8 5/8s, 2017</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>126,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>133,875</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Sabre Holdings Corp. sr. unsec. unsub. notes 8.35s, 2016</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>137,940</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Schaeffler Finance BV 144A company guaranty sr. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>8 3/4s, 2019</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>438,357</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Scotts Miracle-Gro Co. (The) company guaranty sr. unsec. unsub.</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>notes 6 5/8s, 2020</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>147,350</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Sealy Mattress Co. sr. sub. notes 8 1/4s, 2014</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>73,500</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Sealy Mattress Co. 144A company guaranty sr. sec. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>10 7/8s, 2016</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>103,076</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Sears Holdings Corp. company guaranty 6 5/8s, 2018</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>123,536</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Spectrum Brands Holdings, Inc. Company guaranty sr. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>9 1/2s, 2018</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>434,088</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Spectrum Brands Holdings, Inc. 144A sr. notes 6 3/4s, 2020</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>111,100</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>Gaming Finance Corp. 144A notes 8 5/8s, 2016</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>74,025</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Toys &#8220;R&#8221; Us, Inc. sr. unsec. unsub. notes 7 7/8s, 2013</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>31,050</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" 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="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>7 3/8s, 2016</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>46,125</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Toys R Us Property Co., LLC company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>10 3/4s, 2017</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>320,835</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Travelport, LLC company guaranty sr. unsec. sub. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>11 7/8s, 2016</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>40,640</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Travelport, LLC company guaranty sr. unsec. unsub. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>9 7/8s, 2014</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>28,463</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Travelport, LLC/Travelport, Inc. company guaranty sr. unsec.</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>notes 9s, 2016</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>147,315</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>TRW Automotive, Inc. company guaranty sr. unsec. unsub. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>Ser. REGS, 6 3/8s, 2014</FONT>&nbsp;</TD>

   <TD width="9%" 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>150,598</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>27</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="60%"></TD>

   <TD width="9%"></TD>

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

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

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><B><FONT size=1 face=sans-serif>CORPORATE BONDS AND NOTES (29.9%)* </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="24%" 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 vAlign=bottom>

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

   <HR SIZE=1 noShade>

&nbsp;</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="60%" 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="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>TRW Automotive, Inc. 144A company guaranty sr. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>7 1/4s, 2017</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>$390,250</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Univision Communications, Inc. 144A sr. notes 6 7/8s, 2019</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>202,750</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. company</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>guaranty 1st mtge. notes 7 3/4s, 2020</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>115,369</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>XM Satellite Radio, Inc. 144A company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>13s, 2013</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>73,531</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" 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="9%" noWrap align=left>&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>565,920</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Yankee Candle Co. company guaranty sr. notes Ser. B,</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>8 1/2s, 2015</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3,075</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>YCC Holdings, LLC/Yankee Finance, Inc. sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>10 1/4s, 2016 &#8225;&#8225;</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>137,531</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Yonkers Racing Corp. 144A sr. notes 11 3/8s, 2016</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>294,938</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left>&nbsp;</TD>

   <TD width="9%" 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>20,183,643</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><B><FONT size=1 face=sans-serif>Consumer staples (1.8%)</FONT></B>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>Anheuser-Busch InBev Worldwide, Inc. company guaranty</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>sr. unsec. notes 9 3/4s, 2015</FONT>&nbsp;</TD>

   <TD width="9%" 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>786,269</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Avis Budget Car Rental, LLC company guaranty sr. unsec. unsub.</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>notes 9 5/8s, 2018</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>113,925</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Avis Budget Car Rental, LLC company guaranty sr. unsec. unsub.</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>notes 7 3/4s, 2016</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>354,488</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Avis Budget Car Rental, LLC 144A company guaranty sr. unsec.</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>unsub. notes 8 1/4s, 2019</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>52,125</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Burger King Corp. company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>9 7/8s, 2018</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>206,080</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" 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="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>106,018</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>109,199</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" 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="9%" noWrap align=left>&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>109,120</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Claire&#8217;s Stores, Inc. 144A sr. notes 9s, 2019</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>170,569</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Constellation Brands, Inc. company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>7 1/4s, 2017</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>26,048</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Constellation Brands, Inc. company guaranty sr. unsec. unsub.</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>notes 7 1/4s, 2016</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>125,708</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Corrections Corporation of America company guaranty sr. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>7 3/4s, 2017</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>278,845</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Dean Foods Co. company guaranty sr. unsec. unsub. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>7s, 2016</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>121,245</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" 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="9%" noWrap align=left>&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>125,925</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Dole Food Co. 144A sr. notes 8s, 2016</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>91,350</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" 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="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>2017 (United Kingdom)</FONT>&nbsp;</TD>

   <TD width="9%" 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>354,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>467,446</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" 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="9%" noWrap align=left>&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>179,025</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" 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="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>(United Kingdom)</FONT>&nbsp;</TD>

   <TD width="9%" 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>133,194</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Hertz Corp. (The) company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>7 1/2s, 2018</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>68,981</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" 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="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>(Netherlands)</FONT>&nbsp;</TD>

   <TD width="9%" 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>224,854</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" 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="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>8 1/4s, 2020</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>82,200</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>



<!--$$/page=--><A name="page_30"></A><BR>

<DIV style="PADDING-LEFT: 0%; PADDING-RIGHT: 0%">

<DIV align=left>

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



<TR>

   <TD width="67%"></TD>

   <TD width="17%"></TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><B><FONT size=1 face=sans-serif>CORPORATE BONDS AND NOTES (29.9%)* </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="17%" 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 vAlign=bottom>

   <TD width="99%" colSpan=3 noWrap align=left><B><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

&nbsp;</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="67%" 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="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" 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="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>7 1/4s, 2021</FONT>&nbsp;</TD>

   <TD width="17%" 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>$601,400</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Landry&#8217;s Restaurant, Inc. company guaranty sr. notes</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>11 5/8s, 2015</FONT>&nbsp;</TD>

   <TD width="17%" 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>80,190</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Libbey Glass, Inc. sr. notes 10s, 2015</FONT>&nbsp;</TD>

   <TD width="17%" 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>52,369</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Post Holdings, Inc. 144A sr. unsec. notes 7 3/8s, 2022</FONT>&nbsp;</TD>

   <TD width="17%" 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>73,325</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Prestige Brands, Inc. company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>8 1/4s, 2018</FONT>&nbsp;</TD>

   <TD width="17%" 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>234,888</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" 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="17%" 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>321,300</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Rite Aid Corp. company guaranty sr. unsec. unsub. notes</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>9 1/2s, 2017</FONT>&nbsp;</TD>

   <TD width="17%" 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>321,803</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Rite Aid Corp. company guaranty sr. unsub. notes 8s, 2020</FONT>&nbsp;</TD>

   <TD width="17%" 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>63,319</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Rite Aid Corp. 144A sr. notes 9 1/4s, 2020</FONT>&nbsp;</TD>

   <TD width="17%" 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>166,650</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Service Corporation International sr. notes 7s, 2019</FONT>&nbsp;</TD>

   <TD width="17%" 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>86,600</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Stewart Enterprises, Inc. company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>6 1/2s, 2019</FONT>&nbsp;</TD>

   <TD width="17%" 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>192,863</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" 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="17%" 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>8,780</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" 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="17%" 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>203,415</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>6,233,498</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><B><FONT size=1 face=sans-serif>Energy (6.4%)</FONT></B>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Alpha Natural Resources, Inc. company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>6 1/4s, 2021</FONT>&nbsp;</TD>

   <TD width="17%" 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>117,650</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Alpha Natural Resources, Inc. company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>6s, 2019</FONT>&nbsp;</TD>

   <TD width="17%" 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>145,485</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Anadarko Petroleum Corp. sr. notes 5.95s, 2016</FONT>&nbsp;</TD>

   <TD width="17%" 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>325,537</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Anadarko Petroleum Corp. sr. unsec. notes 6 3/8s, 2017</FONT>&nbsp;</TD>

   <TD width="17%" 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>194,868</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" 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="17%" noWrap align=right><FONT size=1 face=sans-serif>48,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>44,520</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Arch Coal, Inc. 144A company guaranty sr. unsec. notes 7s, 2019</FONT>&nbsp;</TD>

   <TD width="17%" 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>184,500</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Arch Western Finance, LLC company guaranty sr. notes</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>6 3/4s, 2013</FONT>&nbsp;</TD>

   <TD width="17%" 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>221,276</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" 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="17%" 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>47,450</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Atwood Oceanics, Inc. sr. unsec. unsub. notes 6 1/2s, 2020</FONT>&nbsp;</TD>

   <TD width="17%" 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>52,500</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Aurora USA Oil &amp; Gas Inc 144A sr. notes 9 7/8s, 2017</FONT>&nbsp;</TD>

   <TD width="17%" 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>114,263</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Carrizo Oil &amp; Gas, Inc. company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>8 5/8s, 2018</FONT>&nbsp;</TD>

   <TD width="17%" 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>365,218</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Chaparral Energy, Inc. company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>9 7/8s, 2020</FONT>&nbsp;</TD>

   <TD width="17%" 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>156,100</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Chaparral Energy, Inc. company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>8 7/8s, 2017</FONT>&nbsp;</TD>

   <TD width="17%" 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>415,910</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Chesapeake Energy Corp. company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>9 1/2s, 2015</FONT>&nbsp;</TD>

   <TD width="17%" 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>566,775</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Chesapeake Energy Corp. company guaranty sr. unsec. unsub.</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>notes 6.775s, 2019</FONT>&nbsp;</TD>

   <TD width="17%" 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>218,350</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Chesapeake Midstream Partners LP/CHKM Finance Corp. 144A</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>company guaranty sr. unsec notes 6 1/8s, 2022</FONT>&nbsp;</TD>

   <TD width="17%" 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>65,488</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Chesapeake Midstream Partners LP/CHKM Finance Corp. 144A</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>company guaranty sr. unsec. notes 5 7/8s, 2021</FONT>&nbsp;</TD>

   <TD width="17%" 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>134,325</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Concho Resources, Inc. company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>6 1/2s, 2022</FONT>&nbsp;</TD>

   <TD width="17%" 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>237,656</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>29</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="60%"></TD>

   <TD width="9%"></TD>

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

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

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><B><FONT size=1 face=sans-serif>CORPORATE BONDS AND NOTES (29.9%)* </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="24%" 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 vAlign=bottom>

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

   <HR SIZE=1 noShade>

&nbsp;</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="60%" 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="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>Concho Resources, Inc. company guaranty sr. unsec. unsub.</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>notes 5 1/2s, 2022</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>$86,680</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" 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="9%" 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>222,108</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>CONSOL Energy, Inc. company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>8 1/4s, 2020</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>130,625</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>CONSOL Energy, Inc. company guaranty sr. unsec. notes 8s, 2017</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>740,175</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>CONSOL Energy, Inc. company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>6 3/8s, 2021</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>28,650</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Continental Resources, Inc. 144A company guaranty sr. unsec</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>notes 5s, 2022</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>185,925</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Crosstex Energy LP/Crosstex Energy Finance Corp. company</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>guaranty sr. unsec. notes 8 7/8s, 2018</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>387,813</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Denbury Resources, Inc. company guaranty sr. unsec. sub. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>8 1/4s, 2020</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>131,865</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Denbury Resources, Inc. company guaranty sr. unsec. sub. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>6 3/8s, 2021</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>99,988</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>EXCO Resources, Inc. company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>7 1/2s, 2018</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>359,438</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Ferrellgas LP/Ferrellgas Finance Corp. sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>6 1/2s, 2021</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>88,445</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Forbes Energy Services Ltd. company guaranty sr. unsec notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>9s, 2019</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>146,250</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>FTS International Services, LLC/FTS International Bonds, Inc.</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>144A company guaranty sr. unsec. unsub. notes 7 5/8s, 2018</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>188,100</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Gazprom OAO Via Gaz Capital SA 144A sr. sec. unsec. unsub.</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>notes 9 1/4s, 2019 (Russia)</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>2,538,356</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Gazprom Via Gaz Capital SA 144A sr. unsec. unsub notes 8.146s,</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>2018 (Russia)</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>206,031</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" 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="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>(Netherlands)</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>262,925</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Goodrich Petroleum Corp. company guaranty sr. unsec. unsub.</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>notes 8 7/8s, 2019</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>189,150</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Helix Energy Solutions Group, Inc. 144A sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>9 1/2s, 2016</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>263,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>275,493</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Hercules Offshore, Inc. 144A company guaranty sr. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>7 1/8s, 2017 </FONT><B><SUP><FONT size=1 face=sans-serif>R</FONT></SUP></B>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>15,019</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Inergy LP/Inergy Finance Corp. company guaranty sr. unsec.</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>notes 6 7/8s, 2021</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>149,188</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" 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="9%" 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>162,432</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>James River Coal Co. company guaranty sr. unsec. unsub. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>7 7/8s, 2019</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$41,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>27,880</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Key Energy Services, Inc. company guaranty unsec. unsub. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>6 3/4s, 2021</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>78,090</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Key Energy Services, Inc. 144A company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>6 3/4s, 2021</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>46,013</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Laredo Petroleum, Inc. company guaranty sr. unsec. unsub. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>9 1/2s, 2019</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>209,150</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Lone Pine Resources Canada, Ltd. 144A company guaranty</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>sr. notes 10 3/8s, 2017 (Canada)</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>90,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>94,163</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>

<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="67%"></TD>

   <TD width="17%"></TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><B><FONT size=1 face=sans-serif>CORPORATE BONDS AND NOTES (29.9%)* </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="17%" 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 vAlign=bottom>

   <TD width="99%" colSpan=3 noWrap align=left><B><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

&nbsp;</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="67%" 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="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>MEG Energy Corp. 144A company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>6 1/2s, 2021 (Canada)</FONT>&nbsp;</TD>

   <TD width="17%" 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>$141,413</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Milagro Oil &amp; Gas, Inc. company guaranty notes 10 1/2s, 2016</FONT>&nbsp;</TD>

   <TD width="17%" 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>175,500</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>National JSC Naftogaz of Ukraine govt. guaranty unsec. notes</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>9 1/2s, 2014 (Ukraine)</FONT>&nbsp;</TD>

   <TD width="17%" 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>266,173</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" 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="17%" 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>352,350</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Offshore Group Investments, Ltd. company guaranty sr. notes</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>11 1/2s, 2015 (Cayman Islands)</FONT>&nbsp;</TD>

   <TD width="17%" 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>181,500</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Peabody Energy Corp. company guaranty 7 3/8s, 2016</FONT>&nbsp;</TD>

   <TD width="17%" 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>542,165</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Peabody Energy Corp. company guaranty sr. unsec. unsub. notes</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>6 1/2s, 2020</FONT>&nbsp;</TD>

   <TD width="17%" 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>19,000</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>PetroBakken Energy, Ltd. 144A sr. unsec. notes 8 5/8s,</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>2020 (Canada)</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>317,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>330,473</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Petrobras International Finance Co. company guaranty sr. unsec.</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>notes 7 7/8s, 2019 (Brazil)</FONT>&nbsp;</TD>

   <TD width="17%" 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>545,415</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Petrobras International Finance Co. company guaranty sr. unsec.</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>notes 5 3/8s, 2021 (Brazil)</FONT>&nbsp;</TD>

   <TD width="17%" 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>672,962</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Petrohawk Energy Corp. company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>10 1/2s, 2014</FONT>&nbsp;</TD>

   <TD width="17%" 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>105,806</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Petroleos de Venezuela SA company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>5 1/4s, 2017 (Venezuela)</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>1,500,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,131,464</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Petroleos de Venezuela SA sr. unsec. notes 4.9s, 2014 (Venezuela)</FONT>&nbsp;</TD>

   <TD width="17%" 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>352,648</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Petroleos de Venezuela SA sr. unsec. sub. bonds 5s, 2015</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>(Venezuela)</FONT>&nbsp;</TD>

   <TD width="17%" 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>759,212</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Petroleos de Venezuela SA 144A company guaranty sr. notes</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>8 1/2s, 2017 (Venezuela)</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>1,135,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,009,014</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Petroleos de Venezuela SA 144A company guaranty sr. unsec.</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>notes 8s, 2013 (Venezuela)</FONT>&nbsp;</TD>

   <TD width="17%" 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>223,875</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Petroleos Mexicanos company guaranty sr. unsec. unsub. notes</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>5 1/2s, 2021 (Mexico)</FONT>&nbsp;</TD>

   <TD width="17%" 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>192,938</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Petroleos Mexicanos company guaranty unsec. unsub. notes 8s,</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>2019 (Mexico)</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>1,855,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,346,574</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Petroleum Development Corp. company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>12s, 2018</FONT>&nbsp;</TD>

   <TD width="17%" 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>260,400</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Power Sector Assets &amp; Liabilities Management Corp. 144A govt.</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>guaranty sr. unsec. notes 7 1/4s, 2019 (Philippines)</FONT>&nbsp;</TD>

   <TD width="17%" 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>520,625</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Range Resources Corp. company guaranty sr. sub. notes</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>6 3/4s, 2020</FONT>&nbsp;</TD>

   <TD width="17%" 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>162,750</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Range Resources Corp. company guaranty sr. unsec. sub. notes</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>5s, 2022</FONT>&nbsp;</TD>

   <TD width="17%" 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>74,063</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Rosetta Resources, Inc. company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>9 1/2s, 2018</FONT>&nbsp;</TD>

   <TD width="17%" 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>136,400</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Samson Investment Co. 144A sr. unsec. notes 9 3/4s, 2020</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>415,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>420,188</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>SandRidge Energy, Inc. company guaranty sr. unsec. unsub.</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>notes 7 1/2s, 2021</FONT>&nbsp;</TD>

   <TD width="17%" 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>39,400</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>SandRidge Energy, Inc. 144A company guaranty sr. unsec. unsub.</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>notes 8s, 2018</FONT>&nbsp;</TD>

   <TD width="17%" 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>589,560</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>SM Energy Co. sr. unsec. notes 6 5/8s, 2019</FONT>&nbsp;</TD>

   <TD width="17%" 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>90,100</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" 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="17%" 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>61,350</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>WPX Energy, Inc. 144A sr. unsec. notes 5 1/4s, 2017</FONT>&nbsp;</TD>

   <TD width="17%" 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>477,600</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>22,838,741</FONT></B>&nbsp;</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="60%"></TD>

   <TD width="9%"></TD>

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

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

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><B><FONT size=1 face=sans-serif>CORPORATE BONDS AND NOTES (29.9%)* </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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 vAlign=bottom>

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

   <HR SIZE=1 noShade>

&nbsp;</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="60%" noWrap align=left><B><FONT size=1 face=sans-serif>Financials (4.4%)</FONT></B>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>ACE Cash Express, Inc. 144A sr. notes 11s, 2019</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>$118,950</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Air Lease Corp. 144A sr. notes 5 5/8s, 2017</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>164,175</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" 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="9%" noWrap align=left>&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>144,163</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Ally Financial, Inc. company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>6 7/8s, 2012</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>410,053</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Ally Financial, Inc. company guaranty sr. unsec. notes 6 5/8s, 2012</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>515,072</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Ally Financial, Inc. company guaranty sr. unsec. unsub. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>8.3s, 2015</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>70,769</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Ally Financial, Inc. company guaranty sr. unsec. unsub. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>7 1/2s, 2020</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>610,200</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Ally Financial, Inc. company guaranty sr. unsec. unsub. notes FRN</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>2.688s, 2014</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>36,985</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" 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="9%" 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>256,759</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" 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="9%" noWrap align=left>&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>1,017,368</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>CB Richard Ellis Services, Inc. company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>6 5/8s, 2020</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>59,500</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>CIT Group, Inc. 144A bonds 7s, 2017</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>1,053,628</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>CIT Group, Inc. 144A bonds 7s, 2016</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>304,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>304,760</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" 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="9%" noWrap align=left>&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>222,169</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>CIT Group, Inc. 144A company guaranty notes 5 1/2s, 2019</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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="60%" noWrap align=left><FONT size=1 face=sans-serif>CNO Financial Group, Inc. 144A company guaranty sr. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>9s, 2018</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>59,400</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" 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="9%" noWrap align=left>&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>165,963</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>HUB International Holdings, Inc. 144A sr. sub. notes 10 1/4s, 2015</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>97,969</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>HUB International Holdings, Inc. 144A sr. unsec. unsub. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>9s, 2014</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>66,625</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Icahn Enterprises LP/Icahn Enterprises Finance Corp. company</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>guaranty sr. unsec. notes 8s, 2018</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>400,400</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" 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="9%" noWrap align=left>&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>20,790</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>International Lease Finance Corp. sr. unsec. unsub</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>notes 4 7/8s, 2015</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>75,050</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" 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="9%" noWrap align=left>&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>1,189,336</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>JPMorgan Chase &amp; Co. 144A sr. unsec. unsub notes 8s, 2012</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>370,863</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Majapahit Holding BV 144A company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>8s, 2019 (Indonesia)</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>484,000</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Majapahit Holding BV 144A company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>7 3/4s, 2020 (Indonesia)</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>1,309,095</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>MPT Operating Partnership LP/MPT Finance Corp. company</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>guaranty sr. unsec notes 6 7/8s, 2021 </FONT><B><SUP><FONT size=1 face=sans-serif>R</FONT></SUP></B>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>78,375</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>MPT Operating Partnership LP/MPT Finance Corp. company</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>guaranty sr. unsec. unsub. notes 6 3/8s, 2022 </FONT><B><SUP><FONT size=1 face=sans-serif>R</FONT></SUP></B>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>111,650</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>National Money Mart Co. company guaranty sr. unsec. unsub.</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>notes 10 3/8s, 2016 (Canada)</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>141,440</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Nuveen Investments, Inc. company guaranty sr. unsec. unsub.</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>notes 10 1/2s, 2015</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>197,924</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Omega Healthcare Investors, Inc. company guaranty sr. unsec.</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" 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="9%" noWrap align=left>&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>90,100</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Russian Agricultural Bank OJSC Via RSHB Capital SA 144A notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>9s, 2014 (Russia)</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>1,581,750</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>32</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="60%"></TD>

   <TD width="9%"></TD>

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

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

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><B><FONT size=1 face=sans-serif>CORPORATE BONDS AND NOTES (29.9%)* </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="24%" 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 vAlign=bottom>

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

   <HR SIZE=1 noShade>

&nbsp;</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="60%" 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="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>Sberbank of Russia Via SB Capital SA 144A sr. notes 6 1/8s,</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>2022 (Luxembourg)</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>$334,827</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Sberbank of Russia Via SB Capital SA 144A sr. notes 4.95s,</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>2017 (Luxembourg)</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>507,500</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Shinhan Bank 144A sr. unsec. bonds 6s, 2012 (South Korea)</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>138,370</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" 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="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>2015 (India)</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>160,654</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Ukreximbank Via Biz Finance PLC sr. unsec. unsub. bonds 8 3/8s,</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>2015 (United Kingdom)</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>184,452</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>USI Holdings Corp. 144A company guaranty sr. unsec. notes FRN</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>4.378s, 2014</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>56,100</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" 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="9%" noWrap align=left>&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>306,325</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" 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="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>2018 (Russia)</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>1,462,905</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" 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="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>2035 (Russia)</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>135,850</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" 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="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>6.609s, 2012 (Russia)</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>927,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>948,961</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left>&nbsp;</TD>

   <TD width="9%" 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>15,829,525</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><B><FONT size=1 face=sans-serif>Health care (1.6%)</FONT></B>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>Aviv Healthcare Properties LP company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>7 3/4s, 2019</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>142,823</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Biomet, Inc. company guaranty sr. unsec. notes 10s, 2017</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>107,625</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Capella Healthcare, Inc. company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>9 1/4s, 2017</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>164,000</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Capsugel FinanceCo SCA 144A company guaranty sr. unsec.</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>notes 9 7/8s, 2019</FONT>&nbsp;</TD>

   <TD width="9%" 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>318,944</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>CHS/Community Health Systems, Inc. 144A company guaranty</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>sr. unsec. notes 8s, 2019</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>227,700</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" 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="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>(Luxembourg)</FONT>&nbsp;</TD>

   <TD width="9%" 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>138,178</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>ConvaTec Healthcare E SA 144A sr. unsec. notes 10 1/2s, 2018</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>(Luxembourg)</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>439,770</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" 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="9%" noWrap align=left>&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>47,025</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" 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="9%" noWrap align=left>&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>151,888</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Elan Finance PLC/Elan Finance Corp. company guaranty</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>sr. unsec. notes 8 3/4s, 2016 (Ireland)</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>223,554</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Emergency Medical Services Corp. company guaranty sr. unsec.</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>notes 8 1/8s, 2019</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>226,050</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Endo Pharmaceutical Holdings, Inc. company guaranty sr. unsec</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>notes 7s, 2019</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>138,775</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Fresenius Medical Care US Finance II, Inc. 144A company</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>guaranty sr. unsec. notes 5 5/8s, 2019</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>169,950</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Grifols, Inc. company guaranty sr. unsec notes 8 1/4s, 2018</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>244,645</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>HCA, Inc. sr. notes 6 1/2s, 2020</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>723,260</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>HCA, Inc. sr. unsec. notes 7 1/2s, 2022</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>206,700</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Health Net, Inc. sr. unsec. bonds 6 3/8s, 2017</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>230,050</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>IASIS Healthcare, LLC/IASIS Capital Corp. company guaranty</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>sr. unsec notes 8 3/8s, 2019</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>239,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>232,428</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="67%"></TD>

   <TD width="17%"></TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><B><FONT size=1 face=sans-serif>CORPORATE BONDS AND NOTES (29.9%)* </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="17%" 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 vAlign=bottom>

   <TD width="99%" colSpan=3 noWrap align=left><B><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

&nbsp;</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="67%" 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="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Kinetics Concept/KCI USA 144A company guaranty sr. unsec.</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>notes 12 1/2s, 2019</FONT>&nbsp;</TD>

   <TD width="17%" 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>$183,300</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" 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="17%" 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>162,000</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Surgical Care Affiliates, Inc. 144A sr. sub. notes 10s, 2017</FONT>&nbsp;</TD>

   <TD width="17%" 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>309,613</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" 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="17%" 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>121,445</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Teleflex, Inc. company guaranty sr. unsec. sub. notes 6 7/8s, 2019</FONT>&nbsp;</TD>

   <TD width="17%" 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>172,400</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Tenet Healthcare Corp. company guaranty sr. notes 10s, 2018</FONT>&nbsp;</TD>

   <TD width="17%" 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>136,255</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Tenet Healthcare Corp. sr. notes 8 7/8s, 2019</FONT>&nbsp;</TD>

   <TD width="17%" 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>221,760</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Tenet Healthcare Corp. 144A company guaranty notes</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>6 1/4s, 2018</FONT>&nbsp;</TD>

   <TD width="17%" 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>206,500</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Valeant Pharmaceuticals International 144A company guaranty</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>sr. notes 7s, 2020</FONT>&nbsp;</TD>

   <TD width="17%" 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>29,850</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Valeant Pharmaceuticals International 144A company guaranty</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>sr. unsec. notes 6 7/8s, 2018</FONT>&nbsp;</TD>

   <TD width="17%" 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>75,563</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Valeant Pharmaceuticals International 144A sr. notes 6 3/4s, 2017</FONT>&nbsp;</TD>

   <TD width="17%" 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>30,375</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Vanguard Health Systems, Inc. sr. unsec. notes zero %, 2016</FONT>&nbsp;</TD>

   <TD width="17%" 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>4,620</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>5,787,046</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><B><FONT size=1 face=sans-serif>Technology (1.3%)</FONT></B>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" 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="17%" 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>287,100</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Avaya, Inc. company guaranty sr. unsec. notes 10 1/8s, 2015</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>6,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>5,940</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" 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="17%" 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>159,570</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Avaya, Inc. 144A company guaranty sr. notes 7s, 2019</FONT>&nbsp;</TD>

   <TD width="17%" 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>76,190</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" 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="17%" noWrap align=right><FONT size=1 face=sans-serif>129,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>117,068</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Ceridian Corp. sr. unsec. notes 11 1/4s, 2015</FONT>&nbsp;</TD>

   <TD width="17%" 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>255,408</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Epicor Software Corp. company guaranty sr. unsec notes</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>8 5/8s, 2019</FONT>&nbsp;</TD>

   <TD width="17%" 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>81,800</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Fidelity National Information Services, Inc. company guaranty</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>sr. unsec. notes 7 7/8s, 2020</FONT>&nbsp;</TD>

   <TD width="17%" 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>123,210</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Fidelity National Information Services, Inc. company guaranty</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>sr. unsec. notes 7 5/8s, 2017</FONT>&nbsp;</TD>

   <TD width="17%" 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>83,220</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>First Data Corp. company guaranty sr. unsec notes 12 5/8s, 2021</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>346,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>346,865</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>First Data Corp. company guaranty sr. unsec. notes 10.55s, 2015</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>484,401</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>491,667</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>First Data Corp. company guaranty sr. unsec. sub. notes</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>11 1/4s, 2016</FONT>&nbsp;</TD>

   <TD width="17%" 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>87,785</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>First Data Corp. 144A company guaranty notes 8 1/4s, 2021</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>121,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>118,278</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" 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="17%" 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>81,281</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" 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="17%" 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>106,969</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Freescale Semiconductor, Inc. company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>10 3/4s, 2020</FONT>&nbsp;</TD>

   <TD width="17%" 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>48,268</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Freescale Semiconductor, Inc. 144A company guaranty sr. notes</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>10 1/8s, 2018</FONT>&nbsp;</TD>

   <TD width="17%" 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>412,160</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Iron Mountain, Inc. company guaranty sr. unsec. sub. notes</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>8s, 2020</FONT>&nbsp;</TD>

   <TD width="17%" 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>495,850</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Lawson Software, Inc. 144A sr. notes 9 3/8s, 2019</FONT>&nbsp;</TD>

   <TD width="17%" 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>56,788</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>NXP BV/NXP Funding, LLC 144A company guaranty sr. notes</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>9 3/4s, 2018 (Netherlands)</FONT>&nbsp;</TD>

   <TD width="17%" 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>354,820</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>34</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="60%"></TD>

   <TD width="9%"></TD>

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

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

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><B><FONT size=1 face=sans-serif>CORPORATE BONDS AND NOTES (29.9%)* </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="24%" 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 vAlign=bottom>

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

   <HR SIZE=1 noShade>

&nbsp;</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="60%" 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="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>Seagate HDD Cayman company guaranty sr. unsec. unsub. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>7 3/4s, 2018 (Cayman Islands)</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>$203,670</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>SunGard Data Systems, Inc. company guaranty 10 1/4s, 2015</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>364,601</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" 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="9%" noWrap align=left>&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>159,058</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Syniverse Holdings, Inc. company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>9 1/8s, 2019</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>207,270</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left>&nbsp;</TD>

   <TD width="9%" 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>4,724,836</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><B><FONT size=1 face=sans-serif>Transportation (0.3%)</FONT></B>&nbsp;</TD>

   <TD width="9%" 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="60%" 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="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>2018 (Luxembourg)</FONT>&nbsp;</TD>

   <TD width="9%" 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>614,158</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>AMGH Merger Sub, Inc. 144A company guaranty sr. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>9 1/4s, 2018</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>205,920</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Swift Services Holdings, Inc. company guaranty sr. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>10s, 2018</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>261,300</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Western Express, Inc. 144A sr. notes 12 1/2s, 2015</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>51,875</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left>&nbsp;</TD>

   <TD width="9%" 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>1,133,253</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><B><FONT size=1 face=sans-serif>Utilities and power (1.3%)</FONT></B>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>AES Corp. (The) sr. unsec. unsub. notes 8s, 2017</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>534,969</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>AES Corp. (The) 144A sr. notes 7 3/8s, 2021</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>149,175</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" 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="9%" noWrap align=left>&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>178,613</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Calpine Corp. 144A sr. notes 7 1/4s, 2017</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>450,500</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Dynegy Holdings, LLC sr. unsec. notes 7 3/4s, 2019 (In default) &#8224;</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>325,463</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Edison Mission Energy sr. unsec. notes 7 3/4s, 2016</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>104,190</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Edison Mission Energy sr. unsec. notes 7 1/2s, 2013</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>56,580</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Edison Mission Energy sr. unsec. notes 7.2s, 2019</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>91,140</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Edison Mission Energy sr. unsec. notes 7s, 2017</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>14,490</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>El Paso Natural Gas Co. debs. 8 5/8s, 2022</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>306,496</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Energy Future Holdings Corp. company guaranty sr. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>10s, 2020</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>645,575</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc.</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>sr. notes 10s, 2020</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>322,640</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Energy Transfer Equity LP company guaranty sr. unsec. notes</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>7 1/2s, 2020</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>333,000</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>GenOn Energy, Inc. sr. unsec. notes 9 7/8s, 2020</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>268,450</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>GenOn Energy, Inc. sr. unsec. notes 9 1/2s, 2018</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>41,400</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Ipalco Enterprises, Inc. 144A sr. notes 7 1/4s, 2016</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>125,350</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>NRG Energy, Inc. company guaranty sr. unsec. notes 7 7/8s, 2021</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>571,200</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>NV Energy, Inc. sr. unsec. notes 6 1/4s, 2020</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>119,377</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Texas Competitive/Texas Competitive Electric Holdings Co., LLC</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>144A company guaranty sr. notes 11 1/2s, 2020</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>88,088</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left>&nbsp;</TD>

   <TD width="9%" 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>4,726,696</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left>&nbsp;</TD>

   <TD width="9%" noWrap align=left></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="60%" noWrap align=left><B><FONT size=1 face=sans-serif>Total corporate bonds and notes (cost $104,632,499)</FONT></B>&nbsp;</TD>

   <TD width="9%" 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>$107,281,709</FONT></B>&nbsp;</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 style="PADDING-LEFT: 0%; PADDING-RIGHT: 0%">

<DIV align=left>

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



<TR>

   <TD width="51%"></TD>

   <TD width="16%"></TD>

   <TD width="17%"></TD>

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

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><B><FONT size=1 face=sans-serif>U.S. GOVERNMENT AND AGENCY</FONT></B>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><B><FONT size=1 face=sans-serif>MORTGAGE OBLIGATIONS (26.0%)*</FONT></B>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" 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>

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

   <HR SIZE=1 noShade>

&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>U.S. Government Guaranteed Mortgage Obligations (0.3%)</FONT></B>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" colSpan=2 noWrap align=left><FONT size=1 face=sans-serif>Government National Mortgage Association Pass-Through</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Certificates 6 1/2s, November 20, 2038</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>$838,117</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$947,269</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>947,269</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>U.S. Government Agency Mortgage Obligations (25.7%)</FONT></B>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="67%" colSpan=2 noWrap align=left><FONT size=1 face=sans-serif>Federal National Mortgage Association Pass-Through Certificates</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>3 1/2s, TBA, May 1, 2042</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>22,000,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>22,524,218</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>3 1/2s, TBA, April 1, 2042</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>68,000,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>69,827,500</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>92,351,718</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left>&nbsp;</TD>

   <TD width="16%" noWrap align=left></TD>

   <TD width="17%" 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="67%" colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>Total U.S. government and agency mortgage obligations (cost $93,415,180)</FONT></B>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>$93,298,987</FONT></B>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><B><FONT size=1 face=sans-serif>U.S. TREASURY OBLIGATIONS (0.4%)*</FONT></B>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" 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>

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

   <HR SIZE=1 noShade>

&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" colSpan=2 noWrap align=left><FONT size=1 face=sans-serif>U.S. Treasury Bills with an effective yield of 0.00%, July 12, 2012 </FONT><B><SUP><FONT size=1 face=sans-serif>i</FONT></SUP></B>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>$504,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$503,899</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" colSpan=2 noWrap align=left><FONT size=1 face=sans-serif>U.S. Treasury Inflation Protected Securities 1.875%, July 15, 2013 </FONT><B><SUP><FONT size=1 face=sans-serif>i</FONT></SUP></B>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>884,491</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>934,651</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><B><FONT size=1 face=sans-serif>Total U.S. treasury obligations (cost $1,438,550)</FONT></B>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>$1,438,550</FONT></B>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><B><FONT size=1 face=sans-serif>PURCHASED OPTIONS</FONT></B>&nbsp;</TD>

   <TD width="16%" noWrap align=left><B><FONT size=1 face=sans-serif>Expiration date/</FONT></B>&nbsp;</TD>

   <TD width="17%" 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="51%" noWrap align=left><B><FONT size=1 face=sans-serif>OUTSTANDING (9.7%)*</FONT></B>&nbsp;</TD>

   <TD width="16%" noWrap align=left><B><FONT size=1 face=sans-serif>strike price</FONT></B>&nbsp;</TD>

   <TD width="17%" 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="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Bank</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>of America, N.A. for the right to receive a</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>fixed rate of 1.683% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing June 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Jun-12/1.683</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>$2,578,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$1,083</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Bank</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>of America, N.A. for the right to receive a</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>fixed rate of 2.042% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing August 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Aug-12/2.042</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>2,633,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>16,746</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Bank</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>of America, N.A. for the right to receive a</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>fixed rate of 2.064% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing September 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Sep-12/2.064</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>2,633,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>21,169</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Bank</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>of America, N.A. for the right to receive a</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>fixed rate of 2.085% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing October 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Oct-12/2.085</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>2,633,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>25,066</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Barclay&#8217;s</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Bank, PLC for the right to pay a fixed rate</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>of 3.36% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>maturing July 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Jul-12/3.36</FONT>&nbsp;</TD>

   <TD width="17%" 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>27,234</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Barclay&#8217;s</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Bank, PLC for the right to pay a fixed rate</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>of 3.37% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>maturing August 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Aug-12/3.37</FONT>&nbsp;</TD>

   <TD width="17%" 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>33,420</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Barclay&#8217;s</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Bank, PLC for the right to pay a fixed rate</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>of 3.51% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>maturing July 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Jul-12/3.51</FONT>&nbsp;</TD>

   <TD width="17%" 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>7,197</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Barclay&#8217;s</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Bank, PLC for the right to pay a fixed rate</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>of 3.52% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>maturing July 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Jul-12/3.52</FONT>&nbsp;</TD>

   <TD width="17%" 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>18,485</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>



<!--$$/page=--><A name="page_38"></A><BR>

<DIV style="PADDING-LEFT: 0%; PADDING-RIGHT: 0%">

<DIV align=left>

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



<TR>

   <TD width="51%"></TD>

   <TD width="16%"></TD>

   <TD width="17%"></TD>

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

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><B><FONT size=1 face=sans-serif>PURCHASED OPTIONS</FONT></B>&nbsp;</TD>

   <TD width="16%" noWrap align=left><B><FONT size=1 face=sans-serif>Expiration date/</FONT></B>&nbsp;</TD>

   <TD width="17%" 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="51%" noWrap align=left><B><FONT size=1 face=sans-serif>OUTSTANDING (9.7%)* </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="16%" noWrap align=left><B><FONT size=1 face=sans-serif>strike price</FONT></B>&nbsp;</TD>

   <TD width="17%" 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 vAlign=bottom>

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

   <HR SIZE=1 noShade>

&nbsp;</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="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Barclay&#8217;s</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Bank, PLC for the right to pay a fixed rate</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>of 3.5375% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>maturing July 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Jul-12/3.5375</FONT>&nbsp;</TD>

   <TD width="17%" 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>$16,143</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Barclay&#8217;s</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Bank, PLC for the right to receive a fixed rate</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>of 1.683% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>maturing June 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Jun-12/1.683</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>2,578,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,083</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Barclay&#8217;s</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Bank, PLC for the right to receive a fixed rate</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>of 1.765% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>maturing April 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Apr-12/1.765</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>6,075,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>6</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Barclay&#8217;s</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Bank, PLC for the right to receive a fixed rate</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>of 1.861% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>maturing April 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Apr-12/1.861</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>2,578,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>129</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Barclay&#8217;s</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Bank, PLC for the right to receive a fixed rate</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>of 1.9275% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>maturing April 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Apr-12/1.9275</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>12,195,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>122</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Barclay&#8217;s</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Bank, PLC for the right to receive a fixed rate</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>of 2.015% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>maturing April 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Apr-12/2.015</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>2,430,000</FONT>&nbsp;</TD>

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

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Barclay&#8217;s</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Bank, PLC for the right to receive a fixed rate</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>of 3.36% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>maturing July 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Jul-12/3.36</FONT>&nbsp;</TD>

   <TD width="17%" 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>1,099,101</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Barclay&#8217;s</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Bank, PLC for the right to receive a fixed rate</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>of 3.37% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>maturing August 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Aug-12/3.37</FONT>&nbsp;</TD>

   <TD width="17%" 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>1,330,751</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Barclay&#8217;s</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Bank, PLC for the right to receive a fixed rate</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>of 3.51% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>maturing July 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Jul-12/3.51</FONT>&nbsp;</TD>

   <TD width="17%" 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>503,720</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Barclay&#8217;s</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Bank, PLC for the right to receive a fixed rate</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>of 3.52% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>maturing July 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Jul-12/3.52</FONT>&nbsp;</TD>

   <TD width="17%" 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>1,269,776</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Barclay&#8217;s</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Bank, PLC for the right to receive a fixed rate</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>of 3.5375% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>maturing July 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Jul-12/3.5375</FONT>&nbsp;</TD>

   <TD width="17%" 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>1,293,067</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Citibank,</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>N.A. for the right to pay a fixed rate of 4.74%</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>maturing July 2026.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Jul-16/4.74</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>19,702,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>693,215</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Citibank,</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>N.A. for the right to receive a fixed rate</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>of 1.6714% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>maturing July 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Jul-12/1.6714</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>2,578,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,088</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>37</FONT></P></DIV>

<HR align=center SIZE=2 width="100%" noShade>



<!--$$/page=--><A name="page_39"></A><BR>

<DIV style="PADDING-LEFT: 0%; PADDING-RIGHT: 0%">

<DIV align=left>

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



<TR>

   <TD width="51%"></TD>

   <TD width="16%"></TD>

   <TD width="17%"></TD>

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

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><B><FONT size=1 face=sans-serif>PURCHASED OPTIONS</FONT></B>&nbsp;</TD>

   <TD width="16%" noWrap align=left><B><FONT size=1 face=sans-serif>Expiration date/</FONT></B>&nbsp;</TD>

   <TD width="17%" 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="51%" noWrap align=left><B><FONT size=1 face=sans-serif>OUTSTANDING (9.7%)* </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="16%" noWrap align=left><B><FONT size=1 face=sans-serif>strike price</FONT></B>&nbsp;</TD>

   <TD width="17%" 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 vAlign=bottom>

   <TD width="99%" colSpan=4 noWrap align=left>

   <HR SIZE=1 noShade>

&nbsp;<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="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Citibank,</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>N.A. for the right to receive a fixed rate</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>of 1.861% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>maturing April 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Apr-12/1.861</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>$2,578,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$129</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Citibank,</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>N.A. for the right to receive a fixed rate</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>of 1.9275% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>maturing April 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Apr-12/1.9275</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>12,195,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>122</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Citibank,</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>N.A. for the right to receive a fixed rate</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>of 1.985% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>maturing April 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Apr-12/1.985</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>2,770,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>111</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Citibank,</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>N.A. for the right to receive a fixed rate</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>of 2.1075% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>maturing July 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Jul-12/2.1075</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>12,272,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>85,045</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Citibank,</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>N.A. for the right to receive a fixed rate</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>of 4.74% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

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

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>maturing July 2026.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Jul-16/4.74</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>19,702,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,635,399</FONT>&nbsp;</TD></TR>

<TR>

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

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Credit</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Suisse International for the right to pay a</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>fixed rate of 4.04% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing September 2025.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Sep-15/4.04</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>14,963,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>612,600</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Credit</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Suisse International for the right to pay a</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>fixed rate of 4.28% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing August 2026.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Aug-16/4.28</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>24,236,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,098,909</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Credit</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Suisse International for the right to pay a</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>fixed rate of 4.67% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing July 2026.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Jul-16/4.67</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>19,702,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>724,955</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Credit</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Suisse International for the right to receive a</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>fixed rate of 1.6714% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing July 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Jul-12/1.6714</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>2,578,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,088</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Credit</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Suisse International for the right to receive a</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>fixed rate of 1.9275% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing April 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Apr-12/1.9275</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>12,195,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>122</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Credit</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Suisse International for the right to receive a</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>fixed rate of 1.9475% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing August 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Aug-12/1.9475</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>18,875,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>86,448</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Credit</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Suisse International for the right to receive a</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>fixed rate of 2.074% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing May 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>May-12/2.074</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>6,702,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>15,281</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Credit</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Suisse International for the right to receive a</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>fixed rate of 2.096% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing June 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Jun-12/2.096</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>6,702,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>31,030</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>38</FONT></P></DIV>

<HR align=center SIZE=2 width="100%" noShade>



<!--$$/page=--><A name="page_40"></A><BR>

<DIV style="PADDING-LEFT: 0%; PADDING-RIGHT: 0%">

<DIV align=left>

<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="51%"></TD>

   <TD width="16%"></TD>

   <TD width="17%"></TD>

   <TD width="15%"></TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><B><FONT size=1 face=sans-serif>PURCHASED OPTIONS</FONT></B>&nbsp;</TD>

   <TD width="16%" noWrap align=left><B><FONT size=1 face=sans-serif>Expiration date/</FONT></B>&nbsp;</TD>

   <TD width="17%" 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="51%" noWrap align=left><B><FONT size=1 face=sans-serif>OUTSTANDING (9.7%)* </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="16%" noWrap align=left><B><FONT size=1 face=sans-serif>strike price</FONT></B>&nbsp;</TD>

   <TD width="17%" 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 vAlign=bottom>

   <TD width="99%" colSpan=4 noWrap align=left><B><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

&nbsp;</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="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Credit</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Suisse International for the right to receive a</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>fixed rate of 2.1075% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing July 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Jul-12/2.1075</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>$12,272,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$85,045</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Credit</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Suisse International for the right to receive a</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>fixed rate of 2.122% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing July 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Jul-12/2.122</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>6,702,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>46,847</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Credit</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Suisse International for the right to receive a</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>fixed rate of 2.144% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing August 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Aug-12/2.144</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>6,702,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>60,653</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Credit</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Suisse International for the right to receive a</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>fixed rate of 2.169% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing September 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Sep-12/2.169</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>6,702,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>73,923</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Credit</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Suisse International for the right to receive a</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>fixed rate of 2.193% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing October 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Oct-12/2.193</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>6,702,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>86,523</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Credit</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Suisse International for the right to receive a</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>fixed rate of 4.04% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing September 2025.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Sep-15/4.04</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>14,963,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,480,903</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Credit</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Suisse International for the right to receive a</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>fixed rate of 4.28% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing August 2026.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Aug-16/4.28</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>24,236,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,574,348</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Credit</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Suisse International for the right to receive a</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>fixed rate of 4.67% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing July 2026.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Jul-16/4.67</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>19,702,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,546,089</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Deutsche</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Bank AG for the right to pay a fixed rate</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>of 2.73% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>maturing August 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Aug-12/2.73</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>5,475,900</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>58,209</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Deutsche</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Bank AG for the right to pay a fixed rate</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>of 4.375% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>maturing August 2045.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Aug-15/4.375</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>5,571,800</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>349,692</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Deutsche</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Bank AG for the right to pay a fixed rate</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>of 4.46% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>maturing August 2045.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Aug-15/4.46</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>5,571,800</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>327,354</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Deutsche</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Bank AG for the right to pay a fixed rate</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>of 4.765% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>maturing May 2021.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>May-16/4.765</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>15,808,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>266,555</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Deutsche</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Bank AG for the right to receive a fixed rate</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>of 1.6714% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>maturing July 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Jul-12/1.6714</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>2,578,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,088</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>39</FONT></P></DIV>

<HR align=center SIZE=2 width="100%" noShade>



<!--$$/page=--><A name="page_41"></A><BR>

<DIV style="PADDING-LEFT: 0%; PADDING-RIGHT: 0%">

<DIV align=left>

<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="51%"></TD>

   <TD width="16%"></TD>

   <TD width="17%"></TD>

   <TD width="15%"></TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><B><FONT size=1 face=sans-serif>PURCHASED OPTIONS</FONT></B>&nbsp;</TD>

   <TD width="16%" noWrap align=left><B><FONT size=1 face=sans-serif>Expiration date/</FONT></B>&nbsp;</TD>

   <TD width="17%" 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="51%" noWrap align=left><B><FONT size=1 face=sans-serif>OUTSTANDING (9.7%)* </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="16%" noWrap align=left><B><FONT size=1 face=sans-serif>strike price</FONT></B>&nbsp;</TD>

   <TD width="17%" 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 vAlign=bottom>

   <TD width="99%" colSpan=4 noWrap align=left><B><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

&nbsp;</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="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Deutsche</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Bank AG for the right to receive a fixed rate</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>of 1.683% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>maturing June 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Jun-12/1.683</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>$2,578,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$1,083</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Deutsche</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Bank AG for the right to receive a fixed rate</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>of 1.861% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>maturing April 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Apr-12/1.861</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>2,578,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>129</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Deutsche</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Bank AG for the right to receive a fixed rate</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>of 1.9275% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>maturing April 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Apr-12/1.9275</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>12,195,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>122</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Deutsche</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Bank AG for the right to receive a fixed rate</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>of 1.998% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>maturing April 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Apr-12/1.998</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>12,195,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>976</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Deutsche</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Bank AG for the right to receive a fixed rate</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>of 2.1125% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>maturing November 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Nov-12/2.1125</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>2,633,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>29,226</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Deutsche</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Bank AG for the right to receive a fixed rate</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>of 2.13375% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>maturing December 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Dec-12/2.13375</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>2,633,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>32,676</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Deutsche</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Bank AG for the right to receive a fixed rate</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>of 2.225% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>maturing October 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Oct-12/2.225</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>4,714,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>66,892</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Deutsche</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Bank AG for the right to receive a fixed rate</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>of 2.2475% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>maturing November 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Nov-12/2.2475</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>4,714,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>74,057</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Deutsche</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Bank AG for the right to receive a fixed rate</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>of 2.27% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>maturing December 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Dec-12/2.27</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>4,714,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>80,657</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Deutsche</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Bank AG for the right to receive a fixed rate</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>of 2.73% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>maturing August 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Aug-12/2.73</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>5,475,900</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>214,765</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Deutsche</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Bank AG for the right to receive a fixed rate</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>of 4.375% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>maturing August 2045.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Aug-15/4.375</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>5,571,800</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,292,630</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Deutsche</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Bank AG for the right to receive a fixed rate</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>of 4.46% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>maturing August 2045.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Aug-15/4.46</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>5,571,800</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,356,499</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Deutsche</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Bank AG for the right to receive a fixed rate</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>of 4.765% versus the three month USD-LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>maturing May 2021.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>May-16/4.765</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>15,808,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,377,493</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>40</FONT></P></DIV>

<HR align=center SIZE=2 width="100%" noShade>



<!--$$/page=--><A name="page_42"></A><BR>

<DIV style="PADDING-LEFT: 0%; PADDING-RIGHT: 0%">

<DIV align=left>

<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="51%"></TD>

   <TD width="16%"></TD>

   <TD width="17%"></TD>

   <TD width="15%"></TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><B><FONT size=1 face=sans-serif>PURCHASED OPTIONS</FONT></B>&nbsp;</TD>

   <TD width="16%" noWrap align=left><B><FONT size=1 face=sans-serif>Expiration date/</FONT></B>&nbsp;</TD>

   <TD width="17%" 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="51%" noWrap align=left><B><FONT size=1 face=sans-serif>OUTSTANDING (9.7%)* </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="16%" noWrap align=left><B><FONT size=1 face=sans-serif>strike price</FONT></B>&nbsp;</TD>

   <TD width="17%" 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 vAlign=bottom>

   <TD width="99%" colSpan=4 noWrap align=left>

   <HR SIZE=1 noShade>

&nbsp;<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="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Sachs International for the right to pay a fixed</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>rate of 2.09% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing May 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>May-12/2.09</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>$6,463,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$177,474</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Sachs International for the right to pay a fixed</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>rate of 2.09% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing May 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>May-12/2.09</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>6,463,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>164,677</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Sachs International for the right to pay a fixed</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>rate of 2.095% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing June 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Jun-12/2.095</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>6,463,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>181,869</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Sachs International for the right to pay a fixed</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>rate of 2.095% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing May 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>May-12/2.095</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>6,463,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>169,460</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Sachs International for the right to pay a fixed</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>rate of 2.10% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing June 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Jun-12/2.10</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>6,463,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>186,328</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Sachs International for the right to pay a fixed</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>rate of 2.105% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing June 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Jun-12/2.105</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>6,463,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>190,723</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Sachs International for the right to pay a fixed</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>rate of 2.15% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing April 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Apr-12/2.15</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>800,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>12,752</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Sachs International for the right to pay a fixed</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>rate of 2.17% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing May 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>May-12/2.17</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>800,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>15,976</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Sachs International for the right to pay a fixed</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>rate of 2.195% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing June 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Jun-12/2.195</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>800,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>18,816</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Sachs International for the right to pay a fixed</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>rate of 2.215% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing July 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Jul-12/2.215</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>800,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>21,136</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Sachs International for the right to pay a fixed</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>rate of 2.235% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing August 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Aug-12/2.235</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>800,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>23,400</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Sachs International for the right to pay a fixed</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>rate of 2.26% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing September 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Sep-12/2.26</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>800,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>25,408</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Sachs International for the right to pay a fixed</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>rate of 2.28% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing October 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Oct-12/2.28</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>800,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>27,064</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>41</FONT></P></DIV>

<HR align=center SIZE=2 width="100%" noShade>



<!--$$/page=--><A name="page_43"></A><BR>

<DIV style="PADDING-LEFT: 0%; PADDING-RIGHT: 0%">

<DIV align=left>

<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="51%"></TD>

   <TD width="16%"></TD>

   <TD width="17%"></TD>

   <TD width="15%"></TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><B><FONT size=1 face=sans-serif>PURCHASED OPTIONS</FONT></B>&nbsp;</TD>

   <TD width="16%" noWrap align=left><B><FONT size=1 face=sans-serif>Expiration date/</FONT></B>&nbsp;</TD>

   <TD width="17%" 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="51%" noWrap align=left><B><FONT size=1 face=sans-serif>OUTSTANDING (9.7%)* </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="16%" noWrap align=left><B><FONT size=1 face=sans-serif>strike price</FONT></B>&nbsp;</TD>

   <TD width="17%" 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 vAlign=bottom>

   <TD width="99%" colSpan=4 noWrap align=left><B><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

&nbsp;</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="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Sachs International for the right to pay a fixed</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>rate of 2.305% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing November 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Nov-12/2.305</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>$800,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$28,816</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Sachs International for the right to pay a fixed</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>rate of 2.325% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing December 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Dec-12/2.325</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>800,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>30,440</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Sachs International for the right to pay a fixed</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>rate of 2.83% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing June 2042.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Jun-12/2.83</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>2,260,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>140,210</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Sachs International for the right to pay a fixed</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>rate of 2.855% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing September 2042.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Sep-12/2.855</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>2,260,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>175,512</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Sachs International for the right to pay a fixed</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>rate of 2.8825% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing December 2042.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Dec-12/2.8825</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>2,260,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>201,931</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Sachs International for the right to pay a fixed</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>rate of 4.17% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing August 2021.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Aug-16/4.17</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>5,316,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>126,866</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Sachs International for the right to pay a fixed</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>rate of 4.705% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing May 2021.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>May-16/4.705</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>14,853,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>255,739</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Sachs International for the right to pay a fixed</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>rate of 4.72% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing May 2021.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>May-16/4.72</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>15,808,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>272,214</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Sachs International for the right to receive a</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>fixed rate of 1.6714% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing July 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Jul-12/1.6714</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>2,578,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,088</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Sachs International for the right to receive a</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>fixed rate of 1.683% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing June 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Jun-12/1.683</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>2,578,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,083</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Sachs International for the right to receive a</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>fixed rate of 1.82% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing November 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Nov-12/1.82</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>2,578,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>11,807</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Sachs International for the right to receive a</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>fixed rate of 1.835 versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing November 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Nov-12/1.835</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>2,578,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>12,916</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Sachs International for the right to receive a</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>fixed rate of 1.845 versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing December 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Dec-12/1.845</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>2,578,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>14,127</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="51%"></TD>

   <TD width="16%"></TD>

   <TD width="17%"></TD>

   <TD width="15%"></TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><B><FONT size=1 face=sans-serif>PURCHASED OPTIONS</FONT></B>&nbsp;</TD>

   <TD width="16%" noWrap align=left><B><FONT size=1 face=sans-serif>Expiration date/</FONT></B>&nbsp;</TD>

   <TD width="17%" 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="51%" noWrap align=left><B><FONT size=1 face=sans-serif>OUTSTANDING (9.7%)* </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="16%" noWrap align=left><B><FONT size=1 face=sans-serif>strike price</FONT></B>&nbsp;</TD>

   <TD width="17%" 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 vAlign=bottom>

   <TD width="99%" colSpan=4 noWrap align=left><B><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

&nbsp;</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="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Sachs International for the right to receive a</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>fixed rate of 1.855 versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing December 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Dec-12/1.855</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>$2,578,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$15,339</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Sachs International for the right to receive a</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>fixed rate of 1.861% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing April 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Apr-12/1.861</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>2,578,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>129</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Sachs International for the right to receive a</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>fixed rate of 1.8625% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing January 2023.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Jan-13/1.8625</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>2,578,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>16,164</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Sachs International for the right to receive a</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>fixed rate of 1.9275% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing April 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Apr-12/1.9275</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>12,195,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>122</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Sachs International for the right to receive a</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>fixed rate of 1.998% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing April 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Apr-12/1.998</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>12,195,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>976</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Sachs International for the right to receive a</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>fixed rate of 2.005% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing May 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>May-12/2.005</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>2,770,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3,656</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Sachs International for the right to receive a</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>fixed rate of 2.03% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing June 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Jun-12/2.03</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>2,770,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9,252</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Sachs International for the right to receive a</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>fixed rate of 2.055% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing July 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Jul-12/2.055</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>2,770,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>14,764</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Sachs International for the right to receive a</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>fixed rate of 2.09% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing May 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>May-12/2.09</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>6,463,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>26,046</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Sachs International for the right to receive a</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>fixed rate of 2.09% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing May 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>May-12/2.09</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>6,463,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>20,617</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Sachs International for the right to receive a</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>fixed rate of 2.095% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing June 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Jun-12/2.095</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>6,463,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>29,730</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Sachs International for the right to receive a</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>fixed rate of 2.095% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing May 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>May-12/2.095</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>6,463,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>24,495</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Sachs International for the right to receive a</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>fixed rate of 2.10% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing June 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Jun-12/2.10</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>6,463,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>33,414</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="51%"></TD>

   <TD width="16%"></TD>

   <TD width="17%"></TD>

   <TD width="15%"></TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><B><FONT size=1 face=sans-serif>PURCHASED OPTIONS</FONT></B>&nbsp;</TD>

   <TD width="16%" noWrap align=left><B><FONT size=1 face=sans-serif>Expiration date/</FONT></B>&nbsp;</TD>

   <TD width="17%" 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="51%" noWrap align=left><B><FONT size=1 face=sans-serif>OUTSTANDING (9.7%)* </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="16%" noWrap align=left><B><FONT size=1 face=sans-serif>strike price</FONT></B>&nbsp;</TD>

   <TD width="17%" 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 vAlign=bottom>

   <TD width="99%" colSpan=4 noWrap align=left><B><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

&nbsp;</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="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Sachs International for the right to receive a</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>fixed rate of 2.105% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing June 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Jun-12/2.105</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>$6,463,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$37,033</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Sachs International for the right to receive a</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>fixed rate of 2.11875% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing July 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Jul-12/2.11875</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>12,272,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>87,868</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Sachs International for the right to receive a</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>fixed rate of 2.15% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing April 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Apr-12/2.15</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>800,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,288</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Sachs International for the right to receive a</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>fixed rate of 2.17% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing May 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>May-12/2.17</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>800,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>4,064</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Sachs International for the right to receive a</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>fixed rate of 2.1825% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing July 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Jul-12/2.1825</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>2,531,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>24,905</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Sachs International for the right to receive a</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>fixed rate of 2.195% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing June 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Jun-12/2.195</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>800,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>6,520</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Sachs International for the right to receive a</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>fixed rate of 2.215% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing July 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Jul-12/2.215</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>800,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8,384</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Sachs International for the right to receive a</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>fixed rate of 2.235% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing August 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Aug-12/2.235</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>800,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>10,128</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Sachs International for the right to receive a</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>fixed rate of 2.26% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing September 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Sep-12/2.26</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>800,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>11,776</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Sachs International for the right to receive a</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>fixed rate of 2.28% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing October 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Oct-12/2.28</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>800,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>13,016</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Sachs International for the right to receive a</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>fixed rate of 2.305% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing November 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Nov-12/2.305</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>800,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>14,352</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Sachs International for the right to receive a</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>fixed rate of 2.3175% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing October 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Oct-12/2.3175</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>4,714,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>83,862</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Sachs International for the right to receive a</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>fixed rate of 2.325% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing December 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Dec-12/2.325</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>800,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>15,480</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="51%"></TD>

   <TD width="16%"></TD>

   <TD width="17%"></TD>

   <TD width="15%"></TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><B><FONT size=1 face=sans-serif>PURCHASED OPTIONS</FONT></B>&nbsp;</TD>

   <TD width="16%" noWrap align=left><B><FONT size=1 face=sans-serif>Expiration date/</FONT></B>&nbsp;</TD>

   <TD width="17%" 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="51%" noWrap align=left><B><FONT size=1 face=sans-serif>OUTSTANDING (9.7%)* </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="16%" noWrap align=left><B><FONT size=1 face=sans-serif>strike price</FONT></B>&nbsp;</TD>

   <TD width="17%" 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 vAlign=bottom>

   <TD width="99%" colSpan=4 noWrap align=left><B><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

&nbsp;</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="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Sachs International for the right to receive a</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>fixed rate of 2.34375% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing November 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Nov-12/2.34375</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>$4,714,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$92,064</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Sachs International for the right to receive a</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>fixed rate of 2.35% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing April 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Apr-12/2.35</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>2,531,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>26,272</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Sachs International for the right to receive a</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>fixed rate of 2.3675% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing December 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Dec-12/2.3675</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>4,714,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>99,041</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Sachs International for the right to receive a</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>fixed rate of 2.83% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing June 2042.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Jun-12/2.83</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>2,260,000</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="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Sachs International for the right to receive a</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>fixed rate of 2.855% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing September 2042.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Sep-12/2.855</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>2,260,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>60,184</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Sachs International for the right to receive a</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>fixed rate of 2.8825% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing December 2042.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Dec-12/2.8825</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>2,260,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>84,637</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Sachs International for the right to receive a</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>fixed rate of 4.17% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing August 2021.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Aug-16/4.17</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>5,316,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>343,105</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Sachs International for the right to receive a</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>fixed rate of 4.705% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing May 2021.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>May-16/4.705</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>14,853,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,263,827</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with Goldman</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Sachs International for the right to receive a</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>fixed rate of 4.72% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing May 2021.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>May-16/4.72</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>15,808,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,350,572</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with JPMorgan</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Chase Bank N.A. for the right to pay a fixed</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>rate of 2.3475% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing April 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Apr-12/2.3475</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>3,552,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>18,044</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with JPMorgan</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Chase Bank N.A. for the right to pay a fixed</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>rate of 3.49% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing July 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Jul-12/3.49</FONT>&nbsp;</TD>

   <TD width="17%" 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>16,681</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with JPMorgan</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Chase Bank N.A. for the right to pay a fixed</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>rate of 3.54% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing July 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Jul-12/3.54</FONT>&nbsp;</TD>

   <TD width="17%" 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>8,456</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with JPMorgan</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Chase Bank N.A. for the right to pay a fixed</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>rate of 4.17% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing August 2021.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Aug-16/4.17</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>5,316,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>126,866</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>



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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="51%"></TD>

   <TD width="16%"></TD>

   <TD width="17%"></TD>

   <TD width="15%"></TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><B><FONT size=1 face=sans-serif>PURCHASED OPTIONS</FONT></B>&nbsp;</TD>

   <TD width="16%" noWrap align=left><B><FONT size=1 face=sans-serif>Expiration date/</FONT></B>&nbsp;</TD>

   <TD width="17%" 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="51%" noWrap align=left><B><FONT size=1 face=sans-serif>OUTSTANDING (9.7%)* </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="16%" noWrap align=left><B><FONT size=1 face=sans-serif>strike price</FONT></B>&nbsp;</TD>

   <TD width="17%" 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 vAlign=bottom>

   <TD width="99%" colSpan=4 noWrap align=left><B><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

&nbsp;</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="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with JPMorgan</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Chase Bank N.A. for the right to pay a fixed</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>rate of 4.705% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing May 2021.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>May-16/4.705</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>$14,853,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$255,739</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with JPMorgan</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Chase Bank N.A. for the right to pay a fixed</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>rate of 5.11% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing May 2021.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>May-16/5.11</FONT>&nbsp;</TD>

   <TD width="17%" 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>153,657</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with JPMorgan</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Chase Bank N.A. for the right to receive a fixed</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>rate of 1.6714% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing July 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Jul-12/1.6714</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>2,578,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,088</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with JPMorgan</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Chase Bank N.A. for the right to receive a fixed</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>rate of 1.683% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing June 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Jun-12/1.683</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>2,578,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,083</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with JPMorgan</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Chase Bank N.A. for the right to receive a fixed</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>rate of 1.861% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing April 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Apr-12/1.861</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>2,578,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>129</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with JPMorgan</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Chase Bank N.A. for the right to receive a fixed</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>rate of 1.9275% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing April 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Apr-12/1.9275</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>12,195,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>122</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with JPMorgan</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Chase Bank N.A. for the right to receive a fixed</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>rate of 2.3475% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing April 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Apr-12/2.3475</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>3,552,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>31,364</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with JPMorgan</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Chase Bank N.A. for the right to receive a fixed</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>rate of 3.49% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing July 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Jul-12/3.49</FONT>&nbsp;</TD>

   <TD width="17%" 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>1,246,896</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with JPMorgan</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Chase Bank N.A. for the right to receive a fixed</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>rate of 3.54% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing July 2022.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Jul-12/3.54</FONT>&nbsp;</TD>

   <TD width="17%" 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>729,435</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with JPMorgan</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Chase Bank N.A. for the right to receive a fixed</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>rate of 4.17% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing August 2021.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Aug-16/4.17</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>5,316,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>343,105</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Option on an interest rate swap with JPMorgan</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Chase Bank N.A. for the right to receive a fixed</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>rate of 4.705% versus the three month</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>USD-LIBOR-BBA maturing May 2021.</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>May-16/4.705</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>14,853,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,263,827</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>Total purchased options outstanding (cost $39,705,984)</FONT></B>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>$34,684,705</FONT></B>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><B><FONT size=1 face=sans-serif>FOREIGN GOVERNMENT BONDS AND NOTES (7.5%)*</FONT></B>&nbsp;</TD>

   <TD width="33%" 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>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="51%" noWrap align=left><FONT size=1 face=sans-serif>Argentina (Republic of) sr. unsec. bonds 7s, 2017</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" 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>$1,341,400</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" colSpan=2 noWrap align=left><FONT size=1 face=sans-serif>Argentina (Republic of) sr. unsec. bonds Ser. VII, 7s, 2013</FONT>&nbsp;</TD>

   <TD width="17%" 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>198,765</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" colSpan=2 noWrap align=left><FONT size=1 face=sans-serif>Argentina (Republic of) sr. unsec. bonds FRB 0.629s, 2013</FONT>&nbsp;</TD>

   <TD width="17%" 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>345,587</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" colSpan=2 noWrap align=left><FONT size=1 face=sans-serif>Argentina (Republic of) sr. unsec. unsub. bonds 7s, 2015</FONT>&nbsp;</TD>

   <TD width="17%" 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>5,165,439</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="60%"></TD>

   <TD width="9%" align=right></TD>

   <TD width="15%"></TD>

   <TD width="15%"></TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><B><FONT size=1 face=sans-serif>FOREIGN GOVERNMENT BONDS AND NOTES (7.5%)* </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="24%" 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 vAlign=bottom>

   <TD width="99%" colSpan=4 noWrap align=left><B><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

&nbsp;</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="60%" noWrap align=left><FONT size=1 face=sans-serif>Argentina (Republic of) sr. unsec. unsub. bonds Ser. $V,</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>10 1/2s, 2012</FONT>&nbsp;</TD>

   <TD width="9%" 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>$475,931</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Brazil (Federal Republic of) unsec. notes 10s, 2017</FONT>&nbsp;</TD>

   <TD width="9%" 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>820,860</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Brazil (Federal Republic of) unsub. notes 10s, 2014</FONT>&nbsp;</TD>

   <TD width="9%" 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>558,638</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Chile (Republic of) notes 5 1/2s, 2020</FONT>&nbsp;</TD>

   <TD width="9%" 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>363,485</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" 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="9%" 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>254,400</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Export-Import Bank of Korea 144A sr. unsec. unsub. notes</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>5.1s, 2013</FONT>&nbsp;</TD>

   <TD width="9%" 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>426,678</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Ghana (Republic of) 144A unsec. notes 8 1/2s, 2017</FONT>&nbsp;</TD>

   <TD width="9%" 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>789,477</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" 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="9%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>4,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3,653</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Indonesia (Republic of) 144A sr. unsec. unsub. bonds</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>6 3/4s, 2014</FONT>&nbsp;</TD>

   <TD width="9%" 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>1,725,134</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>International Bank for Reconstruction &amp; Development</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" 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="9%" 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>328,989</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Russia (Federation of) 144A unsec. notes 3 1/4s, 2017</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$2,600,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,601,300</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" 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="9%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,037,400</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,421,959</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Sri Lanka (Republic of) 144A notes 7.4s, 2015</FONT>&nbsp;</TD>

   <TD width="9%" 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>211,788</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Turkey (Republic of) sr. unsec. notes 7 1/2s, 2017</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,205,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,390,654</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Ukraine (Government of ) Financing of Infrastructural Projects</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>State Enterprise 144A govt. guaranty notes 8 3/8s, 2017</FONT>&nbsp;</TD>

   <TD width="9%" 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>148,978</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Ukraine (Government of) sr. unsec. bonds 6.385s, 2012</FONT>&nbsp;</TD>

   <TD width="9%" 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>921,679</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Ukraine (Government of) 144A bonds 7 3/4s, 2020</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>530,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>453,150</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Ukraine (Government of) 144A sr. unsec. notes 7.95s, 2021</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>560,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>481,617</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Ukraine (Government of) 144A sr. unsec. unsub. notes 7.65s, 2013</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,715,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,652,831</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Venezuela (Republic of) bonds 8 1/2s, 2014</FONT>&nbsp;</TD>

   <TD width="9%" 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>225,320</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Venezuela (Republic of) unsec. notes 10 3/4s, 2013</FONT>&nbsp;</TD>

   <TD width="9%" 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>2,071,566</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Venezuela (Republic of) 144A unsec. bonds 13 5/8s, 2018</FONT>&nbsp;</TD>

   <TD width="9%" 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>1,407,756</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><B><FONT size=1 face=sans-serif>Total foreign government bonds and notes (cost $25,615,958)</FONT></B>&nbsp;</TD>

   <TD width="9%" 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>$26,787,034</FONT></B>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><B><FONT size=1 face=sans-serif>ASSET-BACKED SECURITIES (4.6%)*</FONT></B>&nbsp;</TD>

   <TD width="24%" 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 vAlign=bottom>

   <TD width="99%" colSpan=4 noWrap align=left><B><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

&nbsp;</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="60%" noWrap align=left><FONT size=1 face=sans-serif>Bear Stearns Asset Backed Securities Trust FRB Ser. 06-HE9,</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Class 1A2, 0.392s, 2036</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$3,781,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$1,663,640</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Bear Stearns Asset Backed Securities, Inc. FRB Ser. 04-FR3,</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Class M6, 5.117s, 2034</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>44,609</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>12,662</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Citigroup Mortgage Loan Trust, Inc. Ser. 2005-WF2, Class AF4,</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>4.964s, 2035</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>506,748</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>468,742</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Countrywide Asset Backed Certificates</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 06-25, Class 2A2, 0.362s, 2047</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>649,900</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>584,910</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 07-1, Class 2A2, 0.342s, 2037</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,875,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,621,875</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Crest, Ltd. 144A Ser. 03-2A, Class E2, 8s, 2038</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>495,084</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>19,803</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Granite Mortgages PLC</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 03-2, Class 2C1, 4.13s, 2043</FONT>&nbsp;</TD>

   <TD width="9%" 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>995,309</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 03-2, Class 3C, 3.52s, 2043</FONT>&nbsp;</TD>

   <TD width="9%" 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>446,079</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Green Tree Financial Corp.</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 94-6, Class B2, 9s, 2020</FONT>&nbsp;</TD>

   <TD width="9%" 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>435,877</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 94-4, Class B2, 8.6s, 2019</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>302,044</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>135,800</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 93-1, Class B, 8.45s, 2018</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>114,586</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>80,612</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>GSAA Home Equity Trust FRB Ser. 07-3, Class A4A,</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>0.462s, 2047 </FONT><B><SUP><FONT size=1 face=sans-serif>F</FONT></SUP></B>&nbsp;</TD>

   <TD width="9%" noWrap align=right>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,600,997</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>680,234</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>



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<TR>

   <TD width="67%"></TD>

   <TD width="17%"></TD>

   <TD width="15%"></TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><B><FONT size=1 face=sans-serif>ASSET-BACKED SECURITIES (4.6%)* </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="17%" 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 vAlign=bottom>

   <TD width="99%" colSpan=3 noWrap align=left><B><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

&nbsp;</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="67%" noWrap align=left><FONT size=1 face=sans-serif>Guggenheim Structured Real Estate Funding, Ltd. 144A FRB</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 05-2A, Class E, 2.242s, 2030</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>$402,158</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$201,079</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Merrill Lynch First Franklin Mortgage Loan Asset Backed</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Certificates FRB Ser. 07-1, Class A2B, 0.412s, 2037</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>887,726</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>385,051</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Merrill Lynch First Franklin Mortgage Loan Trust FRB Ser. 07-3,</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Class A2B, 0.372s, 2037</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>2,814,238</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,651,958</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Merrill Lynch Mortgage Investors Trust</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 07-HE1, Class A2D, 0.572s, 2037</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>1,263,040</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>410,488</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 06-HE3, Class A3, 0.392s, 2037</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>3,186,729</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,084,125</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 07-HE1, Class A2A, 0.372s, 2037</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>3,560,373</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,157,121</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>FRB Ser. 06-HE5, Class A2B, 0.352s, 2037</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>1,468,565</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>807,711</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Mid-State Trust Ser. 11, Class B, 8.221s, 2038</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>93,520</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>93,469</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Morgan Stanley Capital, Inc. FRB Ser. 04-HE8, Class B3,</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>3.442s, 2034</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>45,444</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>12,961</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Oakwood Mortgage Investors, Inc.</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 95-B, Class B1, 7.55s, 2021</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>155,619</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>118,870</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Ser. 01-C, Class A2, 5.92s, 2017</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>784,773</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>375,710</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Residential Asset Securities Corp. Ser. 01-KS3, Class AII,</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>0.702s, 2031</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>1,139,134</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>845,777</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Structured Asset Securities Corp. FRB Ser. 06-BC2, Class A3,</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>0.392s, 2036</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>3,710,106</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,114,761</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" 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="17%" noWrap align=right><FONT size=1 face=sans-serif>519,979</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>62,397</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>TIAA Real Estate CDO, Ltd. 144A Ser. 02-1A, Class IV, 6.84s, 2037</FONT>&nbsp;</TD>

   <TD width="17%" 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="67%" noWrap align=left><B><FONT size=1 face=sans-serif>Total asset-backed securities (cost $17,843,689)</FONT></B>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>$16,662,021</FONT></B>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><B><FONT size=1 face=sans-serif>SENIOR LOANS (2.0%)* </FONT></B><B><SUP><FONT size=1 face=sans-serif>c</FONT></SUP></B>&nbsp;</TD>

   <TD width="17%" 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 vAlign=bottom>

   <TD width="99%" colSpan=3 noWrap align=left><B><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

&nbsp;</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="67%" noWrap align=left><B><FONT size=1 face=sans-serif>Basic materials (0.1%)</FONT></B>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" 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="17%" noWrap align=right><FONT size=1 face=sans-serif>$89,325</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$89,213</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>INEOS Group Holdings, Ltd. bank term loan FRN Ser. C2,</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>8.001s, 2014</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>6,246</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>6,464</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Momentive Performance Materials, Inc. bank term loan FRN</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>3 3/4s, 2013</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>157,098</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>154,611</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" 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="17%" noWrap align=right><FONT size=1 face=sans-serif>89,100</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>86,928</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>337,216</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><B><FONT size=1 face=sans-serif>Capital goods (&#8212;%)</FONT></B>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>SRAM Corp. bank term loan FRN 8 1/2s, 2018</FONT>&nbsp;</TD>

   <TD width="17%" 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>60,375</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>60,375</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><B><FONT size=1 face=sans-serif>Communication services (0.3%)</FONT></B>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Charter Communications Operating, LLC bank term loan FRN</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Ser. C, 3.83s, 2016</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>805,023</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>799,992</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Charter Communications Operating, LLC bank term loan FRN</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Ser. l, 7 1/4s, 2014</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>6,165</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>6,151</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Intelsat SA bank term loan FRN 3.242s, 2014 (Luxembourg)</FONT>&nbsp;</TD>

   <TD width="17%" 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>451,088</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Level 3 Financing, Inc. bank term loan FRN 2.729s, 2014</FONT>&nbsp;</TD>

   <TD width="17%" 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>14,756</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>1,271,987</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><B><FONT size=1 face=sans-serif>Consumer cyclicals (0.9%)</FONT></B>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Brickman Group Holdings, Inc. bank term loan FRN Ser. B,</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>7 1/4s, 2016</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>76,314</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>76,568</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Burlington Coat Factory Warehouse Corp. bank term loan FRN</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Ser. B, 6 1/4s, 2017</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>47,875</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>47,992</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>48</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="67%"></TD>

   <TD width="17%"></TD>

   <TD width="15%"></TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><B><FONT size=1 face=sans-serif>SENIOR LOANS (2.0%)* </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="17%" 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 vAlign=bottom>

   <TD width="99%" colSpan=3 noWrap align=left><B><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

&nbsp;</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="67%" 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="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Caesars Entertainment Operating Co., Inc. bank term loan</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>FRN Ser. B6, 5.494s, 2018</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>$344,663</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$310,897</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" 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="17%" noWrap align=right><FONT size=1 face=sans-serif>241,255</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>241,657</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Cengage Learning Acquisitions, Inc. bank term loan FRN Ser. B,</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>2.49s, 2014</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>285,209</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>262,647</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Clear Channel Communications, Inc. bank term loan FRN Ser. B,</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>3.894s, 2016</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>429,181</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>347,315</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Compucom Systems, Inc. bank term loan FRN 3 3/4s, 2014</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>79,332</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>77,547</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>GateHouse Media, Inc. bank term loan FRN Ser. B, 2 1/2s, 2014</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>216,620</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>64,535</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>GateHouse Media, Inc. bank term loan FRN Ser. B, 2 1/4s, 2014</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>184,446</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>54,950</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>GateHouse Media, Inc. bank term loan FRN Ser. DD, 2 1/4s, 2014</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>68,823</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>20,504</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Golden Nugget, Inc. bank term loan FRN Ser. B, 3 1/4s, 2014 &#8225;&#8225;</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>101,341</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>95,134</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Golden Nugget, Inc. bank term loan FRN Ser. DD, 3 1/4s, 2014 &#8225;&#8225;</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>57,687</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>54,153</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Goodman Global, Inc. bank term loan FRN 9s, 2017</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>114,545</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>115,814</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" 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="17%" 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>178,283</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>National Bedding Company, LLC bank term loan FRN Ser. B,</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>4 1/8s, 2013</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>71,794</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>71,704</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Neiman Marcus Group, Inc. (The) bank term loan FRN 4 3/4s, 2018</FONT>&nbsp;</TD>

   <TD width="17%" 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>159,571</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" 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="17%" noWrap align=right><FONT size=1 face=sans-serif>40,495</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>40,360</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" 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="17%" noWrap align=right><FONT size=1 face=sans-serif>482,391</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>212,654</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Realogy Corp. bank term loan FRN Ser. B, 4.77s, 2016</FONT>&nbsp;</TD>

   <TD width="17%" 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>391,855</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>ServiceMaster Co. (The) bank term loan FRN Ser. B, 2.803s, 2014</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>123,129</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>121,572</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>ServiceMaster Co. (The) bank term loan FRN Ser. DD, 2 3/4s, 2014</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>12,649</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>12,489</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Tribune Co. bank term loan FRN Ser. B, 5 1/4s, 2014</FONT>&nbsp;</TD>

   <TD width="17%" 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>189,801</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Univision Communications, Inc. bank term loan FRN 4.494s, 2017</FONT>&nbsp;</TD>

   <TD width="17%" 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>158,571</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>3,306,573</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><B><FONT size=1 face=sans-serif>Consumer staples (0.2%)</FONT></B>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Claire&#8217;s Stores, Inc. bank term loan FRN 3.086s, 2014</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>137,072</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>130,219</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" 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="17%" noWrap align=right><FONT size=1 face=sans-serif>114,138</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>113,709</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Revlon Consumer Products bank term loan FRN Ser. B,</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>4 3/4s, 2017</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>243,775</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>243,131</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Rite Aid Corp. bank term loan FRN Ser. B, 2s, 2014</FONT>&nbsp;</TD>

   <TD width="17%" 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>92,676</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>West Corp. bank term loan FRN Ser. B2, 2.658s, 2013</FONT>&nbsp;</TD>

   <TD width="17%" 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>22,992</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>West Corp. bank term loan FRN Ser. B5, 4.494s, 2016</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>55,855</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>55,925</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>658,652</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><B><FONT size=1 face=sans-serif>Energy (0.1%)</FONT></B>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Frac Tech International, LLC bank term loan FRN Ser. B,</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>6 1/4s, 2016</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>141,526</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>140,897</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" 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="17%" noWrap align=right><FONT size=1 face=sans-serif>119,361</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>119,105</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>260,002</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><B><FONT size=1 face=sans-serif>Financials (0.1%)</FONT></B>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" 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="17%" 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>156,506</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>HUB International Holdings, Inc. bank term loan FRN 6 3/4s, 2014</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>71,175</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>71,086</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>227,592</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><B><FONT size=1 face=sans-serif>Health care (0.2%)</FONT></B>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" 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="17%" noWrap align=right><FONT size=1 face=sans-serif>222,977</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>222,419</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>Emergency Medical Services Corp. bank term loan FRN Ser. B,</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" noWrap align=left><FONT size=1 face=sans-serif>5 1/4s, 2018</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>183,150</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>183,013</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="67%" 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="17%" noWrap align=right><FONT size=1 face=sans-serif>267,300</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>267,300</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>49</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="44%"></TD>

   <TD width="10%"></TD>

   <TD width="5%"></TD>

   <TD width="10%"></TD>

   <TD width="15%"></TD>

   <TD width="15%"></TD></TR>

<TR vAlign=bottom>

   <TD width="44%" noWrap align=left><B><FONT size=1 face=sans-serif>SENIOR LOANS (2.0%)* </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="10%" noWrap align=left>&nbsp;</TD>

   <TD width="5%" noWrap align=right><B><FONT size=1 face=sans-serif></FONT></B></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 vAlign=bottom>

   <TD width="99%" colSpan=6 noWrap align=left><B><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

&nbsp;</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="44%" 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=left>&nbsp;</TD>

   <TD width="5%" noWrap align=left></TD>

   <TD width="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="54%" colSpan=2 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="5%" noWrap align=left></TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$132,770</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$131,318</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="69%" colSpan=4 noWrap align=left><FONT size=1 face=sans-serif>Quintiles Transnational Corp. bank term loan FRN 7 1/2s, 2017 &#8225;&#8225;</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>60,050</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="44%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="5%" noWrap align=left></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>864,100</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="44%" noWrap align=left><B><FONT size=1 face=sans-serif>Utilities and power (0.1%)</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="5%" noWrap align=left></TD>

   <TD width="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="54%" colSpan=2 noWrap align=left><FONT size=1 face=sans-serif>Texas Competitive Electric Holdings Co., LLC bank term loan</FONT>&nbsp;</TD>

   <TD width="5%" noWrap align=left></TD>

   <TD width="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="44%" noWrap align=left><FONT size=1 face=sans-serif>FRN 4.743s, 2017</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="5%" noWrap align=left></TD>

   <TD width="10%" noWrap align=left>&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>355,086</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="44%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="5%" noWrap align=left></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>355,086</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="44%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left></TD>

   <TD width="5%" noWrap align=left></TD>

   <TD width="10%" noWrap align=left></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="44%" noWrap align=left><B><FONT size=1 face=sans-serif>Total senior loans (cost $8,323,056)</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="5%" noWrap align=left></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>$7,341,583</FONT></B>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="44%" noWrap align=left><B><FONT size=1 face=sans-serif>CONVERTIBLE BONDS AND NOTES (0.1%)*</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="5%" noWrap align=right><B><FONT size=1 face=sans-serif></FONT></B></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 vAlign=bottom>

   <TD width="99%" colSpan=6 noWrap align=left><B><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

&nbsp;</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="44%" 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="10%" noWrap align=left>&nbsp;</TD>

   <TD width="5%" noWrap align=left></TD>

   <TD width="10%" noWrap align=left>&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>$248,845</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="44%" noWrap align=left><FONT size=1 face=sans-serif>Steel Dynamics, Inc. cv. sr. notes 5 1/8s, 2014</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="5%" noWrap align=left></TD>

   <TD width="10%" noWrap align=left>&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>175,731</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="44%" noWrap align=left><B><FONT size=1 face=sans-serif>Total convertible bonds and notes (cost $312,000)</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="5%" noWrap align=left></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>$424,576</FONT></B>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="44%" noWrap align=left><B><FONT size=1 face=sans-serif>CONVERTIBLE PREFERRED STOCKS (0.1%)*</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="5%" 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>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 vAlign=bottom>

   <TD width="99%" colSpan=6 noWrap align=left><B><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

&nbsp;</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="44%" noWrap align=left><FONT size=1 face=sans-serif>General Motors Co. Ser. B, $2.375 cv. pfd.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="5%" noWrap align=left></TD>

   <TD width="10%" noWrap align=left>&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>$161,229</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="54%" colSpan=2 noWrap align=left><FONT size=1 face=sans-serif>Lehman Brothers Holdings, Inc. 7.25% cv. pfd. (Escrow) </FONT><B><SUP><FONT size=1 face=sans-serif>F</FONT></SUP></B>&nbsp;</TD>

   <TD width="5%" noWrap align=left></TD>

   <TD width="10%" noWrap align=left>&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>7</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="44%" noWrap align=left><FONT size=1 face=sans-serif>Lucent Technologies Capital Trust I 7.75% cv. pfd.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="5%" noWrap align=left></TD>

   <TD width="10%" noWrap align=left>&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>143,088</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="44%" noWrap align=left><B><FONT size=1 face=sans-serif>Total convertible preferred stocks (cost $365,767)</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="5%" noWrap align=left></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>$304,324</FONT></B>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="44%" noWrap align=left><B><FONT size=1 face=sans-serif>PREFERRED STOCKS (&#8212;%)*</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="5%" 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>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 vAlign=bottom>

   <TD width="99%" colSpan=6 noWrap align=left><B><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

&nbsp;</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="44%" noWrap align=left><FONT size=1 face=sans-serif>Ally Financial, Inc. 144A 7.00% cum. pfd.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="5%" noWrap align=left></TD>

   <TD width="10%" noWrap align=left>&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>$164,953</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="44%" noWrap align=left><B><FONT size=1 face=sans-serif>Total preferred stocks (cost $66,176)</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="5%" noWrap align=left></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>$164,953</FONT></B>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="44%" noWrap align=left><B><FONT size=1 face=sans-serif>WARRANTS (&#8212;%)* &#8224;</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=left><B><FONT size=1 face=sans-serif>Expiration</FONT></B>&nbsp;</TD>

   <TD width="5%" noWrap align=right><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="10%" 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="44%" noWrap align=left>&nbsp;</TD>

   <TD width="10%" noWrap align=left><B><FONT size=1 face=sans-serif>date</FONT></B>&nbsp;</TD>

   <TD width="5%" noWrap align=right><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="10%" 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 vAlign=bottom>

   <TD width="99%" colSpan=6 noWrap align=left>

   <HR SIZE=1 noShade>

&nbsp;<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="44%" noWrap align=left><FONT size=1 face=sans-serif>Charter Communications, Inc. Class A</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>11/30/14</FONT>&nbsp;</TD>

   <TD width="5%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="10%" 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>$411</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="44%" 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="10%" noWrap align=left><FONT size=1 face=sans-serif>10/1/13</FONT>&nbsp;</TD>

   <TD width="5%" noWrap align=center><FONT size=1 face=sans-serif><FONT size=1 face=sans-serif>EUR</FONT></FONT></TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1.00</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>24,050</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="44%" noWrap align=left><B><FONT size=1 face=sans-serif>Total warrants (cost $19,277)</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="5%" noWrap align=left></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>$24,461</FONT></B>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="44%" noWrap align=left><B><FONT size=1 face=sans-serif>COMMON STOCKS (&#8212;%)*</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="5%" 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>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 vAlign=bottom>

   <TD width="99%" colSpan=6 noWrap align=left><B><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

&nbsp;</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="44%" 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="10%" noWrap align=left>&nbsp;</TD>

   <TD width="5%" noWrap align=left></TD>

   <TD width="10%" noWrap align=left>&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=6>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="44%" noWrap align=left><FONT size=1 face=sans-serif>Magellan Health Services, Inc. &#8224;</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="5%" noWrap align=left></TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>158</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>7,712</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="44%" noWrap align=left><FONT size=1 face=sans-serif>Trump Entertainment Resorts, Inc.</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="5%" noWrap align=left></TD>

   <TD width="10%" noWrap align=left>&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>94</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="44%" noWrap align=left><FONT size=1 face=sans-serif>Vertis Holdings, Inc. </FONT><B><SUP><FONT size=1 face=sans-serif>F</FONT></SUP></B>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="5%" noWrap align=left></TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>734</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>7</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="44%" noWrap align=left><B><FONT size=1 face=sans-serif>Total common stocks (cost $13,036)</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="5%" noWrap align=left></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>$10,904</FONT></B>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="44%" noWrap align=left><B><FONT size=1 face=sans-serif>SHORT-TERM INVESTMENTS (24.4%)*</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="5%" noWrap align=right><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="25%" colSpan=2 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 vAlign=bottom>

   <TD width="99%" colSpan=6 noWrap align=left><B><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

&nbsp;</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="44%" noWrap align=left><FONT size=1 face=sans-serif>Putnam Money Market Liquidity Fund 0.11% </FONT><B><SUP><FONT size=1 face=sans-serif>e</FONT></SUP></B>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="5%" noWrap align=left></TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>4,316,212</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$4,316,212</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="44%" noWrap align=left><FONT size=1 face=sans-serif>U.S. Treasury Bills with an effective yield of 0.104%,</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="5%" noWrap align=left></TD>

   <TD width="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="44%" noWrap align=left><FONT size=1 face=sans-serif>December 13, 2012 ##</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="5%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="25%" colSpan=2 noWrap align=right><FONT size=1 face=sans-serif>$5,000,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>4,995,135</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="54%" colSpan=2 noWrap align=left><FONT size=1 face=sans-serif>U.S. Treasury Bills with effective yields ranging from 0.084%</FONT>&nbsp;</TD>

   <TD width="5%" noWrap align=left></TD>

   <TD width="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="44%" noWrap align=left><FONT size=1 face=sans-serif>to 0.102%, November 15, 2012 ##</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="5%" noWrap align=left></TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>5,534,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>5,529,468</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="44%" noWrap align=left><FONT size=1 face=sans-serif>U.S. Treasury Bills with an effective yield of 0.087%,</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="5%" noWrap align=left></TD>

   <TD width="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="44%" noWrap align=left><FONT size=1 face=sans-serif>October 18, 2012 ## #</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="5%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="25%" colSpan=2 noWrap align=right><FONT size=1 face=sans-serif>27,595,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>27,575,187</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=6>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="54%" colSpan=2 noWrap align=left><FONT size=1 face=sans-serif>U.S. Treasury Bills with effective yields ranging from 0.058%</FONT>&nbsp;</TD>

   <TD width="5%" noWrap align=left></TD>

   <TD width="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="44%" noWrap align=left><FONT size=1 face=sans-serif>to 0.096%, August 23, 2012 ##</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="5%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="25%" colSpan=2 noWrap align=right><FONT size=1 face=sans-serif>27,424,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>27,410,946</FONT>&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>50</FONT></P></DIV>

<HR align=center SIZE=2 width="100%" noShade>



<!--$$/page=--><A name="page_52"></A><BR>

<DIV style="PADDING-LEFT: 0%; PADDING-RIGHT: 0%">

<DIV align=left>

<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="60%"></TD>

   <TD width="9%"></TD>

   <TD width="15%"></TD>

   <TD width="15%"></TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><B><FONT size=1 face=sans-serif>SHORT-TERM INVESTMENTS (24.4%)* </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&nbsp;</TD>

   <TD width="24%" colSpan=2 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 vAlign=bottom>

   <TD width="99%" colSpan=4 noWrap align=left><B><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

&nbsp;</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="60%" noWrap align=left><FONT size=1 face=sans-serif>U.S. Treasury Bills with effective yields ranging from 0.059%</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>to 0.082%, July 26, 2012 ## #</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$2,463,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$2,462,352</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>U.S. Treasury Bills with effective yields ranging from 0.070%</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>to 0.070%, June 28, 2012 ## #</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>3,086,478</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>U.S. Treasury Bills with an effective yield of 0.079%,</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>May 3, 2012 ## #</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>979,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>978,923</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><FONT size=1 face=sans-serif>U.S. Treasury Bills with an effective yield of 0.073%,</FONT>&nbsp;</TD>

   <TD width="9%" 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="60%" noWrap align=left><FONT size=1 face=sans-serif>April 5, 2012 ##</FONT>&nbsp;</TD>

   <TD width="9%" noWrap align=left>&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>499,994</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><FONT size=1 face=sans-serif>U.S. Treasury Bills with an effective yield of 0.178%, May 17, 2012</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>10,500,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>10,497,585</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><B><FONT size=1 face=sans-serif>Total short-term investments (cost $87,364,180)</FONT></B>&nbsp;</TD>

   <TD width="9%" 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>$87,352,280</FONT></B>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><B><FONT size=1 face=sans-serif>TOTAL INVESTMENTS</FONT></B>&nbsp;</TD>

   <TD width="9%" 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="99%" colSpan=4 noWrap align=left><B><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

</FONT></B></TD></TR>

<TR vAlign=bottom>

   <TD width="60%" noWrap align=left><B><FONT size=1 face=sans-serif>Total investments (cost $497,665,035)</FONT></B>&nbsp;</TD>

   <TD width="9%" 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>$498,211,749</FONT></B>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><B><FONT size=1 face=sans-serif></FONT></B>&nbsp;</P>

<P style="MARGIN: 0px"><B><FONT size=1 face=sans-serif>Key to holding&#8217;s currency abbreviations</FONT></B></P>

<P style="MARGIN: 0px"><STRONG><FONT size=1 face=Arial></FONT></STRONG>&nbsp;</P>

<DIV align=left>

<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="6%"></TD>

   <TD width="93%"></TD></TR>

<TR vAlign=bottom>

   <TD width="6%" noWrap align=left><FONT size=1 face=sans-serif>ARS</FONT>&nbsp;</TD>

   <TD width="93%" noWrap align=left><FONT size=1 face=sans-serif>Argentine Peso</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="6%" noWrap align=left><FONT size=1 face=sans-serif>AUD</FONT>&nbsp;</TD>

   <TD width="93%" noWrap align=left><FONT size=1 face=sans-serif>Australian Dollar</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="6%" noWrap align=left><FONT size=1 face=sans-serif>BRL</FONT>&nbsp;</TD>

   <TD width="93%" noWrap align=left><FONT size=1 face=sans-serif>Brazilian Real</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="6%" noWrap align=left><FONT size=1 face=sans-serif>CAD</FONT>&nbsp;</TD>

   <TD width="93%" noWrap align=left><FONT size=1 face=sans-serif>Canadian Dollar</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="6%" noWrap align=left><FONT size=1 face=sans-serif>CHF</FONT>&nbsp;</TD>

   <TD width="93%" noWrap align=left><FONT size=1 face=sans-serif>Swiss Franc</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="6%" noWrap align=left><FONT size=1 face=sans-serif>CLP</FONT>&nbsp;</TD>

   <TD width="93%" noWrap align=left><FONT size=1 face=sans-serif>Chilean Peso</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="6%" noWrap align=left><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>

   <TD width="93%" noWrap align=left><FONT size=1 face=sans-serif>Euro</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="6%" noWrap align=left><FONT size=1 face=sans-serif>GBP</FONT>&nbsp;</TD>

   <TD width="93%" noWrap align=left><FONT size=1 face=sans-serif>British Pound</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="6%" noWrap align=left><FONT size=1 face=sans-serif>INR</FONT>&nbsp;</TD>

   <TD width="93%" noWrap align=left><FONT size=1 face=sans-serif>Indian Rupee</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="6%" noWrap align=left><FONT size=1 face=sans-serif>JPY</FONT>&nbsp;</TD>

   <TD width="93%" noWrap align=left><FONT size=1 face=sans-serif>Japanese Yen</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="6%" noWrap align=left><FONT size=1 face=sans-serif>MXN</FONT>&nbsp;</TD>

   <TD width="93%" noWrap align=left><FONT size=1 face=sans-serif>Mexican Peso</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="6%" noWrap align=left><FONT size=1 face=sans-serif>SEK</FONT>&nbsp;</TD>

   <TD width="93%" noWrap align=left><FONT size=1 face=sans-serif>Swedish Krona</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="6%" noWrap align=left><FONT size=1 face=sans-serif>RUB</FONT>&nbsp;</TD>

   <TD width="93%" noWrap align=left><FONT size=1 face=sans-serif>Russian Ruble</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><B><FONT size=1 face=sans-serif></FONT></B>&nbsp;</P>

<P style="MARGIN: 0px"><B><FONT size=1 face=sans-serif>Key to holding&#8217;s abbreviations</FONT></B></P>

<P style="MARGIN: 0px"><STRONG><FONT size=1 face=Arial></FONT></STRONG>&nbsp;</P>

<DIV align=left>

<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="6%"></TD>

   <TD width="93%"></TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=1 face=sans-serif>EMTN</FONT>&nbsp;</TD>

   <TD noWrap align=left><FONT size=1 face=sans-serif>Euro Medium Term Notes</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=1 face=sans-serif>FRB</FONT>&nbsp;</TD>

   <TD noWrap align=left><FONT size=1 face=sans-serif>Floating Rate Bonds: the rate shown is the current interest rate at the close of the reporting period</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=1 face=sans-serif>FRN</FONT>&nbsp;</TD>

   <TD noWrap align=left><FONT size=1 face=sans-serif>Floating Rate Notes: the rate shown is the current interest rate at the close of the reporting period</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=1 face=sans-serif>IFB</FONT>&nbsp;</TD>

   <TD noWrap align=left><FONT size=1 face=sans-serif>Inverse Floating Rate Bonds, which are securities that pay interest rates that vary inversely to changes</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left>&nbsp;</TD>

   <TD noWrap align=left><FONT size=1 face=sans-serif>in the market interest rates. As interest rates rise, inverse floaters produce less current income. The rate</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left>&nbsp;</TD>

   <TD noWrap align=left><FONT size=1 face=sans-serif>shown is the current interest rate at the close of the reporting period.</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=1 face=sans-serif>IO</FONT>&nbsp;</TD>

   <TD noWrap align=left><FONT size=1 face=sans-serif>Interest Only</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=1 face=sans-serif>JSC</FONT>&nbsp;</TD>

   <TD noWrap align=left><FONT size=1 face=sans-serif>Joint Stock Company</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=1 face=sans-serif>OAO</FONT>&nbsp;</TD>

   <TD noWrap align=left><FONT size=1 face=sans-serif>Open Joint Stock Company</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=1 face=sans-serif>OJSC</FONT>&nbsp;</TD>

   <TD noWrap align=left><FONT size=1 face=sans-serif>Open Joint Stock Company</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=1 face=sans-serif>PO</FONT>&nbsp;</TD>

   <TD noWrap align=left><FONT size=1 face=sans-serif>Principal Only</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=1 face=sans-serif>TBA</FONT>&nbsp;</TD>

   <TD noWrap align=left><FONT size=1 face=sans-serif>To Be Announced Commitments</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><B><FONT size=1 face=sans-serif></FONT></B>&nbsp;</P>

<P style="MARGIN: 0px"><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, 2011 through March 31, 2012 (the reporting period). Within the following notes to the portfolio, references to &#8220;ASC 820&#8221; represent Accounting Standards Codification ASC 820 </FONT><I><FONT size=1 face=sans-serif>Fair Value Measurements and&nbsp;Disclosures.</FONT></I></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>* Percentages indicated are based on net assets of $358,507,614.</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>51</FONT></P></DIV>

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<A name="page_53"></A><BR>

<DIV style="PADDING-LEFT: 0%; PADDING-RIGHT: 0%">

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>&#8224;&#8224; 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 derivative 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 narrow">&#8710;</FONT> </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 ASC 820 based on the securities&#8217; valuation inputs.</FONT></P>

<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 derivative 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 $113,570,394 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 dates shown on debt obligations are the original maturity dates.</FONT></P>

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<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="23%"></TD>

   <TD width="23%" align=right></TD>

   <TD width="8%" align=right></TD>

   <TD width="23%"></TD>

   <TD width="23%" align=right></TD></TR>

<TR vAlign=bottom>

   <TD width="100%" colSpan=5 noWrap align=left><B><FONT size=1 face=sans-serif>DIVERSIFICATION BY COUNTRY</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="100%" colSpan=5 noWrap align=left><B><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="100%" 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 Value):</FONT></TD></TR>

<TR vAlign=bottom>

   <TD width="23%" noWrap align=left>&nbsp;</TD>

   <TD width="23%" noWrap align=right>&nbsp;</TD>

   <TD width="8%" noWrap align=right></TD>

   <TD width="23%" noWrap align=left>&nbsp;</TD>

   <TD width="23%" noWrap align=right>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="23%" noWrap align=left><FONT size=1 face=sans-serif>United States</FONT>&nbsp;</TD>

   <TD width="23%" noWrap align=right><FONT size=1 face=sans-serif>87.0%</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="23%" noWrap align=left><FONT size=1 face=sans-serif>Indonesia</FONT>&nbsp;</TD>

   <TD width="23%" noWrap align=right><FONT size=1 face=sans-serif>0.7%</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="46%" colSpan=2>

   <HR SIZE=1 noShade>

</TD>

   <TD width="8%">&nbsp;</TD>

   <TD width="46%" colSpan=2>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="23%" noWrap align=left><FONT size=1 face=sans-serif>Russia</FONT>&nbsp;</TD>

   <TD width="23%" noWrap align=right><FONT size=1 face=sans-serif>2.4</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="23%" noWrap align=left><FONT size=1 face=sans-serif>United Kingdom</FONT>&nbsp;</TD>

   <TD width="23%" noWrap align=right><FONT size=1 face=sans-serif>0.6</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="46%" colSpan=2>

   <HR SIZE=1 noShade>

</TD>

   <TD width="8%">&nbsp;</TD>

   <TD width="46%" colSpan=2>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="23%" noWrap align=left><FONT size=1 face=sans-serif>Argentina</FONT>&nbsp;</TD>

   <TD width="23%" noWrap align=right><FONT size=1 face=sans-serif>1.5</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="23%" noWrap align=left><FONT size=1 face=sans-serif>Netherlands</FONT>&nbsp;</TD>

   <TD width="23%" noWrap align=right><FONT size=1 face=sans-serif>0.6</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="46%" colSpan=2>

   <HR SIZE=1 noShade>

</TD>

   <TD width="8%">&nbsp;</TD>

   <TD width="46%" colSpan=2>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="23%" noWrap align=left><FONT size=1 face=sans-serif>Venezuela</FONT>&nbsp;</TD>

   <TD width="23%" noWrap align=right><FONT size=1 face=sans-serif>1.4</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="23%" noWrap align=left><FONT size=1 face=sans-serif>Mexico</FONT>&nbsp;</TD>

   <TD width="23%" noWrap align=right><FONT size=1 face=sans-serif>0.6</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="46%" colSpan=2>

   <HR SIZE=1 noShade>

</TD>

   <TD width="8%">&nbsp;</TD>

   <TD width="46%" colSpan=2>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="23%" noWrap align=left><FONT size=1 face=sans-serif>Luxembourg</FONT>&nbsp;</TD>

   <TD width="23%" noWrap align=right><FONT size=1 face=sans-serif>0.9</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="23%" noWrap align=left><FONT size=1 face=sans-serif>Other</FONT>&nbsp;</TD>

   <TD width="23%" noWrap align=right><FONT size=1 face=sans-serif>2.7</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="46%" colSpan=2>

   <HR SIZE=1 noShade>

</TD>

   <TD width="8%">&nbsp;</TD>

   <TD width="46%" colSpan=2>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="23%" noWrap align=left><FONT size=1 face=sans-serif>Ukraine</FONT>&nbsp;</TD>

   <TD width="23%" noWrap align=right><FONT size=1 face=sans-serif>0.8</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="23%" noWrap align=left><B><FONT size=1 face=sans-serif>Total</FONT></B>&nbsp;</TD>

   <TD width="23%" noWrap align=right><B><FONT size=1 face=sans-serif>100.0%</FONT></B>&nbsp;</TD></TR>

<TR>

   <TD width="46%" colSpan=2>

   <HR SIZE=1 noShade>

</TD>

   <TD width="8%"></TD>

   <TD width="46%" colSpan=2></TD></TR>

<TR vAlign=bottom>

   <TD width="23%" noWrap align=left><FONT size=1 face=sans-serif>Brazil</FONT>&nbsp;</TD>

   <TD width="23%" noWrap align=right><FONT size=1 face=sans-serif>0.8</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="23%" noWrap align=left>&nbsp;</TD>

   <TD width="23%" noWrap align=right>&nbsp;</TD></TR>

<TR>

   <TD width="46%" colSpan=2>

   <HR SIZE=1 noShade>

</TD>

   <TD width="8%">&nbsp;</TD>

   <TD width="23%">&nbsp;</TD>

   <TD width="23%">&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><B><FONT size=1 face=sans-serif></FONT></B>&nbsp;</P>

<P style="MARGIN: 0px"><B><FONT size=1 face=sans-serif>FORWARD CURRENCY CONTRACTS at 3/31/12 (aggregate face value $327,142,878) (Unaudited)</FONT></B></P>

<P style="MARGIN: 0px"><STRONG><FONT size=1 face=Arial></FONT></STRONG>&nbsp;</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 vAlign=bottom>

   <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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>$1,830,963</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$1,903,855</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$(72,892)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>319,426</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>337,428</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(18,002)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>319,426</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>319,571</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>145</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>376,486</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>375,383</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(1,103)</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>52</FONT></P></DIV>

<HR align=center SIZE=2 width="100%" noShade>



<!--$$/page=--><A name="page_54"></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 3/31/12 (aggregate face value $327,142,878) (Unaudited) </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 vAlign=bottom>

   <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>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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>$886,882</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$890,556</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$(3,674)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>886,882</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>897,314</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>10,432</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>50,275</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>50,588</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(313)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>50,275</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>50,829</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,180,533</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,180,060</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>473</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,250,408</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,275,448</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>25,040</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>115,934</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>116,130</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>196</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>297,804</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>295,046</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,758</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>297,804</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>301,856</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>4,052</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>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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>4,240</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>4,245</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(5)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>16,220</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>16,494</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>274</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>204,762</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>210,506</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(5,744)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,434,934</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,433,067</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,867</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>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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>456,762</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>447,481</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9,281</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>456,762</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>461,339</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>4,577</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>Barclay&#8217;s 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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,764,781</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,795,113</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>30,332</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>971,543</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,110,028</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(138,485)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>2,529,845</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,521,642</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(8,203)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>2,693,421</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,718,968</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(25,547)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>2,693,420</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,718,577</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>25,157</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>802,611</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>821,122</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(18,511)</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>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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>2,016,178</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,019,545</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3,367</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>&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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>8,548,359</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8,543,188</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(5,171)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>803,038</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>809,679</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(6,641)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>803,038</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>800,084</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(2,954)</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>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>143,894</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>146,719</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>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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>143,894</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>145,069</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,175</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>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>787,094</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>788,434</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(1,340)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,584,852</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,616,430</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>31,578</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>795,285</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>810,434</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(15,149)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>449,969</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>446,784</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3,185</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>561,049</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>558,595</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(2,454)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,152,344</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,168,682</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(16,338)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>797,472</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>797,860</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(388)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,791,676</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,799,572</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>7,896</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>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>765,353</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>796,314</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(30,961)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>773,858</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>783,616</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(9,758)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>4,407,138</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>4,391,930</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>15,208</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,254,778</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,250,331</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(4,447)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>785,281</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>787,645</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,364</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,108,784</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,121,236</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(12,452)</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>53</FONT></P></DIV>

<HR align=center SIZE=2 width="100%" noShade>



<!--$$/page=--><A name="page_55"></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 3/31/12 (aggregate face value $327,142,878) (Unaudited) </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 vAlign=bottom>

   <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="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>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>$6,801,325</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$7,071,435</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$(270,110)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>813,550</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>814,118</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(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>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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>813,550</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>812,761</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(789)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>4,333,748</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>4,307,000</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(26,748)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>594,830</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>597,131</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(2,301)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>594,830</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>601,903</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>7,073</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>198,407</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>200,343</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(1,936)</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>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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>198,407</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>199,540</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,133</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,224,670</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,218,906</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(5,764)</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>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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>385,864</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>367,075</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>18,789</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>4,803,713</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>4,899,368</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>95,655</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>347,616</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>344,648</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(2,968)</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>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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>9,161</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9,275</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(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>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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>9,161</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9,096</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(65)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>370,461</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>375,719</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(5,258)</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>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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>429,647</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>440,447</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(10,800)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>988,437</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>992,967</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>4,530</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>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>476,741</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>505,332</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(28,591)</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>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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>788,352</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>798,471</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(10,119)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>2,542,556</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,517,598</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>24,958</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>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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,279,818</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,275,649</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>4,169</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>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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>784,847</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>787,205</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,358</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>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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>711,444</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>733,375</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(21,931)</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>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>4,170,699</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>4,363,988</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(193,289)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,816,211</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,914,154</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(97,943)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,816,211</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,840,349</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>24,138</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>2,425,888</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,401,209</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(24,679)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>910,686</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>934,409</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>23,723</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>778,981</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>786,258</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(7,277)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,632,061</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,618,935</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(13,126)</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>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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>3,365,005</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3,363,442</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(1,563)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>824,610</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>830,781</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(6,171)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>824,611</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>798,723</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(25,888)</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>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>138,320</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>140,867</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(2,547)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>138,320</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>139,422</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,102</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>916,521</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>935,876</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>19,355</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>286,690</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>303,262</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>16,572</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>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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>750,410</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>760,396</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9,986</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,549,340</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,528,764</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(20,576)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>775,601</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>773,009</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,592</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>988,755</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>992,668</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3,913</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>South African Rand</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>451,948</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>479,586</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=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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>787,180</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>807,310</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(20,130)</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 3/31/12 (aggregate face value $327,142,878) (Unaudited) </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 vAlign=bottom>

   <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>Credit Suisse AG </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>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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>$5,419,105</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$5,382,168</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$36,937</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>3,537,754</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3,525,100</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(12,654)</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>Taiwan 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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,619,812</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,623,929</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(4,117)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,619,812</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,622,075</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,263</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,132,597</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,156,123</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(23,526)</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>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>2,663,820</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,765,928</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(102,108)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>447,120</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>525,264</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(78,144)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>785,759</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>783,250</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(2,509)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>2,029,136</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,052,597</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(23,461)</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>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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>202,808</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>204,050</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(1,242)</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>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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>202,808</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>203,058</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>250</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,626,714</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,617,731</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(8,983)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>2,427,621</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,435,347</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>7,726</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>53</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>52</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>30,183</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>30,569</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(386)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>30,183</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>29,967</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(216)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>89,592</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>90,836</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(1,244)</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>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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>89,592</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>88,770</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(822)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>790,824</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>781,641</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9,183</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>&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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>988,755</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>993,128</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>4,373</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>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>773,821</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>806,086</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(32,265)</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>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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>792,519</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>802,118</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(9,599)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>2,591,726</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,564,559</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(27,167)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>621,461</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>619,341</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,120</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>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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>985,412</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>993,687</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(8,275)</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>Goldman Sachs International</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,682,054</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,843,253</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(161,199)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,557,763</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,552,800</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(4,963)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>3,337,561</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3,349,886</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(12,325)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>3,337,560</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3,377,167</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>39,607</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>396,260</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>397,868</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(1,608)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,620,946</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,605,288</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(15,658)</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>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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>3,417,290</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3,416,022</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(1,268)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,872,994</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,910,337</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>37,343</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>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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,101,660</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,116,659</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(14,999)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>790,988</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>794,855</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3,867</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>South African Rand</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>716,614</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>733,393</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(16,779)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>785,939</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>796,040</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(10,101)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,629,623</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,612,879</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>16,744</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>63,265</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>63,156</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>109</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>784,058</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>787,806</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3,748</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,282,578</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,296,088</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(13,510)</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 3/31/12 (aggregate face value $327,142,878) (Unaudited) </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 vAlign=bottom>

   <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="51%" colSpan=3 noWrap align=left><B><FONT size=1 face=sans-serif>HSBC Bank USA, National Association</FONT></B>&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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>$1,284,666</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$1,333,375</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$(48,709)</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>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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,920,247</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,914,519</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(5,728)</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>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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>43,698</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>43,866</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(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>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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>43,698</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>44,170</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>472</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,620,957</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,605,315</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(15,642)</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>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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>2,835,093</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,831,620</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(3,473)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>11,034</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>12,635</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,601</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>3,026,290</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3,000,486</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(25,804)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>12,597</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>12,751</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(154)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>12,597</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>12,506</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(91)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,007,241</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,021,628</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>14,387</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>988,755</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>992,970</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>4,215</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>785,704</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>792,548</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(6,844)</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>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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>21,496</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>21,275</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>221</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>21,496</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>21,089</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(407)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>918,509</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>915,516</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,993</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>770,139</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>776,070</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(5,931)</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>JPMorgan Chase Bank NA</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>2,152,048</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,332,642</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(180,594)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>340,171</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>446,526</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(106,355)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>5,128,143</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>5,095,916</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(32,227)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>212,275</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>214,843</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(2,568)</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>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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>212,275</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>213,095</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>820</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>62,078</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>62,349</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(271)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>62,078</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>62,632</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>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>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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>2,035,143</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,021,050</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(14,093)</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>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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>6,893,799</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>6,901,607</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>7,808</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>2,814,274</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,925,707</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>111,433</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,121,107</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,127,458</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>6,351</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>30,510</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>30,903</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(393)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>30,510</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>30,292</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(218)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>3,087,079</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3,134,219</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(47,140)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>809,868</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>821,273</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(11,405)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>343,866</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>343,593</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(273)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>2,582,665</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,594,087</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>11,422</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>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,083,128</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,089,637</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(6,509)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>789,005</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>798,562</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(9,557)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>4,466</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>4,465</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>3,742,618</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3,729,622</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(12,996)</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>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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>790,109</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>792,874</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,765</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,114,933</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,122,966</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(8,033)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,114,933</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,103,317</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(11,616)</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>



<!--$$/page=--><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 3/31/12 (aggregate face value $327,142,878) (Unaudited) </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 vAlign=bottom>

   <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>The Royal Bank of Scotland 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>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>$4,760,441</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$4,943,515</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$(183,074)</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>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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>104,328</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>198,816</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(94,488)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,613,100</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,590,911</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(22,189)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,430,197</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,418,440</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(11,757)</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>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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>25,668</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>25,711</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>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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>25,668</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>25,944</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>276</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>2,028,133</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,019,838</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(8,295)</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>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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>9,137,225</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9,142,485</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>5,260</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>803,039</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>807,603</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(4,564)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>803,038</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>798,251</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(4,787)</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>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>68,695</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>69,328</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(633)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>68,695</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>69,946</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,251</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>91,131</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>149,754</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>58,623</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>516,733</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>552,078</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>35,345</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>30,265</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>30,670</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(405)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>30,265</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>30,048</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(217)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>151,420</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>90,457</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(60,963)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>809,162</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>817,656</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(8,494)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,593,671</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,600,617</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>6,946</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>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>137,074</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>190,688</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(53,614)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>790,437</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>791,724</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(1,287)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>3,903,246</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3,860,370</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>42,876</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>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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,790,150</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,784,673</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(5,477)</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>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>59,568</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>57,877</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,691</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,063,169</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,059,166</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>4,003</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>State Street Bank and Trust Company</FONT></B>&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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,991,661</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,165,337</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(173,676)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>553,795</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>697,029</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(143,234)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>699,074</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>702,069</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(2,995)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>61,337</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>50,571</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>10,766</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>789,496</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>795,165</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(5,669)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>2,436,675</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,422,527</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(14,148)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>3,998,820</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3,995,754</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(3,066)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>704,829</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>716,184</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(11,355)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>2,960,438</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3,041,828</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>81,390</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>365,583</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>372,938</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>7,355</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>35,827</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>36,262</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(435)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>35,827</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>35,566</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(261)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>677,461</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>724,655</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(47,194)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>420,783</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>425,621</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(4,838)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>989,949</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>994,208</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>4,259</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>South African Rand</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,539,083</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,575,553</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(36,470)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>770,446</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>793,706</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(23,260)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>5,887,513</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>5,827,867</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>59,646</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 3/31/12 (aggregate face value $327,142,878) (Unaudited) </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 vAlign=bottom>

   <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="51%" colSpan=3 noWrap align=left><B><FONT size=1 face=sans-serif>State Street Bank and Trust Company </FONT></B><I><FONT size=1 face=sans-serif>cont.</FONT></I>&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>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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>$1,250,568</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$1,245,943</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$(4,625)</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>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>2,423,672</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,425,104</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(1,432)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>2,423,671</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,427,981</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>4,310</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>747,611</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>786,408</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(38,797)</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>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,973,047</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,051,253</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(78,206)</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>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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>2</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>98,591</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(98,589)</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>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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>2,944,076</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,867,384</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(76,692)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>2,674,679</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,705,649</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(30,970)</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>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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>2,437,676</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,439,730</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,054</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>535,648</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>537,945</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(2,297)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>807,145</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>804,174</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,971</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>&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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>464,938</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>474,065</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9,127</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,075,736</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,185,670</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>109,934</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>2,415,390</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,386,228</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>29,162</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>2,415,389</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,431,700</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>16,311</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>29,365</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>29,711</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(346)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>29,365</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>29,155</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(210)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>679,497</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>755,270</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(75,773)</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>&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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>809,836</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>811,972</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(2,136)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>989,949</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>994,724</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>4,775</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>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>778,673</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>785,606</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(6,933)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>768,313</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>788,404</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(20,091)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>5,931,049</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>5,870,290</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>60,759</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>4,215,390</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>4,201,193</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(14,197)</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>Buy</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=left><FONT size=1 face=sans-serif>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>16,752</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>15,489</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,263</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>461,681</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>494,504</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(32,823)</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 Corporation</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>895,213</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,030,590</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(135,377)</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>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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>584,241</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>582,350</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,891</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>2,851,674</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,868,117</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(16,443)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>2,851,675</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,839,170</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(12,505)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,641,489</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,640,757</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(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>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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,102,865</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,166,379</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>63,514</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,600,368</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,617,745</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>17,377</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>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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>38,690</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>39,164</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(474)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>38,690</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>38,413</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(277)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>146,963</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>153,742</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(6,779)</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>1,847,376</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,827,452</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>19,924</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>32,685</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>32,475</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>210</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>4/18/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>32,685</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>32,565</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(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><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>$(2,525,230)</FONT></B>&nbsp;</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>FUTURES CONTRACTS OUTSTANDING at 3/31/12 (Unaudited)</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></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=right><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 vAlign=bottom>

   <TD width="99%" colSpan=6 noWrap align=left>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="32%" noWrap align=left><FONT size=1 face=sans-serif>Australian Government Treasury</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>Bond 10 yr (Long)</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>$360,733</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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>$(849)</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>29</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>3,815,399</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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>(6,818)</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>5</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>827,627</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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>(1,284)</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>11</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>2,031,745</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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>6,418</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>18</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>2,648,768</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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>60</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>10,512,407</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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>(103,604)</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>10,511,355</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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>(139,445)</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 (Short)</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>13</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>22,304,337</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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>31,342</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>4</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>686,046</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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>(1,179)</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>4</FONT>&nbsp;</TD>

   <TD width="17%" noWrap align=right><FONT size=1 face=sans-serif>732,635</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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>(363)</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>$(215,722)</FONT></B>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><B><FONT size=1 face=sans-serif></FONT></B>&nbsp;</P>

<P style="MARGIN: 0px"><B><FONT size=1 face=sans-serif>WRITTEN OPTIONS OUTSTANDING at 3/31/12 (premiums received $28,777,407) (Unaudited)</FONT></B></P>

<P style="MARGIN: 0px"><STRONG><FONT size=1 face=Arial></FONT></STRONG>&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="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=right><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=right><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 vAlign=bottom>

   <TD width="99%" colSpan=5 noWrap align=left>

   <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 2.183%</FONT>&nbsp;</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 2022.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$1,212,000</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Jun-12/2.183</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>$9,526</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 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=right><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>1,174,782</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 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=right><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>2,945,741</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 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=right><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>501,478</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 2.4275%</FONT>&nbsp;</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>April 2022.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9,756,000</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Apr-12/2.4275</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>128,682</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 2.73%</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>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>August 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=right><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>214,765</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 2.111%</FONT>&nbsp;</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>April 2022.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,830,000</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Apr-12/2.111</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>2,544</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 2.183%</FONT>&nbsp;</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 2022.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,212,000</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Jun-12/2.183</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>9,526</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>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>WRITTEN OPTIONS OUTSTANDING at 3/31/12 (premiums received $28,777,407) (Unaudited) </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="47%"></TD>

   <TD width="15%"></TD>

   <TD width="12%"></TD>

   <TD width="15%"></TD>

   <TD width="10%"></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=right><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=right><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 vAlign=bottom>

   <TD width="99%" colSpan=5 noWrap align=left>

   <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 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=right><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>$40,224</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>July 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=right><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>847,085</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 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=right><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>1,020,898</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 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=right><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>360,155</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 2.73%</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>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>August 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=right><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>58,209</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>July 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=right><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>241,193</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 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=right><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>288,007</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 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=right><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>89,768</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 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=right><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>8,847</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 2.111% 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 April 2022.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,830,000</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Apr-12/2.111</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>2,544</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 2.1714% 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 2022.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,237,000</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Jul-12/2.1714</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>11,294</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 2.4275% 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 April 2022.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9,756,000</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Apr-12/2.4275</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>128,682</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 2.6075% 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 2022.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>10,137,000</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Jul-12/2.6075</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>310,091</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 4.11% 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 May 2021.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>10,072,118</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><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>645,099</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 4.12% 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 June 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=right><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>35,808</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%">

<P style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>WRITTEN OPTIONS OUTSTANDING at 3/31/12 (premiums received $28,777,407) (Unaudited) </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="47%"></TD>

   <TD width="15%"></TD>

   <TD width="12%"></TD>

   <TD width="15%"></TD>

   <TD width="10%"></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=right><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=right><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 vAlign=bottom>

   <TD width="99%" colSpan=5 noWrap align=left>

   <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 4.61% 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 June 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=right><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>$133,606</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 4.705% 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 May 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=right><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>2,085,313</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 June 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=right><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>559,614</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 4.61% 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 June 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=right><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>30,999</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 4.705% 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 May 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=right><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>421,969</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 5.11% 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 May 2021.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>10,072,118</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><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>146,710</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 5.12% 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 June 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=right><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>8,112</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. 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 June 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=right><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>77,475</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 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>

   <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 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>2.1714% 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 2022.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,237,000</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Jul-12/2.1714</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>11,294</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 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>

   <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 2.324% 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 2022.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>5,156,000</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>May-12/2.324</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>53,622</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 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>

   <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 2.346% 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 2022.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>5,156,000</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Jun-12/2.346</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>71,256</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 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>

   <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 2.372% 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 2022.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>5,156,000</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Jul-12/2.372</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>86,518</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 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>

   <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 2.394% 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 2022.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>5,156,000</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Aug-12/2.394</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>98,789</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 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>

   <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 2.419% 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 2022.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>5,156,000</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Sep-12/2.419</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>110,029</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 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>

   <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 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>2.4275% 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 2022.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9,756,000</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Apr-12/2.4275</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>128,682</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%">

<P style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>WRITTEN OPTIONS OUTSTANDING at 3/31/12 (premiums received $28,777,407) (Unaudited) </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="47%"></TD>

   <TD width="15%"></TD>

   <TD width="12%"></TD>

   <TD width="15%"></TD>

   <TD width="10%"></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=right><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=right><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 vAlign=bottom>

   <TD width="99%" colSpan=5 noWrap align=left>

   <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 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>

   <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 2.443% 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 October 2022.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$5,156,000</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Oct-12/2.443</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>$120,444</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 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>

   <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 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>2.4475% 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 2022.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>13,017,000</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Aug-12/2.4475</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>289,889</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 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>

   <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 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>2.6075% 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 2022.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>10,137,000</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Jul-12/2.6075</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>310,091</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 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>

   <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 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 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=right><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>1,268,463</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 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>

   <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 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 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=right><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>216,728</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 2.111% 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 April 2022.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,830,000</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Apr-12/2.111</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>2,544</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 2.1714% 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 July 2022.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,237,000</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Jul-12/2.1714</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>11,294</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 2.183% 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 June 2022.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,212,000</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Jun-12/2.183</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>9,526</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 2.4275% 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 April 2022.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9,756,000</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Apr-12/2.4275</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>128,682</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 2.498% 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 April 2022.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9,756,000</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Apr-12/2.498</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>184,291</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 4.60% 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 May 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=right><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>823,852</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% 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 May 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=right><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>1,648,196</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% 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 May 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=right><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>187,179</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 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=right><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>318,937</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 2.111% 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 2022.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,830,000</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Apr-12/2.111</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>2,544</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%">

<P style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>WRITTEN OPTIONS OUTSTANDING at 3/31/12 (premiums received $28,777,407) (Unaudited) </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="47%"></TD>

   <TD width="15%"></TD>

   <TD width="12%"></TD>

   <TD width="15%"></TD>

   <TD width="10%"></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=right><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=right><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 vAlign=bottom>

   <TD width="99%" colSpan=5 noWrap align=left>

   <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 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>2.1714% 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 2022.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$1,237,000</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Jul-12/2.1714</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>$11,294</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 2.183% 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 2022.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,212,000</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Jun-12/2.183</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>9,526</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 2.32% 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 November 2022.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,444,000</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Nov-12/2.32</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>26,728</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 2.335% 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 November 2022.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,444,000</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Nov-12/2.335</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>27,826</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 2.345% 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 2022.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,444,000</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Dec-12/2.345</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>28,851</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 2.355% 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 2022.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,444,000</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Dec-12/2.355</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>29,847</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 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>2.3625% 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 January 2023.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,444,000</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Jan-13/2.3625</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>30,425</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 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>2.4275% 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 2022.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9,756,000</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Apr-12/2.4275</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>128,682</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 2.498% 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 2022.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9,756,000</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Apr-12/2.498</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>184,291</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 2.60% 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 2022.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,979,000</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Apr-12/2.60</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>54,977</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 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>2.61875% 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 2022.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>10,137,000</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Jul-12/2.61875</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>316,781</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 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>2.6825% 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 2022.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,439,000</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Jul-12/2.6825</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>51,646</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 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=right><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>32,678</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%">

<P style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>WRITTEN OPTIONS OUTSTANDING at 3/31/12 (premiums received $28,777,407) (Unaudited) </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="47%"></TD>

   <TD width="15%"></TD>

   <TD width="12%"></TD>

   <TD width="15%"></TD>

   <TD width="10%"></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=right><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=right><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 vAlign=bottom>

   <TD width="99%" colSpan=5 noWrap align=left>

   <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 May 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=right><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>$741,876</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 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=right><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>36,206</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 May 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=right><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>166,840</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>2.111% 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 2022.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,830,000</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Apr-12/2.111</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>2,544</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>2.1714% 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 2022.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,237,000</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Jul-12/2.1714</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>11,294</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>2.183% 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 2022.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,212,000</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Jun-12/2.183</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>9,526</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>2.4275% 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 2022.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9,756,000</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>Apr-12/2.4275</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>128,682</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 2025.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>14,963,000</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><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>1,480,903</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 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=right><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>1,308,788</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 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=right><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>1,376,396</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 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=right><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>43,496</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 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=right><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>879,173</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 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=right><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>504,787</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>

<HR align=center SIZE=2 width="100%" noShade>



<!--$$/page=--><A name="page_66"></A><BR>

<DIV style="PADDING-LEFT: 0%; PADDING-RIGHT: 0%">

<P style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>WRITTEN OPTIONS OUTSTANDING at 3/31/12 (premiums received $28,777,407) (Unaudited) </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="47%"></TD>

   <TD width="15%"></TD>

   <TD width="12%"></TD>

   <TD width="15%"></TD>

   <TD width="10%"></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=right><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=right><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 vAlign=bottom>

   <TD width="99%" colSpan=5 noWrap align=left>

   <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 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=right><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>$1,506,681</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 5.51%</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>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><FONT size=1 face=sans-serif>May 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=right><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>7,270,843</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 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 2025.</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>14,963,000</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><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>612,600</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 4.375% 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 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=right><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>349,692</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 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=right><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>327,354</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 4.575% 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 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=right><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>10,165</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 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=right><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>231,257</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 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=right><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>126,645</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 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 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=right><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>6</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 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=right><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>25</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>$36,680,927</FONT></B>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><B><FONT size=1 face=sans-serif></FONT></B>&nbsp;</P>

<P style="MARGIN: 0px"><B><FONT size=1 face=sans-serif>TBA SALE COMMITMENTS OUTSTANDING at 3/31/12 (proceeds receivable $37,976,680) (Unaudited)</FONT></B></P>

<P style="MARGIN: 0px"><STRONG><FONT size=1 face=Arial></FONT></STRONG>&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="47%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><B><FONT size=1 face=sans-serif>Principal</FONT></B>&nbsp;</TD>

   <TD width="12%" noWrap align=right><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="15%" noWrap align=left><B><FONT size=1 face=sans-serif>Settlement</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="47%" noWrap align=left><B><FONT size=1 face=sans-serif>Agency</FONT></B>&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=right><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="15%" 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></TR>

<TR vAlign=bottom>

   <TD width="99%" colSpan=5 noWrap align=left><B><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

</FONT></B></TD></TR>

<TR vAlign=bottom>

   <TD width="47%" 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="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>3 1/2s, April 1, 2042</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$37,000,000</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>4/12/12</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif>$37,994,375</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>$37,994,375</FONT></B>&nbsp;</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%">

<P style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/12 (Unaudited)</FONT></B></P>

<DIV align=left>

<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="5%"></TD>

   <TD width="15%"></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="5%" 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>Upfront</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><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=right><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=right><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 vAlign=bottom>

   <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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$142,217,000</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>3/23/14</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>0.643%</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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>$(178,390)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>37,918,000</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>3/23/17</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>1.4045%</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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>(259,115)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>24,818,000</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>3/23/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>2.388%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>239,050</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,105,000</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>3/23/42</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3.0995%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>22,019</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>6,550,000</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>3/29/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.24312%</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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>27,082</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>CAD</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,668,000</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>3/12/14</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>1.385%</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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>376</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>CAD</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>10,348,000</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>3/12/17</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>1.756%</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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>45,925</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>CAD</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,142,000</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>3/12/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.416%</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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>14,041</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>Barclay&#8217;s 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="5%" noWrap align=left>&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>(68,763)</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3/23/14</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>0.52%</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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>(35,674)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,575,000 </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>4/11/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.265%</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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>5,072</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,244,000 </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>4/12/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>2.4275%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>25,986</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>7,014,000</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>3/14/14</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>0.57%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(643)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&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>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3/14/17</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>1.136%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(2,480)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,066,000</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>3/14/42</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>2.84%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(40,356)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,280,000</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>3/14/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>2.08%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(21,624)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>5,471,000</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>3/14/17</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>1.133%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(27,912)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>6,377,000</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>3/14/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.078%</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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>108,903</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>587,000</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>3/14/42</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.834%</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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>22,937</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,553,000</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>3/14/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>2.0975%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(39,026)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>7,983,000</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>3/15/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>2.145%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(95,719)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>5,322,000</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>3/15/14</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>0.595%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>1,973</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>21,101,000</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>3/15/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>2.18551%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(174,554)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>193,726,000</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>3/15/14</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>0.5965%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>77,770</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>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%">

<P style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/12 (Unaudited) </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></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=right><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=right><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 vAlign=bottom>

   <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="35%" colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>Barclay&#8217;s 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>$10,173,000</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>3/15/17</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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></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>1.1815%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>$(36,506)</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>3,551,000</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>3/15/42</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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></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>2.8737%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(123,065)</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>77,163,000</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>3/15/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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></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>2.1255%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(1,063,227)</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>2,291,000</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>3/19/14</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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></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>0.624%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>2,101</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>693,000</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>3/19/17</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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></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>1.324%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>2,149</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>3,276,000</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>3/19/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.33%</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>(15,023)</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>160,000</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>3/19/42</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3.083%</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>(1,188)</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>190,000</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>3/19/19</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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></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>1.835%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>868</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>3,759,000</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>3/20/14</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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></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>0.6362%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>4,347</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>4,260,000</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>3/20/17</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>1.37%</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="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>(22,666)</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>11,221,000</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>3/20/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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></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>2.3975%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>120,342</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>8,799,000</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>3/20/14</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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></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>0.642%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>11,160</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>2,854,000</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>3/20/17</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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></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>1.386%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>17,397</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>12,626,000</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>3/20/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.405%</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>(144,151)</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>599,000</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>3/20/42</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3.151%</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>(12,648)</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>1,088,000</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>3/22/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.4425%</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>(16,014)</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>7,551,000</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>3/22/14</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>0.66125%</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>(12,260)</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>2,420,000</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>3/22/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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></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>2.44125%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>35,353</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>365,000</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>3/23/14</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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></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>0.639%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>428</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>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>3/26/14</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>0.6275%</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>(504)</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>7,065,000</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>3/26/14</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>0.62625%</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>(6,274)</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>1,405,000</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>3/26/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.355%</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>(8,779)</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>3,274,000</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>4/02/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.2325%</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>18,138</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>8,293,000</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>4/03/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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></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>2.30%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>5,059</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>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 3/31/12 (Unaudited) </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="5%"></TD>

   <TD width="15%"></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="5%" 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>Upfront</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><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=right><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=right><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 vAlign=bottom>

   <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>Barclay&#8217;s 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="5%" noWrap align=left><FONT size=1 face=sans-serif>AUD</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>5,514,000</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>3/20/17</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>BBR-BBSW</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>4.52%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>$33,308</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>AUD</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>4,041,000</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>3/20/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>4.82%</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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>(17,422)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>AUD</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>5,702,000</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>3/20/14</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>4.205%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3 month AUD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>(23,138)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>AUD</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,342,000</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>3/20/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>4.82%</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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>(10,097)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>AUD</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>14,898,000</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>3/20/17</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>4.52%</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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>(89,993)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>AUD</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>5,350,000</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>3/16/17</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>BBR-BBSW</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>4.71%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>79,581</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>AUD</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,209,000</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>3/16/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>BBR-BBSW</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>5.0175%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>45,502</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>15,485,000</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>3/23/14</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>REUTERS</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>1.105%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>8,982</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>15,486,000</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>3/23/17</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>1.66%</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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>(80,276)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>6,022,000</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>3/23/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.375%</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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>(58,751)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,032,000</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>3/23/42</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>REUTERS</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>2.635%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>22,163</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>6,106,000</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>3/28/14</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>1.097%</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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>(3,249)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,792,000</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>3/28/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>REUTERS</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>2.375%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>17,029</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>6,709,000</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>3/28/17</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>REUTERS</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>1.643%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>26,525</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>508,000</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>3/28/42</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.627%</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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>(9,700)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>GBP</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3,460,000</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>1/23/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.4275%</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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>(6,519)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>GBP</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>902,000</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>2/17/17</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>1.6575%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>4,778</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>GBP</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>463,000</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>2/17/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>2.48%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>3,883</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>GBP</FONT>&nbsp;</TD>

   <TD width="15%" 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=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>(541,598)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>GBP</FONT>&nbsp;</TD>

   <TD width="15%" 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=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>(361,756)</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>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 3/31/12 (Unaudited) </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="5%"></TD>

   <TD width="15%"></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="5%" 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>Upfront</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><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=right><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=right><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 vAlign=bottom>

   <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>Barclay&#8217;s 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="5%" noWrap align=left><FONT size=1 face=sans-serif>GBP</FONT>&nbsp;</TD>

   <TD width="15%" 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=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><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>$857,352</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>GBP</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>10,640,000</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>3/20/14</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>1.2925%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>20,077</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>GBP</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>820,000</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>3/20/42</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3.3325%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>26,791</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>GBP</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3,356,000</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>3/26/17</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>1.7005%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>23,874</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>GBP</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>10,845,000</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>3/26/14</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>1.2825%</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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>(17,156)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>JPY</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,310,457,000</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>2/13/17</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>0.48%</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="5%" noWrap align=left><FONT size=1 face=sans-serif>JPY</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>655,228,500</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>2/16/17</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>0.4675%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(2,701)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>JPY</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,310,457,000</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>2/17/17</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><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>(26,074)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>JPY</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>5,127,900,000</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>3/6/14</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>0.34375%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(4,814)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>JPY</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,070,900,000</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>3/6/17</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>0.4725%</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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>8,653</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>JPY</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3,997,900,000</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>3/30/14</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>0.3525%</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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>(3,171)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>JPY</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>532,800,000</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>3/30/17</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>0.4925%</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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>(1,985)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>JPY</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>373,000,000</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>3/30/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>1.04375%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>3,915</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>JPY</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>206,000,000</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>3/30/42</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>1.9175%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>6,612</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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$893,000 </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>10/7/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3.0625%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(10,002)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,244,000 </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>4/12/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>2.4275%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>25,986</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>15,812,000</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>3/23/14</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>0.646%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>20,793</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8,099,000</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>3/23/17</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>1.4259%</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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>(63,807)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8,976,000</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>3/23/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.4285%</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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>(119,840)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&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>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3/23/42</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3.1348%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>88</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&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>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3/23/14</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>0.643%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>290</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&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>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3/23/17</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>1.412%</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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>(216)</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>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 3/31/12 (Unaudited) </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%" align=right></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></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=right><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=right><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 vAlign=bottom>

   <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="20%" 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=right>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" 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>$&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3/23/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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=right>&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>$(1,354)</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>3,274,000</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>3/30/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.248%</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=right>&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>12,289</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7>

   <HR SIZE=1 noShade>

</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="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>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>2,244,000 </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>4/12/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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=right>&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><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>2.4275%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>25,986</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>1,119,000 </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>8/17/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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=right>&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><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>2.4475%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>3,032</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>115,578,000</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>3/19/14</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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=right>&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><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>0.651%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>168,277</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>10,124,000</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>3/19/17</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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=right>&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><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>1.377%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>57,585</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>23,452,000</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>3/19/42</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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=right>&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><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3.1405%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>447,131</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>20,180,000</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>3/19/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.388%</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=right>&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>(200,084)</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>1,980,000</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>3/19/42</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3.075%</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=right>&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>(11,512)</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>6,556,000</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>3/19/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.35125%</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=right>&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>(42,828)</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>37,579,000</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>3/20/14</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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=right>&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><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>0.64%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>46,135</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>15,594,000</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>3/20/17</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>1.38625%</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=right>&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>(95,212)</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>4,882,000</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>3/20/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.406%</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=right>&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>(56,179)</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>2,417,000</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>3/20/42</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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=right>&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><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>45,637</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>6,556,000</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>3/20/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.383%</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=right>&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>(61,628)</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>6,054,000</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>3/22/14</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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=right>&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><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>0.65125%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>8,603</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>3,545,000</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>3/22/17</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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=right>&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><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>1.4425%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>30,979</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>2,929,000</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>3/22/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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=right>&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><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>2.4425%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>43,112</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>238,000</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>3/22/42</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3.17%</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=right>&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>(5,903)</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>2,517,000</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>3/22/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.47125%</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=right>&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>(43,685)</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>7,551,000</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>3/22/14</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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=right>&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><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>0.6675%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>13,178</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>5,483,000</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>3/27/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.311%</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=right>&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>(12,014)</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>47,304,000</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>3/28/14</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>0.6075%</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=right>&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>(23,563)</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>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 3/31/12 (Unaudited) </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="5%"></TD>

   <TD width="15%"></TD>

   <TD width="15%"></TD>

   <TD width="15%"></TD>

   <TD width="10%"></TD>

   <TD width="15%"></TD>

   <TD width="12%"></TD>

   <TD width="12%" align=right></TD></TR>

<TR vAlign=bottom>

   <TD width="5%" 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>Upfront</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><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=right><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=right><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 vAlign=bottom>

   <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=right>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$5,820,000</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>3/28/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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=right>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>2.358%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>$37,562</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8,120,000</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>3/28/17</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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=right>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>1.356%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>33,783</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,810,000</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>3/28/42</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3.085%</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=right>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>(12,950)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>CAD</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,876,000</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>3/12/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.416%</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=right>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>23,066</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>CAD</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3,361,000</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>3/12/17</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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=right>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>BA-CDOR</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>1.756%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(14,916)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>CAD</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>4,131,000</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>3/20/17</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.04125%</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=right>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>(37,156)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>CAD</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,822,000</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>3/21/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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=right>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>BA-CDOR</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>2.695%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>34,708</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>CHF</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>38,240,000</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>3/14/14</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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=right>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>0.17%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(18,905)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>CHF</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8,121,000</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>3/14/17</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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=right>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>0.43%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(23,407)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>CHF</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>10,627,000</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>3/19/14</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>0.2575%</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=right>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>(14,864)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>CHF</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>5,263,000</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>3/19/17</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>0.5525%</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=right>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>(19,760)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>CHF</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>4,393,000</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>3/19/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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=right>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>1.1675%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>22,784</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>CHF</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>18,631,000</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>3/22/14</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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=right>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>0.2275%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>12,777</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>CHF</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,080,000</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>3/22/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>1.2275%</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=right>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>(12,592)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>CHF</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>927,000</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>3/22/17</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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=right>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><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>4,814</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>CHF</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>5,140,000</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>3/27/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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=right>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>1.1275%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(783)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>CHF</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,588,000</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>3/29/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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=right>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>1.15%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>7,047</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>GBP</FONT>&nbsp;</TD>

   <TD width="15%" 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=right><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=right>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><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>478,583</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>GBP</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,842,000</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>3/21/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.60%</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=right>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>(42,024)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>MXN</FONT>&nbsp;</TD>

   <TD width="15%" 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=right><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=right>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><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>90,835</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>SEK</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>12,630,000</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>1/23/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.30%</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=right>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>55,379</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>SEK</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>12,630,000</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>1/25/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.4275%</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=right>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>33,978</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>SEK</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>12,630,000</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>2/20/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month SEK-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD>

   <TD width="12%" noWrap align=right>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>STIBOR-SIDE</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>2.38%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(41,564)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>SEK</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>6,484,000</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>2/23/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.545%</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=right>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>7,139</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 3/31/12 (Unaudited) </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="5%"></TD>

   <TD width="15%"></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="5%" 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>Upfront</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><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=right><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=right><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 vAlign=bottom>

   <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="5%" noWrap align=left><FONT size=1 face=sans-serif>SEK</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8,432,000</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>2/24/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.5375%</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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>$10,122</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>SEK</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>14,420,000</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>3/1/14</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>1.9675%</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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>7,372</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>SEK</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,470,000</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>3/1/17</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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 SEK-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>1,713</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>SEK</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>21,185,000</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>3/6/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month SEK-</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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>STIBOR-SIDE</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>2.475%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(43,407)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>SEK</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>17,135,000</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>3/13/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.43%</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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>45,159</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>SEK</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>30,084,000</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>3/22/14</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month SEK-</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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>STIBOR-SIDE</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>2.03%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(9,016)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>SEK</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>11,325,000</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>3/22/17</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.33%</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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>169</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>SEK</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>13,132,000</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>3/22/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.72%</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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>(15,497)</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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$452,000 </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>10/7/21</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3.0475%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(5,356)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,244,000 </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>4/12/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>2.4275%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>25,986</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,823,000 </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>4/13/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>2.498%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>32,741</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9,227,000</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>3/01/14</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>0.5815%</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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>(1,234)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>416,839,000</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>3/05/14</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>0.567%</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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>57,222</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>79,995,000</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>3/05/17</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>1.1673%</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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>301,319</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>6,507,000</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>3/05/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.133%</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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>80,422</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>5,993,000</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>3/05/42</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.856%</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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>224,960</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,790,000</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>3/06/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.064%</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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>33,527</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3,234,000</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>3/06/17</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>1.09%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(24,438)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>4,485,000</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>3/06/42</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.807%</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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>213,146</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3,450,000</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>3/07/17</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>1.106%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(23,537)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,854,000</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>3/07/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.061%</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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>35,310</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>4,765,000</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>3/07/42</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.79%</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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>243,156</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>11,037,700</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>3/12/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>2.092%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(184,097)</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 3/31/12 (Unaudited) </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="5%"></TD>

   <TD width="15%"></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="5%" 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>Upfront</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><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=right><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=right><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 vAlign=bottom>

   <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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$13,617,000</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>3/19/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.335%</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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>$(68,729)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>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>3/26/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.34%</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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>(3,207)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,438,000</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>4/03/17</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>1.291%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>1,609</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>

   <TD width="15%" 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=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>(3,105,488)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>MXN</FONT>&nbsp;</TD>

   <TD width="15%" 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=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><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>101,295</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="5%" noWrap align=left>&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>(215,089)</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3/26/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.075%</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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>(64,463)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,244,000 </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>4/12/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>2.4275%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>25,986</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,823,000 </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>4/13/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>2.498%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>32,741</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>16,594,900</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>2/22/14</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>1 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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>FEDERAL</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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>FUNDS-H.15</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>0.1925%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(9,335)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>4,472,000</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>2/23/14</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>0.19625%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>1 month USD-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>FEDERAL</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>FUNDS-H.15</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>2,123</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>24,860,000</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>3/20/14</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>0.625%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>22,873</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>9,085,000</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>3/20/17</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>1.365%</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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>(46,054)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3,615,000</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>3/20/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.3825%</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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>(33,801)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>5,246,000</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>3/20/42</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3.1285%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>86,864</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>6,556,000</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>3/21/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>2.405%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>74,498</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>58,015,000</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>3/22/14</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>0.6345%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>62,013</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>27,000,000</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>3/22/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.413%</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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>(324,312)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>35,772,000</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>3/22/17</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>1.4097%</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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>(255,438)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>11,394,000</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>3/22/42</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3.1405%</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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>(214,588)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>6,549,000</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>3/30/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>2.273125%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(9,515)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>6,548,000</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>4/03/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>2.245%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(29,597)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>AUD</FONT>&nbsp;</TD>

   <TD width="15%" 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>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3/21/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>5.0175%</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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>(43,146)</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 3/31/12 (Unaudited) </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="5%"></TD>

   <TD width="15%"></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="5%" 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>Upfront</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><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=right><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=right><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 vAlign=bottom>

   <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="5%" noWrap align=left><FONT size=1 face=sans-serif>CHF</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>11,547,000</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>3/15/14</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>0.18%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>$(3,288)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>CHF</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8,036,000</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>3/15/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>1.06%</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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>51,072</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>CHF</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>4,286,000</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>3/26/17</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>0.575%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>20,366</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>CHF</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,570,000</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>3/29/17</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><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>5,545</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>EUR</FONT>&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>&#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=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>(303,806)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>

   <TD width="15%" 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=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>(99,022)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>

   <TD width="15%" 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=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><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>692,702</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>

   <TD width="15%" 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=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><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>677,630</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,306,000</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>3/23/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.385%</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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>(25,303)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3,648,000</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>3/26/17</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>1.6275%</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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>(10,701)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>GBP</FONT>&nbsp;</TD>

   <TD width="15%" 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=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><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>30,801</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>GBP</FONT>&nbsp;</TD>

   <TD width="15%" 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=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><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>28,009</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>GBP</FONT>&nbsp;</TD>

   <TD width="15%" 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=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>7,459</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>GBP</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>588,000</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>2/8/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>2.4825%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>5,677</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>GBP</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3,804,000</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>2/8/17</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>1.625%</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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>(12,018)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>GBP</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,188,000</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>2/8/42</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3.145%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(32,541)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>GBP</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>17,495,000</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>2/8/14</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>1 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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>WMBA-SONIA-</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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>COMPOUND</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>(8,230)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>GBP</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>19,103,000</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>2/10/14</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>1 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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>WMBA-SONIA-</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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>COMPOUND</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>0.505%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(16,621)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>GBP</FONT>&nbsp;</TD>

   <TD width="15%" 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=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>(302,985)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>GBP</FONT>&nbsp;</TD>

   <TD width="15%" 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=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>(258,721)</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>



<!--$$/page=--><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 3/31/12 (Unaudited) </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="5%"></TD>

   <TD width="15%"></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="5%" 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>Upfront</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><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=right><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=right><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 vAlign=bottom>

   <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="5%" noWrap align=left><FONT size=1 face=sans-serif>GBP</FONT>&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>$&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2/17/42</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3.2075%</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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>$1,710</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>GBP</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>7,946,600</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>2/17/14</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>0.5625%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>1 month GBP-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>WMBA-SONIA-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>COMPOUND</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(14,894)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>GBP</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8,720,000</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>2/21/14</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>0.558%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>1 month GBP-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>WMBA-SONIA-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>COMPOUND</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(6,306)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>GBP</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,608,000</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>2/24/17</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>1.565%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(3,489)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>GBP</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>551,000</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>2/24/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><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>(3,022)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>GBP</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>771,000</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>2/24/42</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3.13125%</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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>22,968</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>GBP</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8,676,000</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>2/24/14</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>0.5125%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>1 month GBP-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>WMBA-SONIA-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>COMPOUND</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>6,369</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>GBP</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,042,000</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>3/2/17</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>1.5475%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(7,886)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>GBP</FONT>&nbsp;</TD>

   <TD width="15%" 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>3/2/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>2.3975%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(7,230)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>GBP</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>182,000</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>3/2/42</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3.135%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(5,297)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>GBP</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,473,000</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>3/2/14</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>1 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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>WMBA-SONIA-</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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>COMPOUND</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>0.54%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(269)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>GBP</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>322,000</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>3/9/42</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3.11%</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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>12,119</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>GBP</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>406,000</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>3/14/42</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3.2575%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>3,733</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>GBP</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,289,000</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>3/14/17</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>1.6925%</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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>(16,124)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>GBP</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>16,996,000</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>3/16/14</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>1.31%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>41,092</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>GBP</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3,069,000</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>3/16/17</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>1.79%</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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>(44,668)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>GBP</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,741,000</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>3/16/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.67%</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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>(58,458)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>GBP</FONT>&nbsp;</TD>

   <TD width="15%" 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>3/16/42</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3.3875%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>52,505</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>SEK</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>22,265,000</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>2/13/17</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.15%</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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>29,378</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>SEK</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>22,265,000</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>2/20/17</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month SEK-</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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>STIBOR-SIDE</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>1.995%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(52,820)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>SEK</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>71,803,700</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>2/21/14</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month SEK-</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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>STIBOR-SIDE</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>1.895%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(52,872)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>SEK</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>15,956,100</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>2/21/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.485%</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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>30,181</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 3/31/12 (Unaudited) </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="5%"></TD>

   <TD width="15%"></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="5%" 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>Upfront</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><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=right><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=right><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 vAlign=bottom>

   <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="5%" noWrap align=left><FONT size=1 face=sans-serif>SEK</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>21,688,000</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>2/23/17</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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 SEK-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>$26,481</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>SEK</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>8,460,000</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>3/1/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month SEK-</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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>STIBOR-SIDE</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>2.5275%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(11,309)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>SEK</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>17,038,000</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>3/6/17</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month SEK-</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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>STIBOR-SIDE</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>2.115%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(26,038)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>SEK</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>17,136,000</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>3/29/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3 month SEK-</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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>STIBOR-SIDE</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>2.6325%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(2,623)</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 NA</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="5%" noWrap align=left>&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>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3/23/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.39%</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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,418,000</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>3/23/14</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>0.639%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>2,837</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,117,000</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>3/23/17</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>1.398%</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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>(13,786)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>67,898,000</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>3/26/14</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>0.6275%</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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>(62,345)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>50,812,000</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>3/26/17</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>1.3425%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>180,765</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>11,541,000</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>3/26/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.3245%</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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>(39,746)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>10,695,000</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>3/26/42</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3.0525%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>7,326</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>5,657,000</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>3/26/17</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>1.3575%</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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>(24,266)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>CAD</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>30,837,000</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>3/13/14</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>1.4025%</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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>(6,044)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>CAD</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>636,000</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>3/13/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.43%</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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>7,038</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>CAD</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,595,000</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>3/13/17</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>BA-CDOR</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>1.78%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(5,257)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>CAD</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3,540,000</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>3/13/17</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>1.8025%</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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>7,863</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>CAD</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>5,761,000</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>3/22/17</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>BA-CDOR</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>1.98%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>34,438</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,987,000</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>3/23/14</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>1 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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>COMPOUND</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>0.506%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>4,655</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>4,900,000</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>3/23/17</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>1 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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>COMPOUND</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>1.147%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>41,604</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>EUR</FONT>&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>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3/23/42</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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>6 month EUR-</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>(3,189)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>GBP</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,645,000</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>3/7/17</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>1.54%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(7,536)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>GBP</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>719,000</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>3/7/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>2.354%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(8,477)</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>76</FONT></P></DIV>

<HR align=center SIZE=2 width="100%" noShade>



<!--$$/page=--><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 3/31/12 (Unaudited) </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="5%"></TD>

   <TD width="15%"></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="5%" 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>Upfront</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><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=right><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=right><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 vAlign=bottom>

   <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 NA </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="5%" noWrap align=left><FONT size=1 face=sans-serif>JPY</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>853,120,000</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>2/20/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>0.965%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>$(50,516)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>JPY</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3,554,300,000</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>3/6/14</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>0.34375%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(3,337)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>JPY</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>723,200,000</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>3/6/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>1.0175%</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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>4,605</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$2,244,000 </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>4/12/22</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>LIBOR-BBA</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>2.4275%</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>25,986</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>CAD</FONT>&nbsp;</TD>

   <TD width="15%" 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=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>32,820</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>JPY</FONT>&nbsp;</TD>

   <TD width="15%" 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=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><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>290,070</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>JPY</FONT>&nbsp;</TD>

   <TD width="15%" 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=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><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>298,158</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>JPY</FONT>&nbsp;</TD>

   <TD width="15%" 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=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><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>92,889</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>JPY</FONT>&nbsp;</TD>

   <TD width="15%" 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=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>26,735</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>MXN</FONT>&nbsp;</TD>

   <TD width="15%" 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=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>(43,065)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>MXN</FONT>&nbsp;</TD>

   <TD width="15%" 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=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>(55,278)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>MXN</FONT>&nbsp;</TD>

   <TD width="15%" 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=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><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>15,500</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>MXN</FONT>&nbsp;</TD>

   <TD width="15%" 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=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>722</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>MXN</FONT>&nbsp;</TD>

   <TD width="15%" 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=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>1,966</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>MXN</FONT>&nbsp;</TD>

   <TD width="15%" 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=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><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>28,839</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>MXN</FONT>&nbsp;</TD>

   <TD width="15%" 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=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><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>68,867</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="5%" noWrap align=left><FONT size=1 face=sans-serif>CHF</FONT>&nbsp;</TD>

   <TD width="15%" 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=right><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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>(413,709)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" 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="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>$(2,786,471)</FONT></B>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><B><SUP><FONT size=1 face=sans-serif></FONT></SUP></B>&nbsp;</P>

<P style="MARGIN: 0px"><B><SUP><FONT size=1 face=sans-serif>E </FONT></SUP></B><FONT size=1 face=sans-serif>See Note 1 to the financial statements regarding extended effective dates. </FONT></P>

<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>TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/12 (Unaudited)</FONT></B></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></TD>

   <TD width="15%" noWrap align=left><B><FONT size=1 face=sans-serif>Fixed payments</FONT></B>&nbsp;</TD>

   <TD width="12%" 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="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=right><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="15%" noWrap align=left><B><FONT size=1 face=sans-serif>received (paid) 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=right><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>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 vAlign=bottom>

   <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="20%" noWrap align=left><B><FONT size=1 face=sans-serif>Barclay&#8217;s 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>$638,221</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>1/12/40</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>5.00% (1 month</FONT>&nbsp;</TD>

   <TD width="12%" 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>$1,192</FONT>&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><FONT size=1 face=sans-serif>USD-LIBOR)</FONT>&nbsp;</TD>

   <TD width="12%" 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="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>30 year Fannie Mae</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>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="20%" noWrap align=right><FONT size=1 face=sans-serif>1,048,324</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>1/12/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>5.00% (1 month</FONT>&nbsp;</TD>

   <TD width="12%" 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>15,844</FONT>&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><FONT size=1 face=sans-serif>USD-LIBOR)</FONT>&nbsp;</TD>

   <TD width="12%" 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="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>30 year Fannie Mae</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>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="20%" noWrap align=right><FONT size=1 face=sans-serif>1,157,201</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>1/12/40</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>5.00% (1 month</FONT>&nbsp;</TD>

   <TD width="12%" 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>2,162</FONT>&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><FONT size=1 face=sans-serif>USD-LIBOR)</FONT>&nbsp;</TD>

   <TD width="12%" 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="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>30 year Fannie Mae</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>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="20%" noWrap align=right><FONT size=1 face=sans-serif>904,023</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>1/12/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>5.00% (1 month</FONT>&nbsp;</TD>

   <TD width="12%" 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>1,687</FONT>&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><FONT size=1 face=sans-serif>USD-LIBOR)</FONT>&nbsp;</TD>

   <TD width="12%" 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="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>30 year Fannie Mae</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>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="20%" noWrap align=right><FONT size=1 face=sans-serif>4,617,343</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>1/12/38</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>(6.50%) 1 month</FONT>&nbsp;</TD>

   <TD width="12%" 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>(7,926)</FONT>&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><FONT size=1 face=sans-serif>USD-LIBOR</FONT>&nbsp;</TD>

   <TD width="12%" 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="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>30 year Fannie Mae</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>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="20%" noWrap align=right><FONT size=1 face=sans-serif>4,032,546</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>1/12/38</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>(6.50%) 1 month</FONT>&nbsp;</TD>

   <TD width="12%" 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>(6,922)</FONT>&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><FONT size=1 face=sans-serif>USD-LIBOR</FONT>&nbsp;</TD>

   <TD width="12%" 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="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>30 year Fannie Mae</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>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="20%" noWrap align=right><FONT size=1 face=sans-serif>2,974,931</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>1/12/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>5.00% (1 month</FONT>&nbsp;</TD>

   <TD width="12%" 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>5,552</FONT>&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><FONT size=1 face=sans-serif>USD-LIBOR)</FONT>&nbsp;</TD>

   <TD width="12%" 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="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>30 year Fannie Mae</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>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="20%" noWrap align=right><FONT size=1 face=sans-serif>1,169,160</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>1/12/40</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>4.00% (1 month</FONT>&nbsp;</TD>

   <TD width="12%" 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>(2,995)</FONT>&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><FONT size=1 face=sans-serif>USD-LIBOR)</FONT>&nbsp;</TD>

   <TD width="12%" 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="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>30 year Fannie Mae</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>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="20%" noWrap align=right><FONT size=1 face=sans-serif>136,390</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>1/12/40</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>4.00% (1 month</FONT>&nbsp;</TD>

   <TD width="12%" 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>2,672</FONT>&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><FONT size=1 face=sans-serif>USD-LIBOR)</FONT>&nbsp;</TD>

   <TD width="12%" 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="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>30 year Fannie Mae</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>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="20%" 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>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>4/7/16</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>(2.63%)</FONT>&nbsp;</TD>

   <TD width="12%" 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>(69,947)</FONT>&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>Consumer Price</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="24%" colSpan=2 noWrap align=left><FONT size=1 face=sans-serif>Index-Urban (CPI-U)</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>3,025,146</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>1/12/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>4.50% (1 month</FONT>&nbsp;</TD>

   <TD width="12%" 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>44,929</FONT>&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><FONT size=1 face=sans-serif>USD-LIBOR)</FONT>&nbsp;</TD>

   <TD width="12%" 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="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>30 year Fannie Mae</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>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="20%" noWrap align=right><FONT size=1 face=sans-serif>2,099,247</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>1/12/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3.50% (1 month</FONT>&nbsp;</TD>

   <TD width="12%" 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>(7,566)</FONT>&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><FONT size=1 face=sans-serif>USD-LIBOR)</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Index 3.50%</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>30 year Fannie Mae</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>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>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>TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/12 (Unaudited) </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></TD>

   <TD width="15%" noWrap align=left><B><FONT size=1 face=sans-serif>Fixed payments</FONT></B>&nbsp;</TD>

   <TD width="12%" 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="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=right><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="15%" noWrap align=left><B><FONT size=1 face=sans-serif>received (paid) 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=right><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>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 vAlign=bottom>

   <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="35%" colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>Barclay&#8217;s 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>$974,137</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>1/12/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3.50% (1 month</FONT>&nbsp;</TD>

   <TD width="12%" 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>$(3,511)</FONT>&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><FONT size=1 face=sans-serif>USD-LIBOR)</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Index 3.50%</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>30 year Fannie Mae</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>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="20%" noWrap align=right><FONT size=1 face=sans-serif>1,540,483</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>1/12/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>4.50% (1 month</FONT>&nbsp;</TD>

   <TD width="12%" 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>22,881</FONT>&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><FONT size=1 face=sans-serif>USD-LIBOR)</FONT>&nbsp;</TD>

   <TD width="12%" 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="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>30 year Fannie Mae</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>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="20%" noWrap align=right><FONT size=1 face=sans-serif>2,180,090</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>1/12/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>4.50% (1 month</FONT>&nbsp;</TD>

   <TD width="12%" 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>3,843</FONT>&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><FONT size=1 face=sans-serif>USD-LIBOR)</FONT>&nbsp;</TD>

   <TD width="12%" 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="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>30 year Fannie Mae</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>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="20%" noWrap align=right><FONT size=1 face=sans-serif>2,300,690</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>1/12/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>5.00% (1 month</FONT>&nbsp;</TD>

   <TD width="12%" 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>3,932</FONT>&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><FONT size=1 face=sans-serif>USD-LIBOR)</FONT>&nbsp;</TD>

   <TD width="12%" 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="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="24%" 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="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>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="20%" noWrap align=right><FONT size=1 face=sans-serif>2,340,009</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>1/12/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>5.00% (1 month</FONT>&nbsp;</TD>

   <TD width="12%" 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>4,367</FONT>&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><FONT size=1 face=sans-serif>USD-LIBOR)</FONT>&nbsp;</TD>

   <TD width="12%" 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="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>30 year Fannie Mae</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>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="20%" noWrap align=right><FONT size=1 face=sans-serif>3,365,009</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>1/12/38</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>(6.50%) 1 month</FONT>&nbsp;</TD>

   <TD width="12%" 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>(5,776)</FONT>&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><FONT size=1 face=sans-serif>USD-LIBOR</FONT>&nbsp;</TD>

   <TD width="12%" 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="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>30 year Fannie Mae</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>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="20%" noWrap align=right><FONT size=1 face=sans-serif>2,917,430</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>1/12/40</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>4.00% (1 month</FONT>&nbsp;</TD>

   <TD width="12%" 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>(7,472)</FONT>&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><FONT size=1 face=sans-serif>USD-LIBOR)</FONT>&nbsp;</TD>

   <TD width="12%" 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="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>30 year Fannie Mae</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>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="20%" noWrap align=right><FONT size=1 face=sans-serif>6,615,513</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>1/12/40</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>5.00% (1 month</FONT>&nbsp;</TD>

   <TD width="12%" 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>110,339</FONT>&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><FONT size=1 face=sans-serif>USD-LIBOR)</FONT>&nbsp;</TD>

   <TD width="12%" 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="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>30 year Fannie Mae</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>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="20%" noWrap align=right><FONT size=1 face=sans-serif>1,702,040</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>1/12/38</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>(6.50%) 1 month</FONT>&nbsp;</TD>

   <TD width="12%" 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>(2,922)</FONT>&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><FONT size=1 face=sans-serif>USD-LIBOR</FONT>&nbsp;</TD>

   <TD width="12%" 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="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>30 year Fannie Mae</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>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="20%" noWrap align=right><FONT size=1 face=sans-serif>1,187,768</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(16,889)</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1/12/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>4.00% (1 month</FONT>&nbsp;</TD>

   <TD width="12%" 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>2,494</FONT>&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><FONT size=1 face=sans-serif>USD-LIBOR)</FONT>&nbsp;</TD>

   <TD width="12%" 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="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>30 year Fannie Mae</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>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="20%" noWrap align=right><FONT size=1 face=sans-serif>4,457,004</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>1/12/40</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>4.50% (1 month</FONT>&nbsp;</TD>

   <TD width="12%" 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>5,771</FONT>&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><FONT size=1 face=sans-serif>USD-LIBOR)</FONT>&nbsp;</TD>

   <TD width="12%" 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="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>30 year Fannie Mae</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>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="20%" noWrap align=right><FONT size=1 face=sans-serif>12,822,469</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>1/12/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>5.00% (1 month</FONT>&nbsp;</TD>

   <TD width="12%" 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>23,931</FONT>&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><FONT size=1 face=sans-serif>USD-LIBOR)</FONT>&nbsp;</TD>

   <TD width="12%" 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="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>30 year Fannie Mae</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>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>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>TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/12 (Unaudited) </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></TD>

   <TD width="15%" noWrap align=left><B><FONT size=1 face=sans-serif>Fixed payments</FONT></B>&nbsp;</TD>

   <TD width="12%" 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="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=right><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="15%" noWrap align=left><B><FONT size=1 face=sans-serif>received (paid) 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=right><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>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 vAlign=bottom>

   <TD width="99%" colSpan=7 noWrap align=left>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="35%" colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>Barclay&#8217;s 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>$898,650</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$7,863</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1/12/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>3.50% (1 month</FONT>&nbsp;</TD>

   <TD width="12%" 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>$3,813</FONT>&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><FONT size=1 face=sans-serif>USD-LIBOR)</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Index 3.50%</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>30 year Fannie Mae</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>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="20%" noWrap align=right><FONT size=1 face=sans-serif>2,799,431</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>1/12/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>5.00% (1 month</FONT>&nbsp;</TD>

   <TD width="12%" 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>5,225</FONT>&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><FONT size=1 face=sans-serif>USD-LIBOR)</FONT>&nbsp;</TD>

   <TD width="12%" 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="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>30 year Fannie Mae</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>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="20%" noWrap align=right><FONT size=1 face=sans-serif>559,139</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>1/12/40</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>5.00% (1 month</FONT>&nbsp;</TD>

   <TD width="12%" 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>1,044</FONT>&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><FONT size=1 face=sans-serif>USD-LIBOR)</FONT>&nbsp;</TD>

   <TD width="12%" 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="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>30 year Fannie Mae</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>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="20%" noWrap align=right><FONT size=1 face=sans-serif>1,812,721</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>1/12/40</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>5.00% (1 month</FONT>&nbsp;</TD>

   <TD width="12%" 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>3,386</FONT>&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><FONT size=1 face=sans-serif>USD-LIBOR)</FONT>&nbsp;</TD>

   <TD width="12%" 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="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>30 year Fannie Mae</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>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="20%" noWrap align=right><FONT size=1 face=sans-serif>1,314,130</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>1/12/40</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>5.00% (1 month</FONT>&nbsp;</TD>

   <TD width="12%" 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>2,455</FONT>&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><FONT size=1 face=sans-serif>USD-LIBOR)</FONT>&nbsp;</TD>

   <TD width="12%" 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="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>30 year Fannie Mae</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>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="20%" 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="20%" noWrap align=right><FONT size=1 face=sans-serif>1,819,747</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>1/12/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>5.00% (1 month</FONT>&nbsp;</TD>

   <TD width="12%" 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>3,396</FONT>&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><FONT size=1 face=sans-serif>USD-LIBOR)</FONT>&nbsp;</TD>

   <TD width="12%" 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="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>30 year Fannie Mae</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>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="20%" noWrap align=right><FONT size=1 face=sans-serif>3,900,015</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>1/12/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>5.00% (1 month</FONT>&nbsp;</TD>

   <TD width="12%" 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>7,279</FONT>&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><FONT size=1 face=sans-serif>USD-LIBOR)</FONT>&nbsp;</TD>

   <TD width="12%" 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="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>30 year Fannie Mae</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>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="20%" noWrap align=right><FONT size=1 face=sans-serif>3,404,713</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>1/12/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>5.00% (1 month</FONT>&nbsp;</TD>

   <TD width="12%" 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>6,354</FONT>&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><FONT size=1 face=sans-serif>USD-LIBOR)</FONT>&nbsp;</TD>

   <TD width="12%" 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="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>30 year Fannie Mae</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>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="35%" 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="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>801,640</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>1/12/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>4.50% (1 month</FONT>&nbsp;</TD>

   <TD width="12%" 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>1,413</FONT>&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><FONT size=1 face=sans-serif>USD-LIBOR)</FONT>&nbsp;</TD>

   <TD width="12%" 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="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>30 year Fannie Mae</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>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="20%" noWrap align=right><FONT size=1 face=sans-serif>1,560,006</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>1/12/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>5.00% (1 month</FONT>&nbsp;</TD>

   <TD width="12%" 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>2,912</FONT>&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><FONT size=1 face=sans-serif>USD-LIBOR)</FONT>&nbsp;</TD>

   <TD width="12%" 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="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>30 year Fannie Mae</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>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="20%" noWrap align=right><FONT size=1 face=sans-serif>1,296,213</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>1/12/40</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>5.00% (1 month</FONT>&nbsp;</TD>

   <TD width="12%" 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>21,619</FONT>&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><FONT size=1 face=sans-serif>USD-LIBOR)</FONT>&nbsp;</TD>

   <TD width="12%" 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="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>30 year Fannie Mae</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>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="20%" noWrap align=right><FONT size=1 face=sans-serif>2,042,959</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>1/12/38</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>(6.50%) 1 month</FONT>&nbsp;</TD>

   <TD width="12%" 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>(3,507)</FONT>&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><FONT size=1 face=sans-serif>USD-LIBOR</FONT>&nbsp;</TD>

   <TD width="12%" 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="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>30 year Fannie Mae</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>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>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 3/31/12 (Unaudited) </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></TD>

   <TD width="15%" noWrap align=left><B><FONT size=1 face=sans-serif>Fixed payments</FONT></B>&nbsp;</TD>

   <TD width="12%" 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="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=right><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="15%" noWrap align=left><B><FONT size=1 face=sans-serif>received (paid) 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=right><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>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 vAlign=bottom>

   <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="20%" 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="20%" noWrap align=right><FONT size=1 face=sans-serif>$2,042,959</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>1/12/38</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>(6.50%) 1 month</FONT>&nbsp;</TD>

   <TD width="12%" 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>$(3,507)</FONT>&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><FONT size=1 face=sans-serif>USD-LIBOR</FONT>&nbsp;</TD>

   <TD width="12%" 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="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>30 year Fannie Mae</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>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="35%" colSpan=2 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="20%" 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>&#8212;</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3/1/16</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.47%</FONT>&nbsp;</TD>

   <TD width="12%" 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>9,485</FONT>&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>Consumer Price</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="24%" colSpan=2 noWrap align=left><FONT size=1 face=sans-serif>Index-Urban (CPI-U)</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>2,280,000</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>3/3/16</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.45%</FONT>&nbsp;</TD>

   <TD width="12%" 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>4,854</FONT>&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>Consumer Price</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="24%" colSpan=2 noWrap align=left><FONT size=1 face=sans-serif>Index-Urban (CPI-U)</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>3,479,634</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>1/12/40</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>5.00% (1 month</FONT>&nbsp;</TD>

   <TD width="12%" 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>58,036</FONT>&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><FONT size=1 face=sans-serif>USD-LIBOR)</FONT>&nbsp;</TD>

   <TD width="12%" 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="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>30 year Fannie Mae</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>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="20%" noWrap align=right><FONT size=1 face=sans-serif>1,752,910</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>1/12/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>4.50% (1 month</FONT>&nbsp;</TD>

   <TD width="12%" 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>26,034</FONT>&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><FONT size=1 face=sans-serif>USD-LIBOR)</FONT>&nbsp;</TD>

   <TD width="12%" 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="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>30 year Fannie Mae</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>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="20%" noWrap align=right><FONT size=1 face=sans-serif>1,522,652</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>1/12/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>4.50% (1 month</FONT>&nbsp;</TD>

   <TD width="12%" 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>22,614</FONT>&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><FONT size=1 face=sans-serif>USD-LIBOR)</FONT>&nbsp;</TD>

   <TD width="12%" 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="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>30 year Fannie Mae</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>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="20%" noWrap align=right><FONT size=1 face=sans-serif>744,270</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>1/12/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>4.50% (1 month</FONT>&nbsp;</TD>

   <TD width="12%" 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>11,054</FONT>&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><FONT size=1 face=sans-serif>USD-LIBOR)</FONT>&nbsp;</TD>

   <TD width="12%" 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="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>30 year Fannie Mae</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>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="20%" noWrap align=right><FONT size=1 face=sans-serif>1,403,768</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>1/12/38</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>(6.50%) 1 month</FONT>&nbsp;</TD>

   <TD width="12%" 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>(2,410)</FONT>&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><FONT size=1 face=sans-serif>USD-LIBOR</FONT>&nbsp;</TD>

   <TD width="12%" 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="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>30 year Fannie Mae</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>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="20%" noWrap align=right><FONT size=1 face=sans-serif>527,339</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>1/12/38</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>(6.50%) 1 month</FONT>&nbsp;</TD>

   <TD width="12%" 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>(905)</FONT>&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><FONT size=1 face=sans-serif>USD-LIBOR</FONT>&nbsp;</TD>

   <TD width="12%" 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="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>30 year Fannie Mae</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>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="20%" noWrap align=right><FONT size=1 face=sans-serif>12,157,888</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>1/12/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>4.00% (1 month</FONT>&nbsp;</TD>

   <TD width="12%" 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>207,753</FONT>&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><FONT size=1 face=sans-serif>USD-LIBOR)</FONT>&nbsp;</TD>

   <TD width="12%" 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="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>30 year Fannie Mae</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>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="20%" noWrap align=right><FONT size=1 face=sans-serif>4,526,900</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>1/12/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>4.00% (1 month</FONT>&nbsp;</TD>

   <TD width="12%" 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>77,356</FONT>&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><FONT size=1 face=sans-serif>USD-LIBOR)</FONT>&nbsp;</TD>

   <TD width="12%" 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="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>30 year Fannie Mae</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>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="20%" noWrap align=right><FONT size=1 face=sans-serif>1,908,793</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>1/12/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>4.00% (1 month</FONT>&nbsp;</TD>

   <TD width="12%" 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>32,618</FONT>&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><FONT size=1 face=sans-serif>USD-LIBOR)</FONT>&nbsp;</TD>

   <TD width="12%" 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="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>30 year Fannie Mae</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>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>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 3/31/12 (Unaudited) </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="5%"></TD>

   <TD width="15%"></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="5%" 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>Upfront</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><B><FONT size=1 face=sans-serif>Fixed payments</FONT></B>&nbsp;</TD>

   <TD width="12%" 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="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=right><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="15%" noWrap align=left><B><FONT size=1 face=sans-serif>received (paid) 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=right><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>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 vAlign=bottom>

   <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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>$4,233,304</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>1/12/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>4.00% (1 month</FONT>&nbsp;</TD>

   <TD width="12%" 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>$72,339</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>USD-LIBOR)</FONT>&nbsp;</TD>

   <TD width="12%" 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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>30 year Fannie Mae</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>pools</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,922,935</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,404</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1/12/38</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>(6.50%) 1 month</FONT>&nbsp;</TD>

   <TD width="12%" 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>(897)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>USD-LIBOR</FONT>&nbsp;</TD>

   <TD width="12%" 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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>30 year Fannie Mae</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>pools</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>371,317</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>4,583</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1/12/40</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>(5.00%) 1 month</FONT>&nbsp;</TD>

   <TD width="12%" 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>(1,456)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>USD-LIBOR</FONT>&nbsp;</TD>

   <TD width="12%" 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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>30 year Fannie Mae</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>pools</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>91,422</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(386)</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1/12/38</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>(6.50%) 1 month</FONT>&nbsp;</TD>

   <TD width="12%" 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>(416)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>USD-LIBOR</FONT>&nbsp;</TD>

   <TD width="12%" 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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>30 year Fannie Mae</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>pools</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>243,623</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(904)</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1/12/38</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>(6.50%) 1 month</FONT>&nbsp;</TD>

   <TD width="12%" 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>(943)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>USD-LIBOR</FONT>&nbsp;</TD>

   <TD width="12%" 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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>30 year Fannie Mae</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>pools</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,839,906</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>33,636</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1/12/40</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>(5.00%) 1 month</FONT>&nbsp;</TD>

   <TD width="12%" 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>6,497</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>USD-LIBOR</FONT>&nbsp;</TD>

   <TD width="12%" 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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>30 year Fannie Mae</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>pools</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1,824,236</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>(25,653)</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>1/12/41</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>4.50% (1 month</FONT>&nbsp;</TD>

   <TD width="12%" 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>(1,723)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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><FONT size=1 face=sans-serif>USD-LIBOR)</FONT>&nbsp;</TD>

   <TD width="12%" 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="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>30 year Fannie Mae</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>pools</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3,431,000</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>4/3/17</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>2.3225%</FONT>&nbsp;</TD>

   <TD width="12%" 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>3,440</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>Consumer Price</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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="24%" colSpan=2 noWrap align=left><FONT size=1 face=sans-serif>Index-Urban (CPI-U)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>5,940,000</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>10/18/13</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>(1.7775%)</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Eurostat Eurozone</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(92,848)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>HICP excluding</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>tobacco</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left><FONT size=1 face=sans-serif>GBP</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>2,141,000</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>3/30/17</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>(3.0925%)</FONT>&nbsp;</TD>

   <TD width="12%" 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>(12,030)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>UK Retail Price</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>Index</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&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="5%" noWrap align=left><FONT size=1 face=sans-serif>EUR</FONT>&nbsp;</TD>

   <TD width="15%" noWrap align=right><FONT size=1 face=sans-serif>3,178,000</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>4/2/13</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>(1.98%)</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>Eurostat Eurozone</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=right><FONT size=1 face=sans-serif>(424)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>HICP excluding</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="15%" noWrap align=left>&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>tobacco</FONT>&nbsp;</TD>

   <TD width="12%" noWrap align=left>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=8>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="5%" 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="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>$606,469</FONT></B>&nbsp;</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>



<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>CREDIT DEFAULT CONTRACTS OUTSTANDING at 3/31/12 (Unaudited)</FONT></B></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="7%"></TD>

   <TD width="5%"></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="7%" noWrap align=right><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="5%" 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="7%" noWrap align=right><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="5%" noWrap align=left>&nbsp;</TD>

   <TD width="8%" noWrap align=left></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="7%" noWrap align=right><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="5%" noWrap align=right><B><FONT size=1 face=sans-serif>Notional</FONT></B>&nbsp;</TD>

   <TD width="8%" noWrap align=right><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="7%" noWrap align=right><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="5%" noWrap align=right><B><FONT size=1 face=sans-serif>amount</FONT></B>&nbsp;</TD>

   <TD width="8%" noWrap align=right><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 vAlign=bottom>

   <TD width="99%" colSpan=9 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="7%" noWrap align=left></TD>

   <TD width="5%" 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="7%" noWrap align=left></TD>

   <TD width="5%" 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="7%" noWrap align=left></TD>

   <TD width="5%" 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="7%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="5%" noWrap align=right><FONT size=1 face=sans-serif>$2,090,000</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>12/20/19</FONT>&nbsp;</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>$378,147</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=9>

   <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="7%" noWrap align=left></TD>

   <TD width="5%" 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>Republic of</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="8%" noWrap align=left>&nbsp;</TD>

   <TD width="7%" noWrap align=left></TD>

   <TD width="5%" 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="7%" noWrap align=left></TD>

   <TD width="5%" 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>B3</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=right><FONT size=1 face=sans-serif>82,442</FONT>&nbsp;</TD>

   <TD width="7%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="5%" noWrap align=right><FONT size=1 face=sans-serif>705,000</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>3/20/17</FONT>&nbsp;</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>(4,212)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=9>

   <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="7%" noWrap align=left></TD>

   <TD width="5%" 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="7%" noWrap align=left></TD>

   <TD width="5%" 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>B1</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="7%" noWrap align=right><FONT size=1 face=sans-serif><FONT size=1 face=sans-serif>EUR</FONT></FONT>&nbsp;</TD>

   <TD width="5%" noWrap align=right><FONT size=1 face=sans-serif>425,000</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=right><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>55,449</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=9>

   <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="7%" noWrap align=left></TD>

   <TD width="5%" 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="7%" noWrap align=left></TD>

   <TD width="5%" 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>BB&#8211;</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="7%" noWrap align=right><FONT size=1 face=sans-serif><FONT size=1 face=sans-serif>EUR</FONT></FONT>&nbsp;</TD>

   <TD width="5%" noWrap align=right><FONT size=1 face=sans-serif>400,000</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=right><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>29,014</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=9>

   <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="7%" noWrap align=left></TD>

   <TD width="5%" 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="7%" noWrap align=left></TD>

   <TD width="5%" 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>BB&#8211;</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="7%" noWrap align=right><FONT size=1 face=sans-serif><FONT size=1 face=sans-serif>EUR</FONT></FONT>&nbsp;</TD>

   <TD width="5%" noWrap align=right><FONT size=1 face=sans-serif>400,000</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=right><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>33,654</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=9>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left><B><FONT size=1 face=sans-serif>JPMorgan Chase Bank NA</FONT></B>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="8%" noWrap align=left>&nbsp;</TD>

   <TD width="7%" noWrap align=left></TD>

   <TD width="5%" 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="7%" noWrap align=left></TD>

   <TD width="5%" 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>18 Index</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left><FONT size=1 face=sans-serif>B+/P</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=right><FONT size=1 face=sans-serif>67,777</FONT>&nbsp;</TD>

   <TD width="7%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="5%" noWrap align=right><FONT size=1 face=sans-serif>$2,582,000</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>6/20/17</FONT>&nbsp;</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>(6,198)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=9>

   <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 LLC</FONT></B>&nbsp;</TD>

   <TD width="7%" noWrap align=left><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="5%" 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>Republic of</FONT>&nbsp;</TD>

   <TD width="10%" noWrap align=left>&nbsp;</TD>

   <TD width="8%" noWrap align=left>&nbsp;</TD>

   <TD width="7%" noWrap align=left></TD>

   <TD width="5%" 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="7%" noWrap align=left></TD>

   <TD width="5%" 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>B2</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="7%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="5%" noWrap align=right><FONT size=1 face=sans-serif>510,000</FONT>&nbsp;</TD>

   <TD width="8%" noWrap align=right><FONT size=1 face=sans-serif></FONT></TD>

   <TD width="12%" noWrap align=left><FONT size=1 face=sans-serif>10/20/12</FONT>&nbsp;</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>9,761</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=9>

   <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="7%" noWrap align=left></TD>

   <TD width="5%" 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>$495,615</FONT></B>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><B><SUP><FONT size=1 face=sans-serif></FONT></SUP></B>&nbsp;</P>

<P style="MARGIN: 0px"><B><SUP><FONT size=1 face=sans-serif>* </FONT></SUP></B><FONT size=1 face=sans-serif>Payments related to the referenced debt are made upon a credit default event.</FONT></P>

<P style="TEXT-ALIGN: left"><B><SUP><FONT size=1 face=sans-serif>** </FONT></SUP></B><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"><B><SUP><FONT size=1 face=sans-serif>*** </FONT></SUP></B><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 March&nbsp;31, 2012. Securities rated by Putnam are indicated by &#8220;/P.&#8221; Securities rated by Fitch are indicated by &#8220;/F.&#8221;</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>83</FONT></P></DIV>

<HR align=center SIZE=2 width="100%" noShade>



<!--$$/page=--><A name="page_85"></A><BR>

<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: 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: 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: 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=center><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>$94</FONT>&nbsp;</TD>

   <TD width="25%" colSpan=2 noWrap align=right><FONT size=1 face=sans-serif>$7</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><FONT size=1 face=sans-serif>Health care</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>7,712</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><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>7,712</FONT></B>&nbsp;</TD>

   <TD width="25%" noWrap align=right><B><FONT size=1 face=sans-serif>94</FONT></B>&nbsp;</TD>

   <TD width="25%" colSpan=2 noWrap align=right><B><FONT size=1 face=sans-serif>3,098</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left><B><FONT size=1 face=sans-serif>&nbsp;</FONT></B></TD>

   <TD width="25%" noWrap align=right><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="25%" noWrap align=right><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="25%" colSpan=2 noWrap align=right><B><FONT size=1 face=sans-serif></FONT></B></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>$16,662,021</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>424,576</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>304,317</FONT>&nbsp;</TD>

   <TD width="25%" colSpan=2 noWrap align=right><FONT size=1 face=sans-serif>7</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>107,281,709</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>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>26,787,034</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>122,435,662</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>164,953</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>34,684,705</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>7,341,583</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>93,298,987</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>1,438,550</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>411</FONT>&nbsp;</TD>

   <TD width="25%" colSpan=2 noWrap align=right><FONT size=1 face=sans-serif>24,050</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>4,316,212</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>83,036,068</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>$4,323,924</FONT></B>&nbsp;</TD>

   <TD width="25%" noWrap align=right><B><FONT size=1 face=sans-serif>$493,860,670</FONT></B>&nbsp;</TD>

   <TD width="25%" colSpan=2 noWrap align=right><B><FONT size=1 face=sans-serif>$27,155</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left><B><FONT size=1 face=sans-serif>&nbsp;</FONT></B></TD>

   <TD width="25%" noWrap align=right><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="25%" noWrap align=right><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="25%" colSpan=2 noWrap align=right><B><FONT size=1 face=sans-serif></FONT></B></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=center><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>$(2,525,230)</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>(215,722)</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>(36,680,927)</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>TBA sale commitments</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>(37,994,375)</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>(2,502,619)</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>601,815</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>364,001</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>$(215,722)</FONT></B>&nbsp;</TD>

   <TD width="25%" noWrap align=right><B><FONT size=1 face=sans-serif>$(78,737,335)</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"><FONT size=1 face=sans-serif></FONT>&nbsp;</P>

<P style="MARGIN: 0px"><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>84</FONT></P></DIV>

<HR align=center SIZE=2 width="100%" noShade>



<!--$$/page=--><A name="page_86"></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>3/31/12 (Unaudited)</FONT></P>

<DIV align=left>

<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="82%"></TD>

   <TD width="17%"></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 vAlign=bottom>

   <TD colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

</FONT></B></TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=1 face=sans-serif>Investment in securities, at value, including of securities on loan (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 $493,348,823)</FONT>&nbsp;</TD>

   <TD noWrap align=right><FONT size=1 face=sans-serif>$493,895,537</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=1 face=sans-serif>Affiliated issuers (identified cost $4,316,212) (Notes 1 and 6)</FONT>&nbsp;</TD>

   <TD noWrap align=right><FONT size=1 face=sans-serif>4,316,212</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>106,319</FONT>&nbsp;</TD></TR>

<TR>

   <TD colSpan=2>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=1 face=sans-serif>Foreign currency (cost $57,330) (Note 1)</FONT>&nbsp;</TD>

   <TD noWrap align=right><FONT size=1 face=sans-serif>57,357</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>4,190,638</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>2,696,364</FONT>&nbsp;</TD></TR>

<TR>

   <TD colSpan=2>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=1 face=sans-serif>Receivable for sales of delayed delivery securities (Note 1)</FONT>&nbsp;</TD>

   <TD noWrap align=right><FONT size=1 face=sans-serif>38,243,450</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>1,437,055</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>9,783,381</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>346,289</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>555,072,602</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 vAlign=bottom>

   <TD colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

</FONT></B></TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=1 face=sans-serif>Payable for variation margin (Note 1)</FONT>&nbsp;</TD>

   <TD noWrap align=right><FONT size=1 face=sans-serif>10,376</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 payable to shareholders</FONT>&nbsp;</TD>

   <TD noWrap align=right><FONT size=1 face=sans-serif>1,909,634</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>8,303,796</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>93,609,861</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>654,996</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>14,920</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>Payable for custodian fees (Note 2)</FONT>&nbsp;</TD>

   <TD noWrap align=right><FONT size=1 face=sans-serif>68,709</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>133,467</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>1,419</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>3,962,285</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>11,467,768</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>198,705</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 $28,777,407) (Notes 1 and 3)</FONT>&nbsp;</TD>

   <TD noWrap align=right><FONT size=1 face=sans-serif>36,680,927</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>1,438,550</FONT>&nbsp;</TD></TR>

<TR>

   <TD colSpan=2>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=1 face=sans-serif>TBA sale commitments, at value (proceeds receivable $37,976,680) (Note 1)</FONT>&nbsp;</TD>

   <TD noWrap align=right><FONT size=1 face=sans-serif>37,994,375</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>115,200</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>196,564,988</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <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>$358,507,614</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 vAlign=bottom>

   <TD colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

</FONT></B></TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=1 face=sans-serif>Paid-in capital (Unlimited shares authorized) (Notes 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>(6,828,469)</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>(136,168,598)</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>(11,809,744)</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>$358,507,614</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 vAlign=bottom>

   <TD colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

</FONT></B></TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><B><FONT size=1 face=sans-serif>Net asset value per share</FONT></B>&nbsp;</TD>

   <TD noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=1 face=sans-serif>($358,507,614 divided by 65,690,624 shares)</FONT>&nbsp;</TD>

   <TD noWrap align=right><FONT size=1 face=sans-serif>$5.46</FONT>&nbsp;</TD></TR>

<TR>

   <TD colSpan=2>

   <HR SIZE=1 noShade>

</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><FONT size=1 face=sans-serif></FONT>&nbsp;</P>

<P style="MARGIN: 0px"><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>85</FONT></P></DIV>

<HR align=center SIZE=2 width="100%" noShade>



<!--$$/page=--><A name="page_87"></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>Six months ended 3/31/12 (Unaudited)</FONT></P>

<DIV align=left>

<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="85%"></TD>

   <TD width="14%"></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 vAlign=bottom>

   <TD colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

</FONT></B></TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=1 face=sans-serif>Interest (net of foreign tax of $6,998) (including interest income of $17,179 from investments</FONT>&nbsp;</TD>

   <TD noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=1 face=sans-serif>in affiliated issuers) (Note 6)</FONT>&nbsp;</TD>

   <TD noWrap align=right><FONT size=1 face=sans-serif>$11,920,284</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 (net of foreign tax of $6,998)</FONT>&nbsp;</TD>

   <TD noWrap align=right><FONT size=1 face=sans-serif>11,331</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>11,931,615</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 vAlign=bottom>

   <TD colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

</FONT></B></TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=1 face=sans-serif>Compensation of Manager (Note 2)</FONT>&nbsp;</TD>

   <TD noWrap align=right><FONT size=1 face=sans-serif>1,309,601</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>87,949</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>56,674</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>15,191</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>4,381</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>218,937</FONT>&nbsp;</TD></TR>

<TR>

   <TD colSpan=2>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><B><FONT size=1 face=sans-serif>Total expenses</FONT></B>&nbsp;</TD>

   <TD noWrap align=right><B><FONT size=1 face=sans-serif>1,692,733</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <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><FONT size=1 face=sans-serif>Expense reduction (Note 2)</FONT>&nbsp;</TD>

   <TD noWrap align=right><FONT size=1 face=sans-serif>(139)</FONT>&nbsp;</TD></TR>

<TR>

   <TD colSpan=2>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><B><FONT size=1 face=sans-serif>Net expenses</FONT></B>&nbsp;</TD>

   <TD noWrap align=right><B><FONT size=1 face=sans-serif>1,692,594</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <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>10,239,021</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 loss on investments (Notes 1 and 3)</FONT>&nbsp;</TD>

   <TD noWrap align=right><FONT size=1 face=sans-serif>(13,597,850)</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 swap contracts (Note 1)</FONT>&nbsp;</TD>

   <TD noWrap align=right><FONT size=1 face=sans-serif>(27,229,167)</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 futures contracts (Note 1)</FONT>&nbsp;</TD>

   <TD noWrap align=right><FONT size=1 face=sans-serif>1,982,670</FONT>&nbsp;</TD></TR>

<TR>

   <TD colSpan=2>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=1 face=sans-serif>Net realized loss on written options (Notes 1 and 3)</FONT>&nbsp;</TD>

   <TD noWrap align=right><FONT size=1 face=sans-serif>(1,579,881)</FONT>&nbsp;</TD></TR>

<TR>

   <TD colSpan=2>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=1 face=sans-serif>Net realized gain on foreign currency transactions (Note 1)</FONT>&nbsp;</TD>

   <TD noWrap align=right><FONT size=1 face=sans-serif>3,890,765</FONT>&nbsp;</TD></TR>

<TR>

   <TD colSpan=2>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=1 face=sans-serif>Net unrealized depreciation of assets and liabilities in foreign currencies during the period</FONT>&nbsp;</TD>

   <TD noWrap align=right><FONT size=1 face=sans-serif>(6,261,504)</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 investments, futures contracts, swap contracts, written options,</FONT>&nbsp;</TD>

   <TD noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=1 face=sans-serif>and TBA sale commitments during the period</FONT>&nbsp;</TD>

   <TD noWrap align=right><FONT size=1 face=sans-serif>51,465,786</FONT>&nbsp;</TD></TR>

<TR>

   <TD colSpan=2>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><B><FONT size=1 face=sans-serif>Net gain on investments</FONT></B>&nbsp;</TD>

   <TD noWrap align=right><B><FONT size=1 face=sans-serif>8,670,819</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <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 increase in net assets resulting from operations</FONT></B>&nbsp;</TD>

   <TD noWrap align=right><B><FONT size=1 face=sans-serif>$18,909,840</FONT></B>&nbsp;</TD></TR>

<TR>

   <TD colSpan=2>

   <HR SIZE=1 noShade>

</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><FONT size=1 face=sans-serif></FONT>&nbsp;</P>

<P style="MARGIN: 0px"><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 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>INCREASE (DECREASE) IN NET ASSETS</FONT></B>&nbsp;</TD>

   <TD width="20%" noWrap align=right><B><FONT size=1 face=sans-serif>Six months ended 3/31/12*</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></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>$10,239,021</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>$22,867,685</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 (loss) on investments</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 foreign currency transactions</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>(36,533,463)</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>30,365,452</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 appreciation (depreciation) of investments</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 assets and liabilities in foreign currencies</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>45,204,282</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>(55,098,101)</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>18,909,840</FONT></B>&nbsp;</TD>

   <TD width="20%" noWrap align=right><B><FONT size=1 face=sans-serif>(1,864,964)</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>(11,430,169)</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>(30,037,712)</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>&#8212;</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>1,575,240</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 increase (decrease) in net assets</FONT></B>&nbsp;</TD>

   <TD width="20%" noWrap align=right><B><FONT size=1 face=sans-serif>7,479,671</FONT></B>&nbsp;</TD>

   <TD width="20%" noWrap align=right><B><FONT size=1 face=sans-serif>(30,327,436)</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 period</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>351,027,943</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>381,355,379</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 period </FONT></B><FONT size=1 face=sans-serif>(including distributions in excess</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 net investment income of $6,828,469 and $5,637,321,</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>respectively)</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=right><B><FONT size=1 face=sans-serif>$358,507,614</FONT></B>&nbsp;</TD>

   <TD width="20%" noWrap align=right><B><FONT size=1 face=sans-serif>$351,027,943</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 period</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>

<TR vAlign=bottom>

   <TD width="59%" noWrap align=left><FONT size=1 face=sans-serif>Shares issued in connection with 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>&#8212;</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>266,318</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 period</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>65,690,624</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></FONT>&nbsp;</P>

<P style="MARGIN: 0px"><FONT size=1 face=sans-serif>* </FONT><FONT size=1 face=sans-serif>Unaudited</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>The accompanying notes are an integral part of these financial statements.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>87</FONT></P></DIV>

<HR align=center SIZE=2 width="100%" noShade>



<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>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="21%"></TD>

   <TD width="13%"></TD>

   <TD width="13%" align=right></TD>

   <TD width="13%" align=right></TD>

   <TD width="13%" align=right></TD>

   <TD width="13%" align=right></TD>

   <TD width="13%" align=right></TD></TR>

<TR vAlign=bottom>

   <TD width="34%" colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>PER-SHARE OPERATING PERFORMANCE</FONT></B>&nbsp;</TD>

   <TD width="13%" noWrap align=right>&nbsp;</TD>

   <TD width="13%" noWrap align=right>&nbsp;</TD>

   <TD width="13%" noWrap align=right>&nbsp;</TD>

   <TD width="13%" noWrap align=right>&nbsp;</TD>

   <TD width="13%" noWrap align=right>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="21%" noWrap align=center></TD>

   <TD style="TEXT-INDENT: 40px" width="26%" colSpan=2 noWrap align=left><B><FONT size=1 face=sans-serif>Six months ended**</FONT></B> <B><FONT size=1 face=sans-serif></FONT></B>&nbsp;</TD>

   <TD width="13%" noWrap align=center><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="13%" noWrap align=center><B><FONT size=1 face=sans-serif>Year ended</FONT></B>&nbsp;</TD>

   <TD width="13%" noWrap align=center>&nbsp;</TD>

   <TD width="13%" noWrap align=center>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="21%" noWrap align=center></TD>

   <TD width="13%" noWrap align=center><B><FONT size=1 face=sans-serif></FONT></B></TD>

   <TD width="65%" colSpan=5 noWrap align=right>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="21%" noWrap align=left>&nbsp;</TD>

   <TD width="13%" noWrap align=right><B><FONT size=1 face=sans-serif>3/31/12</FONT></B>&nbsp;</TD>

   <TD width="13%" noWrap align=right><B><FONT size=1 face=sans-serif>9/30/11</FONT></B>&nbsp;</TD>

   <TD width="13%" noWrap align=right><B><FONT size=1 face=sans-serif>9/30/10</FONT></B>&nbsp;</TD>

   <TD width="13%" noWrap align=right><B><FONT size=1 face=sans-serif>9/30/09</FONT></B>&nbsp;</TD>

   <TD width="13%" noWrap align=right><B><FONT size=1 face=sans-serif>9/30/08</FONT></B>&nbsp;</TD>

   <TD width="13%" noWrap align=right><B><FONT size=1 face=sans-serif>9/30/07</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="99%" colSpan=7 noWrap align=right>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="21%" noWrap align=left><B><FONT size=1 face=sans-serif>Net asset value,</FONT></B>&nbsp;</TD>

   <TD width="13%" noWrap align=left>&nbsp;</TD>

   <TD width="13%" noWrap align=right>&nbsp;</TD>

   <TD width="13%" noWrap align=right>&nbsp;</TD>

   <TD width="13%" noWrap align=right>&nbsp;</TD>

   <TD width="13%" noWrap align=right>&nbsp;</TD>

   <TD width="13%" noWrap align=right>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="21%" noWrap align=left><B><FONT size=1 face=sans-serif>beginning of period</FONT></B>&nbsp;</TD>

   <TD width="13%" noWrap align=right><B><FONT size=1 face=sans-serif>$5.34</FONT></B>&nbsp;</TD>

   <TD width="13%" noWrap align=right><B><FONT size=1 face=sans-serif>$5.83</FONT></B>&nbsp;</TD>

   <TD width="13%" noWrap align=right><B><FONT size=1 face=sans-serif>$5.94</FONT></B>&nbsp;</TD>

   <TD width="13%" noWrap align=right><B><FONT size=1 face=sans-serif>$5.88</FONT></B>&nbsp;</TD>

   <TD width="13%" noWrap align=right><B><FONT size=1 face=sans-serif>$7.13</FONT></B>&nbsp;</TD>

   <TD width="13%" noWrap align=right><B><FONT size=1 face=sans-serif>$7.08</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="21%" noWrap align=left><I><FONT size=1 face=sans-serif>Investment operations:</FONT></I>&nbsp;</TD>

   <TD width="13%" noWrap align=left>&nbsp;</TD>

   <TD width="13%" noWrap align=right>&nbsp;</TD>

   <TD width="13%" noWrap align=right>&nbsp;</TD>

   <TD width="13%" noWrap align=right>&nbsp;</TD>

   <TD width="13%" noWrap align=right>&nbsp;</TD>

   <TD width="13%" noWrap align=right>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7 align=right>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="21%" 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="13%" noWrap align=right><FONT size=1 face=sans-serif>.16</FONT>&nbsp;</TD>

   <TD width="13%" noWrap align=right><FONT size=1 face=sans-serif>.35</FONT>&nbsp;</TD>

   <TD width="13%" noWrap align=right><FONT size=1 face=sans-serif>.58</FONT>&nbsp;</TD>

   <TD width="13%" noWrap align=right><FONT size=1 face=sans-serif>.34</FONT>&nbsp;</TD>

   <TD width="13%" noWrap align=right><FONT size=1 face=sans-serif>.49 </FONT><B><SUP><FONT size=1 face=sans-serif>f</FONT></SUP></B>&nbsp;</TD>

   <TD width="13%" noWrap align=right><FONT size=1 face=sans-serif>.36 </FONT><B><SUP><FONT size=1 face=sans-serif>f</FONT></SUP></B>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7 align=right>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="21%" noWrap align=left><FONT size=1 face=sans-serif>Net realized and unrealized</FONT>&nbsp;</TD>

   <TD width="13%" noWrap align=left>&nbsp;</TD>

   <TD width="13%" noWrap align=right>&nbsp;</TD>

   <TD width="13%" noWrap align=right>&nbsp;</TD>

   <TD width="13%" noWrap align=right>&nbsp;</TD>

   <TD width="13%" noWrap align=right>&nbsp;</TD>

   <TD width="13%" noWrap align=right>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="21%" noWrap align=left><FONT size=1 face=sans-serif>gain (loss) on investments</FONT>&nbsp;</TD>

   <TD width="13%" noWrap align=right><FONT size=1 face=sans-serif>.13</FONT>&nbsp;</TD>

   <TD width="13%" noWrap align=right><FONT size=1 face=sans-serif>(.38)</FONT>&nbsp;</TD>

   <TD width="13%" noWrap align=right><FONT size=1 face=sans-serif>.39</FONT>&nbsp;</TD>

   <TD width="13%" noWrap align=right><FONT size=1 face=sans-serif>.24</FONT>&nbsp;</TD>

   <TD width="13%" noWrap align=right><FONT size=1 face=sans-serif>(1.28)</FONT>&nbsp;</TD>

   <TD width="13%" noWrap align=right><FONT size=1 face=sans-serif>.01</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7 align=right>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="21%" noWrap align=left><B><FONT size=1 face=sans-serif>Total from</FONT></B>&nbsp;</TD>

   <TD width="13%" noWrap align=left>&nbsp;</TD>

   <TD width="13%" noWrap align=right>&nbsp;</TD>

   <TD width="13%" noWrap align=right>&nbsp;</TD>

   <TD width="13%" noWrap align=right>&nbsp;</TD>

   <TD width="13%" noWrap align=right>&nbsp;</TD>

   <TD width="13%" noWrap align=right>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="21%" noWrap align=left><B><FONT size=1 face=sans-serif>investment operations</FONT></B>&nbsp;</TD>

   <TD width="13%" noWrap align=right><B><FONT size=1 face=sans-serif>.29</FONT></B>&nbsp;</TD>

   <TD width="13%" noWrap align=right><B><FONT size=1 face=sans-serif>(.03)</FONT></B>&nbsp;</TD>

   <TD width="13%" noWrap align=right><B><FONT size=1 face=sans-serif>.97</FONT></B>&nbsp;</TD>

   <TD width="13%" noWrap align=right><B><FONT size=1 face=sans-serif>.58</FONT></B>&nbsp;</TD>

   <TD width="13%" noWrap align=right><B><FONT size=1 face=sans-serif>(.79)</FONT></B>&nbsp;</TD>

   <TD width="13%" noWrap align=right><B><FONT size=1 face=sans-serif>.37</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="21%" noWrap align=left><I><FONT size=1 face=sans-serif>Less distributions:</FONT></I>&nbsp;</TD>

   <TD width="13%" noWrap align=left>&nbsp;</TD>

   <TD width="13%" noWrap align=right>&nbsp;</TD>

   <TD width="13%" noWrap align=right>&nbsp;</TD>

   <TD width="13%" noWrap align=right>&nbsp;</TD>

   <TD width="13%" noWrap align=right>&nbsp;</TD>

   <TD width="13%" noWrap align=right>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7 align=right>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="21%" noWrap align=left><FONT size=1 face=sans-serif>From net investment income</FONT>&nbsp;</TD>

   <TD width="13%" noWrap align=right><FONT size=1 face=sans-serif>(.17)</FONT>&nbsp;</TD>

   <TD width="13%" noWrap align=right><FONT size=1 face=sans-serif>(.46)</FONT>&nbsp;</TD>

   <TD width="13%" noWrap align=right><FONT size=1 face=sans-serif>(1.08)</FONT>&nbsp;</TD>

   <TD width="13%" noWrap align=right><FONT size=1 face=sans-serif>(.54)</FONT>&nbsp;</TD>

   <TD width="13%" noWrap align=right><FONT size=1 face=sans-serif>(.49)</FONT>&nbsp;</TD>

   <TD width="13%" noWrap align=right><FONT size=1 face=sans-serif>(.36)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7 align=right>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="21%" noWrap align=left><B><FONT size=1 face=sans-serif>Total distributions</FONT></B>&nbsp;</TD>

   <TD width="13%" noWrap align=right><B><FONT size=1 face=sans-serif>(.17)</FONT></B>&nbsp;</TD>

   <TD width="13%" noWrap align=right><B><FONT size=1 face=sans-serif>(.46)</FONT></B>&nbsp;</TD>

   <TD width="13%" noWrap align=right><B><FONT size=1 face=sans-serif>(1.08)</FONT></B>&nbsp;</TD>

   <TD width="13%" noWrap align=right><B><FONT size=1 face=sans-serif>(.54)</FONT></B>&nbsp;</TD>

   <TD width="13%" noWrap align=right><B><FONT size=1 face=sans-serif>(.49)</FONT></B>&nbsp;</TD>

   <TD width="13%" noWrap align=right><B><FONT size=1 face=sans-serif>(.36)</FONT></B>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7 align=right>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="21%" noWrap align=left><B><FONT size=1 face=sans-serif>Increase from shares repurchased</FONT></B>&nbsp;</TD>

   <TD width="13%" noWrap align=left>&nbsp;</TD>

   <TD width="13%" noWrap align=right><B><FONT size=1 face=sans-serif>&#8212;</FONT></B>&nbsp;</TD>

   <TD width="13%" noWrap align=right><B><FONT size=1 face=sans-serif>&#8212;</FONT></B>&nbsp;</TD>

   <TD width="13%" noWrap align=right><B><FONT size=1 face=sans-serif>.02</FONT></B>&nbsp;</TD>

   <TD width="13%" noWrap align=right><B><FONT size=1 face=sans-serif>.03</FONT></B>&nbsp;</TD>

   <TD width="13%" noWrap align=right><B><FONT size=1 face=sans-serif>.04</FONT></B>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7 align=right>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="21%" noWrap align=left><B><FONT size=1 face=sans-serif>Net asset value,</FONT></B>&nbsp;</TD>

   <TD width="13%" noWrap align=left>&nbsp;</TD>

   <TD width="13%" noWrap align=right>&nbsp;</TD>

   <TD width="13%" noWrap align=right>&nbsp;</TD>

   <TD width="13%" noWrap align=right>&nbsp;</TD>

   <TD width="13%" noWrap align=right>&nbsp;</TD>

   <TD width="13%" noWrap align=right>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="21%" noWrap align=left><B><FONT size=1 face=sans-serif>end of period</FONT></B>&nbsp;</TD>

   <TD width="13%" noWrap align=right><B><FONT size=1 face=sans-serif>$5.46</FONT></B>&nbsp;</TD>

   <TD width="13%" noWrap align=right><B><FONT size=1 face=sans-serif>$5.34</FONT></B>&nbsp;</TD>

   <TD width="13%" noWrap align=right><B><FONT size=1 face=sans-serif>$5.83</FONT></B>&nbsp;</TD>

   <TD width="13%" noWrap align=right><B><FONT size=1 face=sans-serif>$5.94</FONT></B>&nbsp;</TD>

   <TD width="13%" noWrap align=right><B><FONT size=1 face=sans-serif>$5.88</FONT></B>&nbsp;</TD>

   <TD width="13%" noWrap align=right><B><FONT size=1 face=sans-serif>$7.13</FONT></B>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7 align=right>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="21%" noWrap align=left><B><FONT size=1 face=sans-serif>Market value,</FONT></B>&nbsp;</TD>

   <TD width="13%" noWrap align=left>&nbsp;</TD>

   <TD width="13%" noWrap align=right>&nbsp;</TD>

   <TD width="13%" noWrap align=right>&nbsp;</TD>

   <TD width="13%" noWrap align=right>&nbsp;</TD>

   <TD width="13%" noWrap align=right>&nbsp;</TD>

   <TD width="13%" noWrap align=right>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="21%" noWrap align=left><B><FONT size=1 face=sans-serif>end of period</FONT></B>&nbsp;</TD>

   <TD width="13%" noWrap align=right><B><FONT size=1 face=sans-serif>$5.15</FONT></B>&nbsp;</TD>

   <TD width="13%" noWrap align=right><B><FONT size=1 face=sans-serif>$5.05</FONT></B>&nbsp;</TD>

   <TD width="13%" noWrap align=right><B><FONT size=1 face=sans-serif>$6.28</FONT></B>&nbsp;</TD>

   <TD width="13%" noWrap align=right><B><FONT size=1 face=sans-serif>$5.99</FONT></B>&nbsp;</TD>

   <TD width="13%" noWrap align=right><B><FONT size=1 face=sans-serif>$5.39</FONT></B>&nbsp;</TD>

   <TD width="13%" noWrap align=right><B><FONT size=1 face=sans-serif>$6.41</FONT></B>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7 align=right>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="21%" noWrap align=left><B><FONT size=1 face=sans-serif>Total return at</FONT></B>&nbsp;</TD>

   <TD width="13%" noWrap align=left>&nbsp;</TD>

   <TD width="13%" noWrap align=right>&nbsp;</TD>

   <TD width="13%" noWrap align=right>&nbsp;</TD>

   <TD width="13%" noWrap align=right>&nbsp;</TD>

   <TD width="13%" noWrap align=right>&nbsp;</TD>

   <TD width="13%" noWrap align=right>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="21%" noWrap align=left><B><FONT size=1 face=sans-serif>market value (%) </FONT></B><B><SUP><FONT size=1 face=sans-serif>b</FONT></SUP></B>&nbsp;</TD>

   <TD width="13%" noWrap align=right><B><FONT size=1 face=sans-serif>5.51 </FONT></B><FONT size=1 face=sans-serif>*</FONT>&nbsp;</TD>

   <TD width="13%" noWrap align=right><B><FONT size=1 face=sans-serif>(13.01)</FONT></B>&nbsp;</TD>

   <TD width="13%" noWrap align=right><B><FONT size=1 face=sans-serif>25.33</FONT></B>&nbsp;</TD>

   <TD width="13%" noWrap align=right><B><FONT size=1 face=sans-serif>24.66</FONT></B>&nbsp;</TD>

   <TD width="13%" noWrap align=right><B><FONT size=1 face=sans-serif>(8.92)</FONT></B>&nbsp;</TD>

   <TD width="13%" noWrap align=right><B><FONT size=1 face=sans-serif>10.15</FONT></B>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7 align=right>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="21%" noWrap align=left><B><FONT size=1 face=sans-serif>RATIOS AND SUPPLEMENTAL DATA</FONT></B>&nbsp;</TD>

   <TD width="13%" noWrap align=left>&nbsp;</TD>

   <TD width="13%" noWrap align=right>&nbsp;</TD>

   <TD width="13%" noWrap align=right>&nbsp;</TD>

   <TD width="13%" noWrap align=right>&nbsp;</TD>

   <TD width="13%" noWrap align=right>&nbsp;</TD>

   <TD width="13%" noWrap align=right>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <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="21%" noWrap align=left><B><FONT size=1 face=sans-serif>Net assets, end of period</FONT></B>&nbsp;</TD>

   <TD width="13%" noWrap align=left>&nbsp;</TD>

   <TD width="13%" noWrap align=right>&nbsp;</TD>

   <TD width="13%" noWrap align=right>&nbsp;</TD>

   <TD width="13%" noWrap align=right>&nbsp;</TD>

   <TD width="13%" noWrap align=right>&nbsp;</TD>

   <TD width="13%" noWrap align=right>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="21%" noWrap align=left><FONT size=1 face=sans-serif>(in thousands)</FONT>&nbsp;</TD>

   <TD width="13%" noWrap align=right><B><FONT size=1 face=sans-serif>$358,508</FONT></B>&nbsp;</TD>

   <TD width="13%" noWrap align=right><B><FONT size=1 face=sans-serif>$351,028</FONT></B>&nbsp;</TD>

   <TD width="13%" noWrap align=right><B><FONT size=1 face=sans-serif>$381,355</FONT></B>&nbsp;</TD>

   <TD width="13%" noWrap align=right><B><FONT size=1 face=sans-serif>$383,388</FONT></B>&nbsp;</TD>

   <TD width="13%" noWrap align=right><B><FONT size=1 face=sans-serif>$391,973</FONT></B>&nbsp;</TD>

   <TD width="13%" noWrap align=right><B><FONT size=1 face=sans-serif>$578,811</FONT></B>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7 align=right>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="21%" noWrap align=left><FONT size=1 face=sans-serif>Ratio of expenses to</FONT>&nbsp;</TD>

   <TD width="13%" noWrap align=left>&nbsp;</TD>

   <TD width="13%" noWrap align=right>&nbsp;</TD>

   <TD width="13%" noWrap align=right>&nbsp;</TD>

   <TD width="13%" noWrap align=right>&nbsp;</TD>

   <TD width="13%" noWrap align=right>&nbsp;</TD>

   <TD width="13%" noWrap align=right>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="21%" noWrap align=left><FONT size=1 face=sans-serif>average net assets (%) </FONT><B><SUP><FONT size=1 face=sans-serif>c</FONT></SUP></B>&nbsp;</TD>

   <TD width="13%" noWrap align=right><FONT size=1 face=sans-serif>.48 *</FONT>&nbsp;</TD>

   <TD width="13%" noWrap align=right><FONT size=1 face=sans-serif>.94</FONT>&nbsp;</TD>

   <TD width="13%" noWrap align=right><FONT size=1 face=sans-serif>.94 </FONT><B><SUP><FONT size=1 face=sans-serif>d</FONT></SUP></B>&nbsp;</TD>

   <TD width="13%" noWrap align=right><FONT size=1 face=sans-serif>1.02 </FONT><B><SUP><FONT size=1 face=sans-serif>d</FONT></SUP></B>&nbsp;</TD>

   <TD width="13%" noWrap align=right><FONT size=1 face=sans-serif>.96 </FONT><B><SUP><FONT size=1 face=sans-serif>f</FONT></SUP></B>&nbsp;</TD>

   <TD width="13%" noWrap align=right><FONT size=1 face=sans-serif>.90 </FONT><B><SUP><FONT size=1 face=sans-serif>f</FONT></SUP></B>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7 align=right>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="21%" noWrap align=left><FONT size=1 face=sans-serif>Ratio of expenses to</FONT>&nbsp;</TD>

   <TD width="13%" noWrap align=left>&nbsp;</TD>

   <TD width="13%" noWrap align=right>&nbsp;</TD>

   <TD width="13%" noWrap align=right>&nbsp;</TD>

   <TD width="13%" noWrap align=right>&nbsp;</TD>

   <TD width="13%" noWrap align=right>&nbsp;</TD>

   <TD width="13%" noWrap align=right>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="21%" noWrap align=left><FONT size=1 face=sans-serif>average net assets excluding</FONT>&nbsp;</TD>

   <TD width="13%" noWrap align=left>&nbsp;</TD>

   <TD width="13%" noWrap align=right>&nbsp;</TD>

   <TD width="13%" noWrap align=right>&nbsp;</TD>

   <TD width="13%" noWrap align=right>&nbsp;</TD>

   <TD width="13%" noWrap align=right>&nbsp;</TD>

   <TD width="13%" noWrap align=right>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="21%" noWrap align=left><FONT size=1 face=sans-serif>interest expense (%) </FONT><B><SUP><FONT size=1 face=sans-serif>c</FONT></SUP></B>&nbsp;</TD>

   <TD width="13%" noWrap align=right><FONT size=1 face=sans-serif>.48 *</FONT>&nbsp;</TD>

   <TD width="13%" noWrap align=right><FONT size=1 face=sans-serif>.94</FONT>&nbsp;</TD>

   <TD width="13%" noWrap align=right><FONT size=1 face=sans-serif>.94</FONT>&nbsp;</TD>

   <TD width="13%" noWrap align=right><FONT size=1 face=sans-serif>.98</FONT>&nbsp;</TD>

   <TD width="13%" noWrap align=right><FONT size=1 face=sans-serif>.96 </FONT><B><SUP><FONT size=1 face=sans-serif>f</FONT></SUP></B>&nbsp;</TD>

   <TD width="13%" noWrap align=right><FONT size=1 face=sans-serif>.90 </FONT><B><SUP><FONT size=1 face=sans-serif>f</FONT></SUP></B>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7 align=right>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="21%" noWrap align=left><FONT size=1 face=sans-serif>Ratio of net investment income</FONT>&nbsp;</TD>

   <TD width="13%" noWrap align=left>&nbsp;</TD>

   <TD width="13%" noWrap align=right>&nbsp;</TD>

   <TD width="13%" noWrap align=right>&nbsp;</TD>

   <TD width="13%" noWrap align=right>&nbsp;</TD>

   <TD width="13%" noWrap align=right>&nbsp;</TD>

   <TD width="13%" noWrap align=right>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="21%" noWrap align=left><FONT size=1 face=sans-serif>to average net assets (%)</FONT>&nbsp;</TD>

   <TD width="13%" noWrap align=right><FONT size=1 face=sans-serif>2.79 *</FONT>&nbsp;</TD>

   <TD width="13%" noWrap align=right><FONT size=1 face=sans-serif>5.97</FONT>&nbsp;</TD>

   <TD width="13%" noWrap align=right><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="13%" noWrap align=right><FONT size=1 face=sans-serif>7.05 </FONT><B><SUP><FONT size=1 face=sans-serif>d</FONT></SUP></B>&nbsp;</TD>

   <TD width="13%" noWrap align=right><FONT size=1 face=sans-serif>7.29 </FONT><B><SUP><FONT size=1 face=sans-serif>f</FONT></SUP></B>&nbsp;</TD>

   <TD width="13%" noWrap align=right><FONT size=1 face=sans-serif>5.01 </FONT><B><SUP><FONT size=1 face=sans-serif>f</FONT></SUP></B>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7 align=right>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="21%" 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="13%" noWrap align=right><FONT size=1 face=sans-serif>66 *</FONT>&nbsp;</TD>

   <TD width="13%" noWrap align=right><FONT size=1 face=sans-serif>171</FONT>&nbsp;</TD>

   <TD width="13%" noWrap align=right><FONT size=1 face=sans-serif>88</FONT>&nbsp;</TD>

   <TD width="13%" noWrap align=right><FONT size=1 face=sans-serif>223</FONT>&nbsp;</TD>

   <TD width="13%" noWrap align=right><FONT size=1 face=sans-serif>159</FONT>&nbsp;</TD>

   <TD width="13%" noWrap align=right><FONT size=1 face=sans-serif>78</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=7 align=right>

   <HR SIZE=1 noShade>

</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><FONT size=1 face=sans-serif></FONT>&nbsp;</P>

<P style="MARGIN: 0px"><FONT size=1 face=sans-serif>* Not annualized.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>** Unaudited.</FONT></P>

<P style="TEXT-ALIGN: left"><B><SUP><FONT size=1 face=sans-serif>a </FONT></SUP></B><FONT size=1 face=sans-serif>Per share net investment income has been determined on the basis of weighted average number of shares outstanding during the period.</FONT></P>

<P style="TEXT-ALIGN: left"><B><SUP><FONT size=1 face=sans-serif>b </FONT></SUP></B><FONT size=1 face=sans-serif>Total return assumes dividend reinvestment.</FONT></P>

<P style="TEXT-ALIGN: left"><B><SUP><FONT size=1 face=sans-serif>c </FONT></SUP></B><FONT size=1 face=sans-serif>Includes amounts paid through expense offset arrangements (Note 2).</FONT></P>

<P style="TEXT-ALIGN: left"><B><SUP><FONT size=1 face=sans-serif>d </FONT></SUP></B><FONT size=1 face=sans-serif>Includes interest accrued in connection with certain terminated derivative contracts, which amounted to 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 TBA 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>

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   <TD noWrap align=right><B><FONT size=1 face=sans-serif>Percentage of</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

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   <TD noWrap align=right><B><FONT size=1 face=sans-serif>average net assets</FONT></B>&nbsp;</TD></TR>

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   <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 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"><FONT size=1 face=sans-serif></FONT>&nbsp;</P>

<P style="MARGIN: 0px"><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>

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<P style="text-align: left;">
<B><FONT size=2 face="sans-serif">Notes to financial statements </FONT></B><FONT size=2 face="sans-serif">3/31/12 (Unaudited)</FONT></P>
<P style="text-align: left;">
<FONT size=1 face="sans-serif">Within the following Notes to financial statements, references to &#147;State Street&#148; represent State Street Bank and Trust Company, references to &#147;the SEC&#148; represent the Securities and Exchange Commission and references to &#147;Putnam Management&#148; represent Putnam Investment Management, LLC, the fund&#146;s manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC.</FONT></P>
<P style="text-align: left;">
<FONT size=1 face="sans-serif">Putnam Master Intermediate Income Trust (the fund) is a Massachusetts business trust, which is registered under the Investment Company Act of 1940, as amended, as a closed-end management investment company and is authorized to issue an unlimited number of shares. The investment objective of the fund 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.</FONT></P>
<P style="text-align: left;">
<FONT size=1 face="sans-serif">In the normal course of business, the fund enters into contracts that may include agreements to indemnify another party under given circumstances. The fund&#146;s maximum exposure under these arrangements is unknown as this would involve future claims that may be, but have not yet been, made against the fund. However, the fund&#146;s management team expects the risk of material loss to be remote.</FONT></P>
<P style="text-align: left;">
<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">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 &#147;reporting period&#148; represents the period from October 1, 2011 through March 31, 2012.</FONT></P>
<P style="text-align: left;">
<B><FONT size=1 face="sans-serif">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, as in the case of some securities traded over-the-counter, a security is valued at its last reported bid price and is generally categorized as a Level 2 security.</FONT></P>
<P style="text-align: left;">
<FONT size=1 face="sans-serif">Investments in other open-end investment companies (excluding exchange traded funds), which are classified as Level 1 securities, are based on their net asset value. The net asset value of an investment company equals the total value of its assets less its liabilities and divided by the number of its outstanding shares. Shares are only valued as of the close of regular trading on the New York Stock Exchange each day that the exchange is open.</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 Management. 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&#146;s fair value, the security will be valued at fair value by Putnam Management. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various</FONT></P>
<P style="text-align: left;">
<FONT size=1 face="sans-serif">89</FONT></P>
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<FONT size=1 face="sans-serif">relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures and recovery rates. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant&nbsp;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">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.</FONT></P>
<P style="text-align: left;">
<FONT size=1 face="sans-serif">The fund earned certain fees in connection with its senior loan purchasing activities. These fees are treated as market discount and are amortized into income in the Statement of operations.</FONT></P>
<P style="text-align: left;">
<B><FONT size=1 face="sans-serif">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">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&#146;s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized appreciation and depreciation of assets and liabilities in foreign currencies arise from changes in the value of open forward currency contracts and assets and liabilities other than investments at the period end, resulting from changes in the exchange rate.</FONT></P>
<P style="text-align: left;">
<B><FONT size=1 face="sans-serif">Options contracts </FONT></B><FONT size=1 face="sans-serif">The fund uses options contracts to hedge duration and convexity and to isolate prepayment risk.</FONT></P>
<P style="text-align: left;">
<FONT size=1 face="sans-serif">The potential risk to the fund is that the change in value of 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.</FONT></P>
<P style="text-align: left;">
<FONT size=1 face="sans-serif">90</FONT></P>
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<FONT size=1 face="sans-serif">Written option contracts outstanding at period end, if any, are listed after the fund&#146;s portfolio. See Note 3 for the volume of written options contracts activity for the reporting period. Outstanding contracts on purchased options 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">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.</FONT></P>
<P style="text-align: left;">
<FONT size=1 face="sans-serif">The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange&#146;s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. Risks may exceed amounts recognized on the Statement of assets and liabilities. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.</FONT></P>
<P style="text-align: left;">
<FONT size=1 face="sans-serif">Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as &#147;variation margin.&#148;</FONT></P>
<P style="text-align: left;">
<FONT size=1 face="sans-serif">Futures contracts outstanding at period end, if any, are listed after the fund&#146;s portfolio. The fund had an average of approximately 449 futures contracts outstanding for the reporting period.</FONT></P>
<P style="text-align: left;">
<B><FONT size=1 face="sans-serif">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.</FONT></P>
<P style="text-align: left;">
<FONT size=1 face="sans-serif">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. 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 when the contract matures or by delivery of the currency. 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.</FONT></P>
<P style="text-align: left;">
<FONT size=1 face="sans-serif">Forward currency contracts outstanding at period end, if any, are listed after the fund&#146;s portfolio. The fund had an average contract amount of approximately &#36;247,900,000 on forward currency contracts for the reporting period.</FONT></P>
<P style="text-align: left;">
<B><FONT size=1 face="sans-serif">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, to gain exposure to specific sectors or industries, to gain exposure to rates of inflation in specific regions or countries and to hedge inflation in specific regions or countries.</FONT></P>
<P style="text-align: left;">
<FONT size=1 face="sans-serif">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 of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. The fund&#146;s maximum risk of loss from counterparty risk is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the fund and the counterparty. Risk of loss may exceed amounts recognized on the Statement of assets and liabilities.</FONT></P>
<P style="text-align: left;">
<FONT size=1 face="sans-serif">Total return swap contracts outstanding at period end, if any, are listed after the fund&#146;s portfolio. The fund had an average notional amount of approximately &#36;140,000,000 on total return swap contracts for the reporting period.</FONT></P>
<P style="text-align: left;">
<B><FONT size=1 face="sans-serif">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.</FONT></P>
<P style="text-align: left;">
<FONT size=1 face="sans-serif">91</FONT></P>
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<FONT size=1 face="sans-serif">An interest rate swap can be purchased or sold with an upfront premium. An upfront payment received by the fund is recorded as a liability on the fund&#146;s books. An upfront payment made by the fund is recorded as an asset on the fund&#146;s books. 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&#146;s maximum risk of loss from counterparty risk is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the fund and the counterparty. Risk of loss may exceed amounts recognized on the Statement of assets and liabilities.</FONT></P>
<P style="text-align: left;">
<FONT size=1 face="sans-serif">Interest rate swap contracts outstanding at period end, if any, are listed after the fund&#146;s portfolio. The fund had an average notional amount of approximately &#36;3,919,400,000 on interest rate swap contracts for the reporting&nbsp;period.</FONT></P>
<P style="text-align: left;">
<B><FONT size=1 face="sans-serif">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.</FONT></P>
<P style="text-align: left;">
<FONT size=1 face="sans-serif">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 is recorded as a liability on the fund&#146;s books. An upfront payment made by the fund is recorded as an asset on the fund&#146;s books. 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&nbsp;loss.</FONT></P>
<P style="text-align: left;">
<FONT size=1 face="sans-serif">In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting credit default contracts which would mitigate its risk of loss. Risks of loss may exceed amounts recognized on the Statement of assets and liabilities. The fund&#146;s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the fund and the counterparty. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount of the relevant credit default contract.</FONT></P>
<P style="text-align: left;">
<FONT size=1 face="sans-serif">Credit default contracts outstanding, including their respective notional amounts at period end, if any, are listed after the fund&#146;s portfolio. The fund had an average notional amount of approximately &#36;13,800,000 on credit default swap contracts for the reporting period.</FONT></P>
<P style="text-align: left;">
<B><FONT size=1 face="sans-serif">Master agreements </FONT></B><FONT size=1 face="sans-serif">The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements (Master Agreements) with certain counterparties that govern over-the-counter derivative and foreign exchange contracts entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties&#146; general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund&#146;s custodian and with respect to those amounts which can be sold or repledged, are presented in the fund&#146;s portfolio. Collateral posted to the fund which cannot be sold or repledged totaled &#36;12,417,163 at the close of the reporting period.</FONT></P>
<P style="text-align: left;">
<FONT size=1 face="sans-serif">Collateral pledged by the fund is segregated by the fund&#146;s custodian and identified in the fund&#146;s portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund&#146;s net position with each counterparty.</FONT></P>
<P style="text-align: left;">
<FONT size=1 face="sans-serif">Termination events applicable to the fund may occur upon a decline in the fund&#146;s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty&#146;s long-term and short-term credit ratings below a specified level. In each case, upon occurrence,</FONT></P>
<P style="text-align: left;">
<FONT size=1 face="sans-serif">92</FONT></P>
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<FONT size=1 face="sans-serif">the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund&#146;s counterparties to elect early termination could impact the fund&#146;s future derivative activity.</FONT></P>
<P 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 &#36;19,591,729 on derivative contracts subject to the Master Agreements. Collateral posted by the fund totaled &#36;18,934,571.</FONT></P>
<P style="text-align: left;">
<B><FONT size=1 face="sans-serif">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&#146;s other assets. Unsettled TBA purchase commitments are valued at fair value of the underlying securities, according to the procedures described under &#147;Security valuation&#148; above. The contract is marked to market daily and the change in market value is recorded by the fund as an unrealized gain or loss.</FONT></P>
<P style="text-align: left;">
<FONT size=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">TBA sale commitments </FONT></B><FONT size=1 face="sans-serif">The fund may enter into TBA sale commitments to hedge its portfolio positions or to sell mortgage-backed securities it owns under delayed delivery arrangements. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as &#147;cover&#148; for the transaction.</FONT></P>
<P style="text-align: left;">
<FONT size=1 face="sans-serif">Unsettled TBA sale commitments are valued at the fair value of the underlying securities, generally according to the procedures described under &#147;Security valuation&#148; above. The contract is marked to market daily and the change in market value is recorded by the fund as an unrealized gain or loss. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into. TBA sale commitments outstanding at period end, if any, are listed after the fund&#146;s portfolio.</FONT></P>
<P style="text-align: left;">
<B><FONT size=1 face="sans-serif">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&#146;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;">
<B><FONT size=1 face="sans-serif">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.</FONT></P>
<P style="text-align: left;">
<FONT size=1 face="sans-serif">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&nbsp;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&#146;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">The fund may also be subject to taxes imposed by governments of countries in 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&#146;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;">
<FONT size=1 face="sans-serif">93</FONT></P>
</DIV>

<HR noshade align="center" width="100%" size=2>


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<DIV style="PADDING-LEFT: 0%; PADDING-RIGHT: 0%">

<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="15%"></TD>

   <TD width="28%"></TD>

   <TD width="28%"></TD>

   <TD width="28%"></TD></TR>

<TR vAlign=bottom>

   <TD width="99%" colSpan=4 align=center><B><FONT size=1 face=sans-serif>Loss carryover</FONT></B></TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="15%" noWrap align=left><B><FONT size=1 face=sans-serif>Short-term</FONT></B>&nbsp;</TD>

   <TD width="28%" noWrap align=right><B><FONT size=1 face=sans-serif>Long-term</FONT></B>&nbsp;</TD>

   <TD width="28%" noWrap align=right><B><FONT size=1 face=sans-serif>Total</FONT></B>&nbsp;</TD>

   <TD width="28%" noWrap align=right><B><FONT size=1 face=sans-serif>Expiration</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="99%" colSpan=4 noWrap align=left><B><FONT size=1 face=sans-serif></FONT></B><B><FONT size=1 face=sans-serif>

   <HR SIZE=1 noShade>

</FONT></B></TD></TR>

<TR vAlign=bottom>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>$7,342,291</FONT>&nbsp;</TD>

   <TD width="28%" noWrap align=right><FONT size=1 face=sans-serif>$&#8212;</FONT>&nbsp;</TD>

   <TD width="28%" noWrap align=right><FONT size=1 face=sans-serif>$7,342,291</FONT>&nbsp;</TD>

   <TD width="28%" noWrap align=right><FONT size=1 face=sans-serif>September 30, 2015</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>11,586,218</FONT>&nbsp;</TD>

   <TD width="28%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="28%" noWrap align=right><FONT size=1 face=sans-serif>11,586,218</FONT>&nbsp;</TD>

   <TD width="28%" noWrap align=right><FONT size=1 face=sans-serif>September 30, 2016</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>28,970,279</FONT>&nbsp;</TD>

   <TD width="28%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="28%" noWrap align=right><FONT size=1 face=sans-serif>28,970,279</FONT>&nbsp;</TD>

   <TD width="28%" noWrap align=right><FONT size=1 face=sans-serif>September 30, 2017</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="15%" noWrap align=left><FONT size=1 face=sans-serif>45,219,594</FONT>&nbsp;</TD>

   <TD width="28%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="28%" noWrap align=right><FONT size=1 face=sans-serif>45,219,594</FONT>&nbsp;</TD>

   <TD width="28%" noWrap align=right><FONT size=1 face=sans-serif>September 30, 2018</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=4>

   <HR SIZE=1 noShade>

</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><FONT size=1 face=sans-serif></FONT>&nbsp;</P>

<P style="MARGIN: 0px"><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&nbsp;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 $1,974,684 of losses recognized during the period from November 1, 2010 to September 30, 2011 to its fiscal year ending September 30, 2012.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>The aggregate identified cost on a tax basis is $504,396,397, resulting in gross unrealized appreciation and depreciation of $14,082,176 and $20,266,824, respectively, or net unrealized depreciation of $6,184,648.</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>Distributions to shareholders </FONT></B><FONT size=1 face=sans-serif>Distributions to shareholders from net investment income are recorded by the fund on the ex-dividend date. Distributions from capital gains, if any, are recorded on the ex-dividend date and paid at least annually. The amount and character of income and gains to be distributed are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. Dividend sources are estimated at the time of declaration. Actual results may vary. Any non-taxable return of capital cannot be determined until final tax calculations are completed after the end of the fund&#8217;s fiscal year. 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.</FONT></P>

<P style="TEXT-ALIGN: left"><B><FONT size=1 face=sans-serif>Note 2: Management fee, administrative services and other transactions</FONT></B></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>The fund pays Putnam Management for management and investment advisory services quarterly based on the average net assets (including assets, but excluding liabilities, attributable to leverage for investment purposes) of the fund. The fee is based on the following annual rates:</FONT></P>

<DIV align=left>

<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="7%"></TD>

   <TD width="92%"></TD></TR>

<TR vAlign=bottom>

   <TD width="7%" noWrap align=left><FONT size=1 face=sans-serif>0.75%</FONT>&nbsp;</TD>

   <TD width="92%" 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="7%" noWrap align=left><FONT size=1 face=sans-serif>0.65%</FONT>&nbsp;</TD>

   <TD width="92%" 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="7%" noWrap align=left><FONT size=1 face=sans-serif>0.60%</FONT>&nbsp;</TD>

   <TD width="92%" 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="7%" noWrap align=left><FONT size=1 face=sans-serif>0.55%</FONT>&nbsp;</TD>

   <TD width="92%" 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="7%" noWrap align=left><FONT size=1 face=sans-serif>0.525%</FONT>&nbsp;</TD>

   <TD width="92%" 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="7%" noWrap align=left><FONT size=1 face=sans-serif>0.505%</FONT>&nbsp;</TD>

   <TD width="92%" 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="7%" noWrap align=left><FONT size=1 face=sans-serif>0.49%</FONT>&nbsp;</TD>

   <TD width="92%" 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="7%" noWrap align=left><FONT size=1 face=sans-serif>0.48%</FONT>&nbsp;</TD>

   <TD width="92%" 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="7%" noWrap align=left><FONT size=1 face=sans-serif>0.47%</FONT>&nbsp;</TD>

   <TD width="92%" 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="7%" noWrap align=left><FONT size=1 face=sans-serif>0.46%</FONT>&nbsp;</TD>

   <TD width="92%" 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="7%" noWrap align=left><FONT size=1 face=sans-serif>0.45%</FONT>&nbsp;</TD>

   <TD width="92%" 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="7%" noWrap align=left><FONT size=1 face=sans-serif>0.44%</FONT>&nbsp;</TD>

   <TD width="92%" 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="7%" noWrap align=left><FONT size=1 face=sans-serif>0.43%</FONT>&nbsp;</TD>

   <TD width="92%" noWrap align=left><FONT size=1 face=sans-serif>of the next $8.5 billion of average net assets and</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="7%" noWrap align=left><FONT size=1 face=sans-serif>0.42%</FONT>&nbsp;</TD>

   <TD width="92%" 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>94</FONT></P></DIV>

<HR align=center SIZE=2 width="100%" noShade>



<!--$$/page=--><A name="page_96"></A><BR>

<DIV style="PADDING-LEFT: 0%; PADDING-RIGHT: 0%">

<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. 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, Inc., an affiliate of Putnam Management, provided investor servicing agent functions to the fund. Putnam Investor Services, Inc. was 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. 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 $139 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 $266, 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"><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 $220,415,389 and $181,464,472, respectively. There were no purchases or proceeds from sales of long-term U.S. government securities.</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%"></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=left>&nbsp;</TD>

   <TD width="25%" noWrap align=right><B><FONT size=1 face=sans-serif>Written swap option</FONT></B>&nbsp;</TD>

   <TD width="25%" noWrap align=right><B><FONT size=1 face=sans-serif>Written swap option</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="25%" noWrap align=left>&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 vAlign=bottom>

   <TD width="100%" colSpan=4 noWrap align=left>

   <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>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>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>

<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>228,772,000</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>$6,515,554</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>(72,146,280)</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>$(1,164,046)</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>(297,340,033)</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>$(12,768,787)</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>(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>

<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>630,024,689</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=right><FONT size=1 face=sans-serif>$28,777,407</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=left>&nbsp;</TD>

   <TD width="25%" noWrap align=left>&nbsp;</TD>

   <TD width="25%" noWrap align=left>&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"><FONT size=1 face=sans-serif>95</FONT></P></DIV>

<HR align=center SIZE=2 width="100%" noShade>



<A name="page_97"></A><BR>

<DIV style="PADDING-LEFT: 0%; PADDING-RIGHT: 0%">

<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=center><B><FONT size=1 face=sans-serif>Asset derivatives</FONT></B>&nbsp;</TD>

   <TD width="40%" colSpan=2 noWrap align=center><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>$524,630</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>$160,629</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>1,437,055</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>3,962,285</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, receivables,</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></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>net assets&nbsp;&#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>Payables, net assets&nbsp;&#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>appreciation/</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>unrealized 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>24,461*</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, receivables,</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></TR>

<TR vAlign=bottom>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>net assets&nbsp;&#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>Payables, net assets&nbsp;&#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>appreciation/</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=left>&nbsp;</TD>

   <TD width="20%" noWrap align=right><FONT size=1 face=sans-serif>unrealized 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>44,327,565*</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>48,440,313*</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>$46,313,711</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>$52,563,227</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></FONT>&nbsp;</P>

<P style="MARGIN: 0px"><FONT size=1 face=sans-serif>* 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>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="16%"></TD>

   <TD width="16%"></TD>

   <TD width="16%"></TD>

   <TD width="16%"></TD>

   <TD width="16%"></TD>

   <TD width="16%"></TD></TR>

<TR vAlign=bottom>

   <TD width="16%" noWrap align=left><B><FONT size=1 face=sans-serif>Derivatives not accounted</FONT></B>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="16%" noWrap align=right><B><FONT size=1 face=sans-serif>Forward</FONT></B>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="16%" noWrap align=left><B><FONT size=1 face=sans-serif>for as hedging instruments</FONT></B>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="16%" noWrap align=right><B><FONT size=1 face=sans-serif>currency</FONT></B>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="16%" noWrap align=left><B><FONT size=1 face=sans-serif>under ASC 815</FONT></B>&nbsp;</TD>

   <TD width="16%" noWrap align=right><B><FONT size=1 face=sans-serif>Options</FONT></B>&nbsp;</TD>

   <TD width="16%" noWrap align=right><B><FONT size=1 face=sans-serif>Futures</FONT></B>&nbsp;</TD>

   <TD width="16%" noWrap align=right><B><FONT size=1 face=sans-serif>contracts</FONT></B>&nbsp;</TD>

   <TD width="16%" noWrap align=right><B><FONT size=1 face=sans-serif>Swaps</FONT></B>&nbsp;</TD>

   <TD width="16%" noWrap align=right><B><FONT size=1 face=sans-serif>Total</FONT></B>&nbsp;</TD></TR>

<TR>

   <TD width="96%" colSpan=6>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Credit contracts</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=right><FONT size=1 face=sans-serif>$&#8212;</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=right><FONT size=1 face=sans-serif>$&#8212;</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=right><FONT size=1 face=sans-serif>$&#8212;</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=right><FONT size=1 face=sans-serif>$(295,919)</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=right><FONT size=1 face=sans-serif>$(295,919)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="96%" colSpan=6>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Foreign exchange</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD>

   <TD width="16%" noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>contracts</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=right><FONT size=1 face=sans-serif>3,977,948</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=right><FONT size=1 face=sans-serif>$3,977,948</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="96%" colSpan=6>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="16%" noWrap align=left><FONT size=1 face=sans-serif>Interest rate contracts</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=right><FONT size=1 face=sans-serif>(9,088,413)</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=right><FONT size=1 face=sans-serif>1,982,670</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=right><FONT size=1 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=right><FONT size=1 face=sans-serif>(26,933,251)</FONT>&nbsp;</TD>

   <TD width="16%" noWrap align=right><FONT size=1 face=sans-serif>$(34,038,994)</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="96%" colSpan=6>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="16%" noWrap align=left><B><FONT size=1 face=sans-serif>Total</FONT></B>&nbsp;</TD>

   <TD width="16%" noWrap align=right><B><FONT size=1 face=sans-serif>$(9,088,413)</FONT></B>&nbsp;</TD>

   <TD width="16%" noWrap align=right><B><FONT size=1 face=sans-serif>$1,982,670</FONT></B>&nbsp;</TD>

   <TD width="16%" noWrap align=right><B><FONT size=1 face=sans-serif>$3,977,948</FONT></B>&nbsp;</TD>

   <TD width="16%" noWrap align=right><B><FONT size=1 face=sans-serif>$(27,229,170)</FONT></B>&nbsp;</TD>

   <TD width="16%" noWrap align=right><B><FONT size=1 face=sans-serif>$(30,356,965)</FONT></B>&nbsp;</TD></TR>

<TR>

   <TD width="96%" colSpan=6>

   <HR SIZE=1 noShade>

</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><B><FONT size=1 face=sans-serif></FONT></B>&nbsp;</P>

<P style="MARGIN: 0px"><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>

<P style="MARGIN: 0px"><STRONG><FONT size=1 face=Arial></FONT></STRONG>&nbsp;</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*</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>$749,280</FONT>&nbsp;</TD>

   <TD width="14%" noWrap align=right><FONT size=1 face=sans-serif>$749,280</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>(6,241,402)</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>$(6,241,402)</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>8,342</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>$8,342</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>(5,803,928)</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>(449,347)</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>36,463,637</FONT>&nbsp;</TD>

   <TD width="14%" noWrap align=right><FONT size=1 face=sans-serif>$30,210,362</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>$(5,803,928)</FONT></B>&nbsp;</TD>

   <TD width="14%" noWrap align=right><B><FONT size=1 face=sans-serif>$8,342</FONT></B>&nbsp;</TD>

   <TD width="14%" noWrap align=right><B><FONT size=1 face=sans-serif>$(449,347)</FONT></B>&nbsp;</TD>

   <TD width="14%" noWrap align=right><B><FONT size=1 face=sans-serif>$(6,241,402)</FONT></B>&nbsp;</TD>

   <TD width="14%" noWrap align=right><B><FONT size=1 face=sans-serif>$37,212,917</FONT></B>&nbsp;</TD>

   <TD width="14%" noWrap align=right><B><FONT size=1 face=sans-serif>$24,726,582</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></FONT>&nbsp;</P>

<P style="MARGIN: 0px"><FONT size=1 face=sans-serif>* For the reporting period, the transaction volume for warrants was minimal.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>96</FONT></P></DIV>

<HR align=center SIZE=2 width="100%" noShade>



<!--$$/page=--><A name="page_98"></A><BR>

<DIV style="PADDING-LEFT: 0%; PADDING-RIGHT: 0%">

<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 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. For the reporting period, the fund did not repurchase any of its outstanding common shares.</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 $17,179 for the reporting period. During the reporting period, cost of purchases and proceeds of sales of investments in Putnam Money Market Liquidity Fund aggregated $103,945,990 and $166,620,810, 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 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, credit and other risks</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>Investments in foreign securities involve certain risks, including those related to economic instability, unfavorable political developments, and currency fluctuations, not present with domestic investments.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>The fund may invest in higher yielding, lower rated bonds that may 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"><B><FONT size=1 face=sans-serif>Note 9: New accounting pronouncements</FONT></B></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>In May 2011, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) 2011-04 </FONT><I><FONT size=1 face=sans-serif>&#8220;Fair Value Measurements and Disclosures (Topic 820) &#8212; Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and IFRS&#8221;</FONT></I><FONT size=1 face=sans-serif>. ASU 2011-04 amends FASB Topic 820 </FONT><I><FONT size=1 face=sans-serif>&#8220;Fair Value Measurement&#8221; </FONT></I><FONT size=1 face=sans-serif>and seeks to develop common requirements for measuring fair value and for disclosing information about fair value measurements in accordance with GAAP. ASU 2011-04 is effective for fiscal years and interim periods beginning after December 15, 2011. The application of ASU 2011-04 will not have a material impact on the fund&#8217;s financial statements.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>In December 2011, the FASB issued ASU No. 2011-11 </FONT><I><FONT size=1 face=sans-serif>&#8220;Disclosures about Offsetting Assets and Liabilities&#8221;</FONT></I><FONT size=1 face=sans-serif>. The update creates new disclosure requirements requiring entities to disclose both gross and net information for derivatives and other financial instruments that are either offset in the Statement of assets and liabilities or subject to an enforceable master netting arrangement or similar agreement. The disclosure requirements are effective for annual reporting periods beginning on or after January 1, 2013 and interim periods within those annual periods. Putnam Management is currently evaluating the application of ASU 2011-11 and its impact, if any, on the fund&#8217;s financial statements.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT size=1 face=sans-serif>97</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>Shareholder meeting results (Unaudited)</FONT></B></P>

<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>January 26, 2012 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="54%"></TD>

   <TD width="25%"></TD>

   <TD width="20%"></TD></TR>

<TR vAlign=bottom>

   <TD width="54%" noWrap align=left>&nbsp;</TD>

   <TD width="25%" noWrap align=left><B><FONT size=1 face=sans-serif>Votes for</FONT></B>&nbsp;</TD>

   <TD width="20%" noWrap align=left><B><FONT size=1 face=sans-serif>Votes withheld</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD width="99%" colSpan=3 noWrap align=left>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="54%" noWrap align=left><FONT size=1 face=sans-serif>Ravi Akhoury</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=left><FONT size=1 face=sans-serif>55,803,089</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>2,625,353</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="54%" noWrap align=left><FONT size=1 face=sans-serif>Barbara M. Baumann</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=left><FONT size=1 face=sans-serif>55,877,078</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>2,551,364</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="54%" noWrap align=left><FONT size=1 face=sans-serif>Jameson A. Baxter</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=left><FONT size=1 face=sans-serif>55,884,677</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>2,543,765</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="54%" noWrap align=left><FONT size=1 face=sans-serif>Charles B. Curtis</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=left><FONT size=1 face=sans-serif>55,829,318</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>2,599,124</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="54%" noWrap align=left><FONT size=1 face=sans-serif>Robert J. Darretta</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=left><FONT size=1 face=sans-serif>55,873,904</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>2,554,539</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="54%" noWrap align=left><FONT size=1 face=sans-serif>John A. Hill</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=left><FONT size=1 face=sans-serif>55,864,724</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>2,563,719</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="54%" noWrap align=left><FONT size=1 face=sans-serif>Paul L. Joskow</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=left><FONT size=1 face=sans-serif>55,873,610</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>2,554,833</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="54%" noWrap align=left><FONT size=1 face=sans-serif>Elizabeth T. Kennan</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=left><FONT size=1 face=sans-serif>55,727,408</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>2,701,034</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="54%" noWrap align=left><FONT size=1 face=sans-serif>Kenneth R. Leibler</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=left><FONT size=1 face=sans-serif>55,882,389</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>2,546,054</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="54%" noWrap align=left><FONT size=1 face=sans-serif>George Putnam, III</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=left><FONT size=1 face=sans-serif>55,511,455</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>2,916,988</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="54%" noWrap align=left><FONT size=1 face=sans-serif>Robert E. Patterson</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=left><FONT size=1 face=sans-serif>55,883,295</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>2,545,148</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="54%" noWrap align=left><FONT size=1 face=sans-serif>Robert L. Reynolds</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=left><FONT size=1 face=sans-serif>55,899,064</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>2,529,378</FONT>&nbsp;</TD></TR>

<TR>

   <TD width="99%" colSpan=3>

   <HR SIZE=1 noShade>

</TD></TR>

<TR vAlign=bottom>

   <TD width="54%" noWrap align=left><FONT size=1 face=sans-serif>W. Thomas Stephens</FONT>&nbsp;</TD>

   <TD width="25%" noWrap align=left><FONT size=1 face=sans-serif>55,891,592</FONT>&nbsp;</TD>

   <TD width="20%" noWrap align=left><FONT size=1 face=sans-serif>2,536,851</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></FONT>&nbsp;</P>

<P style="MARGIN: 0px"><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>98</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="48%"></TD>

   <TD width="51%"></TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><B><FONT size=2 face=sans-serif>Growth</FONT></B>&nbsp;</TD>

   <TD noWrap align=left><B><FONT size=2 face=sans-serif>Income</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=2 face=sans-serif>Growth Opportunities Fund</FONT>&nbsp;</TD>

   <TD noWrap align=left><FONT size=2 face=sans-serif>American Government Income Fund</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=2 face=sans-serif>International Growth Fund</FONT>&nbsp;</TD>

   <TD noWrap align=left><FONT size=2 face=sans-serif>Diversified Income Trust</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=2 face=sans-serif>Multi-Cap Growth Fund</FONT>&nbsp;</TD>

   <TD noWrap align=left><FONT size=2 face=sans-serif>Floating Rate Income Fund</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=2 face=sans-serif>Small Cap Growth Fund</FONT>&nbsp;</TD>

   <TD noWrap align=left><FONT size=2 face=sans-serif>Global Income Trust</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=2 face=sans-serif>Voyager Fund</FONT>&nbsp;</TD>

   <TD noWrap align=left><FONT size=2 face=sans-serif>High Yield Advantage Fund</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=2 face=sans-serif>&nbsp;</FONT></TD>

   <TD noWrap align=left><FONT size=2 face=sans-serif><FONT size=2 face=sans-serif>High Yield Trust</FONT></FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><B><FONT size=2 face=sans-serif>Blend</FONT></B>&nbsp;</TD>

   <TD noWrap align=left><FONT size=2 face=sans-serif>Income Fund</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=2 face=sans-serif>Asia Pacific Equity Fund</FONT>&nbsp;</TD>

   <TD noWrap align=left><FONT size=2 face=sans-serif>Money Market Fund*</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=2 face=sans-serif>Capital Opportunities Fund</FONT>&nbsp;</TD>

   <TD noWrap align=left><FONT size=2 face=sans-serif>Short Duration Income Fund</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=2 face=sans-serif>Capital Spectrum Fund</FONT>&nbsp;</TD>

   <TD noWrap align=left><FONT size=2 face=sans-serif>U.S. Government Income Trust</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=2 face=sans-serif>Emerging Markets Equity Fund</FONT>&nbsp;</TD>

   <TD noWrap align=left></TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=2 face=sans-serif>Equity Spectrum Fund</FONT>&nbsp;</TD>

   <TD noWrap align=left><B><FONT size=2 face=sans-serif>Tax-free income</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=2 face=sans-serif>Europe Equity Fund</FONT>&nbsp;</TD>

   <TD noWrap align=left><FONT size=2 face=sans-serif>AMT-Free Municipal Fund</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=2 face=sans-serif>Global Equity Fund</FONT>&nbsp;</TD>

   <TD noWrap align=left><FONT size=2 face=sans-serif>Tax Exempt Income Fund</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=2 face=sans-serif>International Capital Opportunities Fund</FONT>&nbsp;</TD>

   <TD noWrap align=left><FONT size=2 face=sans-serif>Tax Exempt Money Market Fund*</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=2 face=sans-serif>International Equity Fund</FONT>&nbsp;</TD>

   <TD noWrap align=left><FONT size=2 face=sans-serif>Tax-Free High Yield Fund</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=2 face=sans-serif>Investors Fund</FONT>&nbsp;</TD>

   <TD noWrap align=left></TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=2 face=sans-serif>Multi-Cap Core Fund</FONT>&nbsp;</TD>

   <TD noWrap align=left><I><FONT size=2 face=sans-serif>State tax-free income funds:</FONT></I>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=2 face=sans-serif>Research Fund</FONT>&nbsp;</TD>

   <TD noWrap align=left><FONT size=2 face=sans-serif>Arizona, California, Massachusetts, Michigan,</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=2 face=sans-serif>&nbsp;</FONT></TD>

   <TD noWrap align=left><FONT size=2 face=sans-serif><FONT size=2 face=sans-serif>Minnesota, New Jersey, New York, Ohio,</FONT></FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><B><FONT size=2 face=sans-serif>Value</FONT></B>&nbsp;</TD>

   <TD noWrap align=left><FONT size=2 face=sans-serif>and Pennsylvania.</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=2 face=sans-serif>Convertible Securities Fund</FONT>&nbsp;</TD>

   <TD noWrap align=left></TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=2 face=sans-serif>Equity Income Fund</FONT>&nbsp;</TD>

   <TD noWrap align=left><B><FONT size=2 face=sans-serif>Absolute Return</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=2 face=sans-serif>George Putnam Balanced Fund</FONT>&nbsp;</TD>

   <TD noWrap align=left><FONT size=2 face=sans-serif>Absolute Return 100 Fund</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=2 face=sans-serif>The Putnam Fund for Growth and Income</FONT>&nbsp;</TD>

   <TD noWrap align=left><FONT size=2 face=sans-serif>Absolute Return 300 Fund</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=2 face=sans-serif>International Value Fund</FONT>&nbsp;</TD>

   <TD noWrap align=left><FONT size=2 face=sans-serif>Absolute Return 500 Fund</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=2 face=sans-serif>Multi-Cap Value Fund</FONT>&nbsp;</TD>

   <TD noWrap align=left><FONT size=2 face=sans-serif>Absolute Return 700 Fund</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=2 face=sans-serif>Small Cap Value Fund</FONT>&nbsp;</TD>

   <TD noWrap align=left>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><FONT size=1 face=sans-serif></FONT>&nbsp;</P>

<P style="MARGIN: 0px"><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>99</FONT></P></DIV>

<HR align=center SIZE=2 width="100%" noShade>



<A name="page_101"></A><BR>

<DIV style="PADDING-LEFT: 0%; PADDING-RIGHT: 0%">

<DIV align=left>

<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="49%"></TD>

   <TD width="50%"></TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><B><FONT size=2 face=sans-serif>Global Sector</FONT></B>&nbsp;</TD>

   <TD 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 noWrap align=left><FONT size=2 face=sans-serif>Global Consumer Fund</FONT>&nbsp;</TD>

   <TD noWrap align=left><FONT size=2 face=sans-serif>with automatically adjusting allocations to</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=2 face=sans-serif>Global Energy Fund</FONT>&nbsp;</TD>

   <TD noWrap align=left><FONT size=2 face=sans-serif>stocks, bonds, and money market instruments,</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=2 face=sans-serif>Global Financials Fund</FONT>&nbsp;</TD>

   <TD noWrap align=left><FONT size=2 face=sans-serif>becoming more conservative over time.</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=2 face=sans-serif><FONT size=2 face=sans-serif>Global Health Care Fund</FONT></FONT>&nbsp;</TD>

   <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=2 face=sans-serif>Global Industrials Fund</FONT>&nbsp;</TD>

   <TD noWrap align=left><FONT size=2 face=sans-serif>RetirementReady 2055 Fund</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=2 face=sans-serif>Global Natural Resources Fund</FONT>&nbsp;</TD>

   <TD noWrap align=left><FONT size=2 face=sans-serif>RetirementReady 2050 Fund</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=2 face=sans-serif>Global Sector Fund</FONT>&nbsp;</TD>

   <TD noWrap align=left><FONT size=2 face=sans-serif>RetirementReady 2045 Fund</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=2 face=sans-serif>Global Technology Fund</FONT>&nbsp;</TD>

   <TD noWrap align=left><FONT size=2 face=sans-serif>RetirementReady 2040 Fund</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=2 face=sans-serif>Global Telecommunications Fund</FONT>&nbsp;</TD>

   <TD noWrap align=left><FONT size=2 face=sans-serif>RetirementReady 2035 Fund</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=2 face=sans-serif>Global Utilities Fund</FONT>&nbsp;</TD>

   <TD noWrap align=left><FONT size=2 face=sans-serif>RetirementReady 2030 Fund</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left>&nbsp;</TD>

   <TD noWrap align=left><FONT size=2 face=sans-serif>RetirementReady 2025 Fund</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><B><FONT size=2 face=sans-serif>Asset Allocation</FONT></B>&nbsp;</TD>

   <TD noWrap align=left><FONT size=2 face=sans-serif>RetirementReady 2020 Fund</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><I><FONT size=2 face=sans-serif>Putnam Global Asset Allocation Funds </FONT></I><FONT size=2 face=sans-serif>&#8212;</FONT>&nbsp;</TD>

   <TD noWrap align=left><FONT size=2 face=sans-serif>RetirementReady 2015 Fund</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><I><FONT size=2 face=sans-serif><FONT size=2 face=sans-serif>portfolios with allocations to stocks, bonds,</FONT></FONT></I>&nbsp;</TD>

   <TD noWrap align=left><FONT size=2 face=sans-serif></FONT></TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=2 face=sans-serif>and money market instruments that are</FONT>&nbsp;</TD>

   <TD noWrap align=left><I><FONT size=2 face=sans-serif>Putnam Retirement Income Lifestyle</FONT></I>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=2 face=sans-serif>adjusted dynamically within specified ranges</FONT>&nbsp;</TD>

   <TD 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 noWrap align=left><FONT size=2 face=sans-serif>as market conditions change.</FONT>&nbsp;</TD>

   <TD noWrap align=left><FONT size=2 face=sans-serif>allocations to stocks, bonds, and money</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left>&nbsp;</TD>

   <TD noWrap align=left><FONT size=2 face=sans-serif>market investments to generate</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=2 face=sans-serif>Dynamic Asset Allocation Balanced Fund</FONT>&nbsp;</TD>

   <TD noWrap align=left><FONT size=2 face=sans-serif>retirement income.</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD 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 noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><I><FONT size=1 face=sans-serif>Putnam Asset Allocation: Balanced Portfolio.</FONT></I>&nbsp;</TD>

   <TD noWrap align=left><FONT size=2 face=sans-serif>Retirement Income Fund Lifestyle 1</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=2 face=sans-serif>Dynamic Asset Allocation</FONT>&nbsp;</TD>

   <TD 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 noWrap align=left><FONT size=2 face=sans-serif>Conservative Fund</FONT>&nbsp;</TD>

   <TD noWrap align=left><I><FONT size=1 face=sans-serif>Putnam RetirementReady Maturity Fund.</FONT></I>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD 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 noWrap align=left><FONT size=2 face=sans-serif>Retirement Income Fund Lifestyle 2</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><I><FONT size=1 face=sans-serif>Putnam Asset Allocation: Conservative Portfolio.</FONT></I>&nbsp;</TD>

   <TD noWrap align=left><FONT size=2 face=sans-serif>Retirement Income Fund Lifestyle 3</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=2 face=sans-serif>Dynamic Asset Allocation Growth Fund</FONT>&nbsp;</TD>

   <TD 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 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 noWrap align=left><I><FONT size=1 face=sans-serif>Putnam Income Strategies Fund.</FONT></I>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><I><FONT size=1 face=sans-serif>Putnam Asset Allocation: Growth Portfolio.</FONT></I>&nbsp;</TD>

   <TD noWrap align=left></TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=2 face=sans-serif>Dynamic Risk Allocation Fund</FONT>&nbsp;</TD>

   <TD noWrap align=left>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><FONT size=1 face=sans-serif></FONT>&nbsp;</P>

<P style="MARGIN: 0px"><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>100</FONT></P></DIV>

<HR align=center SIZE=2 width="100%" noShade>



<A name="page_102"></A><BR>

<DIV style="PADDING-LEFT: 0%; PADDING-RIGHT: 0%">

<P style="TEXT-ALIGN: left"><B><FONT size=4 face=sans-serif>Fund information</FONT></B></P>

<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Founded 75 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 categories.</FONT></P>

<DIV align=left>

<TABLE style="WIDTH: 80%" border=0 cellSpacing=0>



<TR>

   <TD width="31%"></TD>

   <TD width="32%"></TD>

   <TD width="35%"></TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><B><FONT size=2 face=sans-serif>Investment Manager</FONT></B>&nbsp;</TD>

   <TD noWrap align=left><FONT size=2 face=sans-serif>Elizabeth T. Kennan</FONT>&nbsp;</TD>

   <TD noWrap align=left><FONT size=2 face=sans-serif>Mark C. Trenchard</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=2 face=sans-serif>Putnam Investment</FONT>&nbsp;</TD>

   <TD noWrap align=left><FONT size=2 face=sans-serif>Kenneth R. Leibler</FONT>&nbsp;</TD>

   <TD noWrap align=left><I><FONT size=2 face=sans-serif>Vice President and</FONT></I>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=2 face=sans-serif>Management, LLC</FONT>&nbsp;</TD>

   <TD noWrap align=left><FONT size=2 face=sans-serif>Robert E. Patterson</FONT>&nbsp;</TD>

   <TD noWrap align=left><I><FONT size=2 face=sans-serif>BSA Compliance Officer</FONT></I>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=2 face=sans-serif>One Post Office Square</FONT>&nbsp;</TD>

   <TD noWrap align=left><FONT size=2 face=sans-serif>George Putnam, III</FONT>&nbsp;</TD>

   <TD noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=2 face=sans-serif>Boston, MA 02109</FONT>&nbsp;</TD>

   <TD noWrap align=left><FONT size=2 face=sans-serif>Robert L. Reynolds</FONT>&nbsp;</TD>

   <TD noWrap align=left><FONT size=2 face=sans-serif>Robert T. Burns</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left>&nbsp; </TD>

   <TD noWrap align=left><FONT size=2 face=sans-serif>W. Thomas Stephens</FONT>&nbsp;</TD>

   <TD noWrap align=left><I><FONT size=2 face=sans-serif>Vice President and</FONT></I>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><B><FONT size=2 face=sans-serif>Investment Sub-Manager</FONT></B>&nbsp;</TD>

   <TD noWrap align=left>&nbsp;</TD>

   <TD noWrap align=left><I><FONT size=2 face=sans-serif>Chief Legal Officer</FONT></I>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=2 face=sans-serif>Putnam Investments Limited</FONT>&nbsp;</TD>

   <TD noWrap align=left><B><FONT size=2 face=sans-serif>Officers</FONT></B>&nbsp;</TD>

   <TD noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=2 face=sans-serif>57&#8211;59 St James&#8217;s Street</FONT>&nbsp;</TD>

   <TD noWrap align=left><FONT size=2 face=sans-serif>Robert L. Reynolds</FONT>&nbsp;</TD>

   <TD noWrap align=left><FONT size=2 face=sans-serif>James P. Pappas</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=2 face=sans-serif>London, England SW1A 1LD</FONT>&nbsp;</TD>

   <TD noWrap align=left><I><FONT size=2 face=sans-serif>President</FONT></I>&nbsp;</TD>

   <TD noWrap align=left><I><FONT size=2 face=sans-serif>Vice President</FONT></I>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=2 face=sans-serif>&nbsp;</FONT></TD>

   <TD noWrap align=left><I><FONT size=2 face=sans-serif></FONT></I></TD>

   <TD noWrap align=left><I><FONT size=2 face=sans-serif></FONT></I></TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><B><FONT size=2 face=sans-serif>Marketing Services</FONT></B>&nbsp;</TD>

   <TD noWrap align=left><FONT size=2 face=sans-serif>Jonathan S. Horwitz</FONT>&nbsp;</TD>

   <TD noWrap align=left><FONT size=2 face=sans-serif>Judith Cohen</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=2 face=sans-serif>Putnam Retail Management</FONT>&nbsp;</TD>

   <TD noWrap align=left><I><FONT size=2 face=sans-serif>Executive Vice President,</FONT></I>&nbsp;</TD>

   <TD noWrap align=left><I><FONT size=2 face=sans-serif>Vice President, Clerk and</FONT></I>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=2 face=sans-serif>One Post Office Square</FONT>&nbsp;</TD>

   <TD noWrap align=left><I><FONT size=2 face=sans-serif>Principal Executive</FONT></I>&nbsp;</TD>

   <TD noWrap align=left><I><FONT size=2 face=sans-serif>Assistant Treasurer</FONT></I>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=2 face=sans-serif>Boston, MA 02109</FONT>&nbsp;</TD>

   <TD noWrap align=left><I><FONT size=2 face=sans-serif>Officer, Treasurer and</FONT></I>&nbsp;</TD>

   <TD noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left>&nbsp; </TD>

   <TD noWrap align=left><I><FONT size=2 face=sans-serif>Compliance Liaison</FONT></I>&nbsp;</TD>

   <TD noWrap align=left><FONT size=2 face=sans-serif>Michael Higgins</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><B><FONT size=2 face=sans-serif>Custodian</FONT></B>&nbsp;</TD>

   <TD noWrap align=left></TD>

   <TD noWrap align=left><I><FONT size=2 face=sans-serif>Vice President, Senior Associate</FONT></I>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=2 face=sans-serif>State Street Bank</FONT>&nbsp;</TD>

   <TD noWrap align=left><FONT size=2 face=sans-serif>Steven D. Krichmar</FONT>&nbsp;</TD>

   <TD noWrap align=left><I><FONT size=2 face=sans-serif>Treasurer and Assistant Clerk</FONT></I>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=2 face=sans-serif>and Trust Company</FONT>&nbsp;</TD>

   <TD noWrap align=left><I><FONT size=2 face=sans-serif>Vice President and</FONT></I>&nbsp;</TD>

   <TD noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left>&nbsp; </TD>

   <TD noWrap align=left><I><FONT size=2 face=sans-serif>Principal Financial Officer</FONT></I>&nbsp;</TD>

   <TD noWrap align=left><FONT size=2 face=sans-serif>Nancy E. Florek</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><B><FONT size=2 face=sans-serif>Legal Counsel</FONT></B>&nbsp;</TD>

   <TD noWrap align=left></TD>

   <TD noWrap align=left><I><FONT size=2 face=sans-serif>Vice President, Assistant Clerk,</FONT></I>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=2 face=sans-serif>Ropes &amp; Gray LLP</FONT>&nbsp;</TD>

   <TD noWrap align=left><FONT size=2 face=sans-serif>Janet C. Smith</FONT>&nbsp;</TD>

   <TD noWrap align=left><I><FONT size=2 face=sans-serif>Assistant Treasurer and</FONT></I>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=2 face=sans-serif>&nbsp;</FONT></TD>

   <TD noWrap align=left><FONT size=2 face=sans-serif><I><FONT size=2 face=sans-serif>Vice President, Assistant</FONT></I></FONT>&nbsp;</TD>

   <TD noWrap align=left><I><FONT size=2 face=sans-serif><I><FONT size=2 face=sans-serif>Proxy Manager</FONT></I></FONT></I>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><B><FONT size=2 face=sans-serif>Trustees</FONT></B>&nbsp;</TD>

   <TD noWrap align=left><I><FONT size=2 face=sans-serif>Treasurer and Principal</FONT></I>&nbsp;</TD>

   <TD noWrap align=left></TD></TR>

<TR vAlign=bottom>

   <TD 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 noWrap align=left><I><FONT size=2 face=sans-serif>Accounting Officer</FONT></I>&nbsp;</TD>

   <TD noWrap align=left><FONT size=2 face=sans-serif>Susan G. Malloy</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=2 face=sans-serif>Ravi Akhoury</FONT>&nbsp;</TD>

   <TD noWrap align=left></TD>

   <TD noWrap align=left><I><FONT size=2 face=sans-serif>Vice President and</FONT></I>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=2 face=sans-serif>Barbara M. Baumann</FONT>&nbsp;</TD>

   <TD noWrap align=left><FONT size=2 face=sans-serif>Robert R. Leveille</FONT>&nbsp;</TD>

   <TD noWrap align=left><I><FONT size=2 face=sans-serif>Assistant Treasurer</FONT></I>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=2 face=sans-serif>Charles B. Curtis</FONT>&nbsp;</TD>

   <TD noWrap align=left><I><FONT size=2 face=sans-serif>Vice President and</FONT></I>&nbsp;</TD>

   <TD noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=2 face=sans-serif>Robert J. Darretta</FONT>&nbsp;</TD>

   <TD noWrap align=left><I><FONT size=2 face=sans-serif>Chief Compliance Officer</FONT></I>&nbsp;</TD>

   <TD noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=2 face=sans-serif>John A. Hill</FONT>&nbsp;</TD>

   <TD noWrap align=left></TD>

   <TD noWrap align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD noWrap align=left><FONT size=2 face=sans-serif>Paul L. Joskow</FONT>&nbsp;</TD>

   <TD noWrap align=left>&nbsp;</TD>

   <TD noWrap align=left>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><B><FONT size=2 face=sans-serif></FONT></B>&nbsp;</P>

<P style="MARGIN: 0px"><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>

<P style="MARGIN: 0px">&nbsp;</P></DIV>

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<BODY STYLE="font: normal 10pt Times New Roman, Times, Serif">

<P STYLE="margin: 0"></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0"><U>Item 2. Code of Ethics:</U></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0">Not Applicable</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0"><U>Item 3. Audit Committee Financial Expert:</U></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0">Not Applicable</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0"><U>Item 4. Principal Accountant Fees and Services:</U></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0">Not Applicable</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<P STYLE="font: normal 10pt Arial, Helvetica, Sans-Serif; margin: 0"><U>Item 5. Audit Committee</U></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0">Not Applicable</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0"><U>Item 6. Schedule of Investments: </U></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0">The registrant&rsquo;s schedule of investments in unaffiliated issuers
is included in the report to shareholders in Item 1 above.</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0"><U>Item 7. Disclosure of Proxy Voting Policies and Procedures For
Closed-End Management Investment Companies:</U></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0">Not applicable</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<P STYLE="font: normal 10pt Arial, Helvetica, Sans-Serif; margin: 0"><U>Item 8. Portfolio Managers of Closed-End Management Investment
Companies</U></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0">(a) Not applicable</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0">(b) During the period, Raman Srivastava was named a Portfolio Manager
of the fund.</P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0">(a)(1) <B>Portfolio Managers:</B></P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0"><B>&nbsp;</B></P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0"><B>&nbsp;</B></P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top; background-color: White">
    <TD STYLE="width: 18%; font: bold 12pt Times New Roman, Times, Serif; padding-right: 5.4pt; padding-left: 5.4pt; text-align: left; vertical-align: bottom; border-bottom: Black 1pt solid">Portfolio Managers</TD>
    <TD STYLE="width: 10%; font: bold 12pt Times New Roman, Times, Serif; padding-right: 5.4pt; padding-left: 5.4pt; text-align: center; vertical-align: bottom; border-bottom: Black 1pt solid">Joined Fund</TD>
    <TD STYLE="width: 15%; padding-right: 5.4pt; padding-left: 5.4pt; border-bottom: Black 1pt solid">
        <P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0"><B>&nbsp;</B></P>
        <P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0"><B>Employer</B></P></TD>
    <TD STYLE="width: 57%; padding-right: 5.4pt; padding-left: 5.4pt; border-bottom: Black 1pt solid">
        <P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 0 18.1pt; text-indent: -18.1pt"><B>&nbsp;</B></P>
        <P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 0 18.1pt; text-indent: -18.1pt"><B>Positions Over Past Five Years</B></P></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="font: 12pt Times New Roman, Times, Serif; padding-right: 5.4pt; padding-left: 5.4pt">Raman Srivastava</TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif; padding-right: 5.4pt; padding-left: 5.4pt; text-align: center">2012</TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt">
        <P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0"><B>Putnam Management</B></P>
        <P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0">1999 &ndash; Present</P></TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt">
        <P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 0 18.1pt; text-indent: -18.1pt">Portfolio Manager,</P>
        <P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 0 18.1pt; text-indent: -18.1pt">Previously, Team Leader</P>
        <P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 0 18.1pt; text-indent: -18.1pt">Portfolio Construction</P></TD></TR>
</TABLE>
<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0">(a)(2) <B>Other Accounts Managed by the Fund&rsquo;s Portfolio Managers.</B></P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0">The following table shows the number and approximate assets of other
investment accounts (or portions of investment accounts) that the fund&rsquo;s Portfolio Managers managed as of the fund&rsquo;s
most recent fiscal year-end. Unless noted, none of the other accounts pays a fee based on the account&rsquo;s performance.</P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; border-collapse: collapse">
<TR>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt; border-bottom: Black 1pt solid">
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: center"><B>&nbsp;</B></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: center"><B>&nbsp;</B></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: center"><B>&nbsp;</B></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: center"><B>&nbsp;</B></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: center"><B>&nbsp;</B></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: center"><B>Portfolio Leader or Member</B></P></TD>
    <TD COLSPAN="2" STYLE="padding-right: 5.4pt; padding-left: 5.4pt; border-bottom: Black 1pt solid">
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: center"><B>&nbsp;</B></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: center"><B>&nbsp;</B></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: center"><B>&nbsp;</B></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: center"><B>&nbsp;</B></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: center"><B>Other SEC-registered open-end and closed-end
        funds</B></P></TD>
    <TD COLSPAN="2" STYLE="padding-right: 5.4pt; padding-left: 5.4pt; border-bottom: Black 1pt solid">
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: center"><B>&nbsp;</B></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: center"><B>&nbsp;</B></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: center"><B>&nbsp;</B></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: center"><B>&nbsp;</B></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: center"><B>Other accounts that pool assets from more
        than one client</B></P></TD>
    <TD COLSPAN="2" STYLE="padding-right: 5.4pt; padding-left: 5.4pt; border-bottom: Black 1pt solid">
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: center"><B>&nbsp;</B></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: center"><B>Other accounts (including separate accounts,
        managed account programs and single-sponsor defined contribution plan offerings)</B></P></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 24%; padding-right: 5.4pt; padding-left: 5.4pt; padding-right: 5.4pt; padding-left: 5.4pt">&nbsp;</TD>
    <TD STYLE="width: 10%; padding-right: 5.4pt; padding-left: 5.4pt; padding-right: 5.4pt; padding-left: 5.4pt; font-size: 10pt; text-align: center; vertical-align: top">Number of accounts</TD>
    <TD STYLE="width: 16%; padding-right: 5.4pt; padding-left: 5.4pt; padding-right: 5.4pt; padding-left: 5.4pt; font-size: 10pt; text-align: center; vertical-align: top">Assets</TD>
    <TD STYLE="width: 10%; padding-right: 5.4pt; padding-left: 5.4pt; padding-right: 5.4pt; padding-left: 5.4pt; font-size: 10pt; text-align: center; vertical-align: top">Number of accounts</TD>
    <TD STYLE="width: 16%; padding-right: 5.4pt; padding-left: 5.4pt; padding-right: 5.4pt; padding-left: 5.4pt; font-size: 10pt; text-align: center; vertical-align: top">Assets</TD>
    <TD STYLE="width: 8%; padding-right: 5.4pt; padding-left: 5.4pt; padding-right: 5.4pt; padding-left: 5.4pt; font-size: 10pt; text-align: center; vertical-align: middle">Number of accounts</TD>
    <TD STYLE="width: 16%; padding-right: 5.4pt; padding-left: 5.4pt; padding-right: 5.4pt; padding-left: 5.4pt; font-size: 10pt; text-align: center; vertical-align: top">Assets</TD></TR>
<TR STYLE="text-align: center; vertical-align: bottom">
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt; padding-right: 5.4pt; padding-left: 5.4pt; border-top: Black 1pt solid">Raman Srivastava</TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt; padding-right: 5.4pt; padding-left: 5.4pt; font-size: 10pt; border-top: Black 1pt solid">25*</TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt; padding-right: 5.4pt; padding-left: 5.4pt; border-top: Black 1pt solid">
        <P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0">$10,574,200,000</P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0"></P></TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt; padding-right: 5.4pt; padding-left: 5.4pt; font-size: 10pt; border-top: Black 1pt solid">19#</TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt; padding-right: 5.4pt; padding-left: 5.4pt; border-top: Black 1pt solid">
        <P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0">$6,222,900,000</P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0"></P></TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt; padding-right: 5.4pt; padding-left: 5.4pt; font-size: 10pt; border-top: Black 1pt solid">12</TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt; padding-right: 5.4pt; padding-left: 5.4pt; border-top: Black 1pt solid">
        <P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0">$12,767,000,000</P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0"></P></TD></TR>
</TABLE>
<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0">* <FONT STYLE="font-size: 10pt">4 accounts, with total assets of
$1,855,400,000 pay an advisory fee based on account performance.</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0"># 2 accounts, with total assets of $145,800,000 pay an advisory
fee based on account performance</P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0"><U>Potential conflicts of interest in managing multiple accounts.</U>
Like other investment professionals with multiple clients, the fund&rsquo;s Portfolio Managers may face certain potential conflicts
of interest in connection with managing both the fund and the other accounts listed under &ldquo;Other Accounts Managed by the
Fund&rsquo;s Portfolio Managers&rdquo; at the same time. The paragraphs below describe some of these potential conflicts, which
Putnam Management believes are faced by investment professionals at most major financial firms. As described below, Putnam Management
and the Trustees of the Putnam funds have adopted compliance policies and procedures that attempt to address certain of these potential
conflicts.</P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0"><FONT STYLE="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 (&ldquo;performance
fee accounts&rdquo;), may raise potential conflicts of interest by creating an incentive to favor higher-fee accounts. These potential
conflicts may include, among others:</FONT></P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0"><FONT STYLE="font-weight: normal">&nbsp;</FONT></P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 0 0.5in"><FONT STYLE="font-weight: normal">&bull; The most attractive
investments could be allocated to higher-fee accounts or performance fee accounts. </FONT></P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 0 0.5in"><FONT STYLE="font-weight: normal">&bull; The trading of
higher-fee accounts could be favored as to timing and/or execution price. For example, higher-fee accounts could be permitted to
sell securities earlier than other accounts when a prompt sale is desirable or to buy securities at an earlier and more opportune
time.</FONT></P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 0 0.5in"><FONT STYLE="font-weight: normal">&bull; The trading of
other accounts could be used to benefit higher-fee accounts (front- running). </FONT></P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 0 0.5in"><FONT STYLE="font-weight: normal">&bull; The investment
management team could focus their time and efforts primarily on higher-fee accounts due to a personal stake in compensation. </FONT></P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0"><FONT STYLE="font-weight: normal">&nbsp;</FONT></P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0"><FONT STYLE="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. For example,
under Putnam Management&rsquo;s policies:</FONT></P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0"><FONT STYLE="font-weight: normal">&nbsp;</FONT></P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 0 0.5in"><FONT STYLE="font-weight: normal">&bull; Performance fee
accounts must be included in all standard trading and allocation procedures with all other accounts. </FONT></P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 0 0.5in"><FONT STYLE="font-weight: normal">&bull; All accounts
must be allocated to a specific category of account and trade in parallel with allocations of similar accounts based on the procedures
generally applicable to all accounts in those groups (e.g., based on relative risk budgets of accounts). </FONT></P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 0 0.5in"><FONT STYLE="font-weight: normal">&bull; All trading must
be effected through Putnam&rsquo;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="font: 12pt Times New Roman, Times, Serif; margin: 0 0 0 0.5in"><FONT STYLE="font-weight: normal">&bull; Front running
is strictly prohibited. </FONT></P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 0 0.5in"><FONT STYLE="font-weight: normal">&bull; The fund&rsquo;s
Portfolio Manager(s) may not be guaranteed or specifically allocated any portion of a performance fee. </FONT></P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 0 0.5in"><FONT STYLE="font-weight: normal">&nbsp;</FONT></P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 12pt">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.</P>

<P STYLE="font: 12pt/12pt Times New Roman, Times, Serif; margin: 0">Potential conflicts of interest may also arise when the Portfolio
Manager(s) have personal investments in other accounts that may create an incentive to favor those accounts. As a general matter
and subject to limited exceptions, Putnam Management&rsquo;s investment professionals do not have the opportunity to invest in
client accounts, other than the Putnam funds. However, in the ordinary course of business, Putnam Management or related persons
may from time to time establish &ldquo;pilot&rdquo; or &ldquo;incubator&rdquo; funds for the purpose of testing proposed investment
strategies and products prior to offering them to clients. These pilot accounts may be in the form of registered investment companies,
private funds such as partnerships or separate accounts established by Putnam Management or an affiliate. Putnam Management or
an affiliate supplies the funding for these accounts. Putnam employees, including the fund&rsquo;s Portfolio Manager(s), may also
invest in certain pilot accounts. Putnam Management, and to the extent applicable, the Portfolio Manager(s) will benefit from the
favorable investment performance of those funds and accounts. Pilot funds and accounts may, and frequently do, invest in the same
securities as the client accounts. Putnam Management&rsquo;s policy is to treat pilot accounts in the same manner as client accounts
for purposes of trading allocation &ndash; neither favoring nor disfavoring them except as is legally required. For example, pilot
accounts are normally included in Putnam Management&rsquo;s daily block trades to the same extent as client accounts<FONT STYLE="color: windowtext">
(except that pilot accounts do not participate in initial public offerings)</FONT>.</P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0">A potential conflict of interest may arise when the fund and other
accounts purchase or sell the same securities. On occasions when the Portfolio Manager(s) consider the purchase or sale of a security
to be in the best interests of the fund as well as other accounts, Putnam Management&rsquo;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. 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 &ndash; for example, by allocating a disproportionate
amount of a security that is likely to increase in value to a favored account. Putnam Management&rsquo;s trade allocation policies
generally provide that each day&rsquo;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&rsquo;s
opinion is equitable to each account and in accordance with the amount being purchased or sold by each account. Certain exceptions
exist for specialty, regional or sector accounts. Trade allocations are reviewed on a periodic basis as part of Putnam Management&rsquo;s
trade oversight procedures in an attempt to ensure fairness over time across accounts.</P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0">&ldquo;Cross trades,&rdquo; 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. 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 STYLE="font: 10pt Arial, Helvetica, Sans-Serif; color: windowtext">,
</FONT><FONT STYLE="font-family: Times New Roman, Times, Serif">or if such trades result in more attractive investments being allocated
to higher-fee accounts</FONT><FONT STYLE="font: 10pt Arial, Helvetica, Sans-Serif">.</FONT> Putnam Management and the fund&rsquo;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.</P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0">Another potential conflict of interest may arise based on the different
investment objectives and strategies of the fund and other accounts. For example, another account may have a shorter-term investment
horizon or different investment objectives, policies or restrictions than the fund. Depending on another account&rsquo;s objectives
or other factors, the Portfolio Manager(s) may give advice and make decisions that may differ from advice given, or the timing
or nature of decisions made, with respect to the fund. In addition, investment decisions are the product of many factors in addition
to basic suitability for the particular account involved. Thus, a particular security may be bought or sold for certain accounts
even though it could have been bought or sold for other accounts at the same time. More rarely, a particular security may be bought
for one or more accounts managed by the Portfolio Manager(s) when one or more other accounts are selling the security (including
short sales). There may be circumstances when purchases or sales of portfolio securities for one or more accounts may have an adverse
effect on other accounts. As noted above, Putnam Management has implemented trade oversight and review procedures to monitor whether
any account is systematically favored over time.</P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 12pt/12pt Times New Roman, Times, Serif; margin: 0">The fund&rsquo;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.</P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0">(a)(3) <B>Compensation of portfolio managers.</B> <FONT STYLE="font: 10pt Arial, Helvetica, Sans-Serif">Putnam&rsquo;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="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0">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>
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.</P>

<P STYLE="font: normal 12pt Times New Roman, Times, Serif; margin-right: 0; margin-left: 0">&nbsp;</P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0">(a)(4) <B>Fund ownership. </B>The following table shows the dollar
ranges of shares of the fund owned by the professionals listed above at the end of the fund&rsquo;s last two fiscal years, including
investments by their immediate family members and amounts invested through retirement and deferred compensation plans.</P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Verdana, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
</TABLE>
<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0"></P>



<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0"></P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%">
<TR STYLE="vertical-align: bottom; text-align: center">
    <TH STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Times New Roman, Times, Serif">* Assets in the fund&nbsp;</FONT></TH>
    <TH>&nbsp;</TH>
    <TH>&nbsp;</TH>
    <TH>&nbsp;</TH>
    <TH STYLE="text-align: center; vertical-align: bottom">&nbsp;</TH>
    <TH STYLE="text-align: center; vertical-align: bottom">&nbsp;</TH>
    <TH STYLE="text-align: center; vertical-align: bottom">&nbsp;</TH>
    <TH STYLE="text-align: center; vertical-align: bottom">&nbsp;</TH>
    <TH STYLE="text-align: center; vertical-align: bottom">&nbsp;</TH></TR>
<TR STYLE="vertical-align: bottom; text-align: left">
    <TD STYLE="width: 20%">&nbsp;</TD>
    <TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 5%">&nbsp;$0</TD>
    <TD STYLE="width: 12%"></TD>
    <TD STYLE="width: 12%; text-align: center; vertical-align: bottom; padding-left: -10pt">&nbsp;$10,001&ndash; </TD>
    <TD STYLE="width: 12%; text-align: center; vertical-align: bottom; padding-left: -10pt">&nbsp;$50,001&ndash; </TD>
    <TD STYLE="width: 12%; text-align: center; vertical-align: bottom">&nbsp;$100,001&ndash; </TD>
    <TD STYLE="width: 12%; text-align: center; vertical-align: bottom">$500,001&ndash; &nbsp;</TD>
    <TD STYLE="width: 12%; text-align: center; vertical-align: bottom">$1,000,001 </TD></TR>
<TR STYLE="vertical-align: top; text-align: left">
    <TD></TD>
    <TD>&nbsp;Year</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center; vertical-align: middle">&nbsp;&nbsp;$1&ndash;$10,000</TD>
    <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;$50,000</TD>
    <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;$100,000</TD>
    <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;$500,000</TD>
    <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;$1,000,000</TD>
    <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;and over&nbsp;</TD></TR>
<TR STYLE="vertical-align: top; text-align: left">
    <TD STYLE="border-top: Black 1pt solid"><B>&nbsp;&nbsp;Raman Srivastava</B></TD>
    <TD STYLE="border-top: Black 1pt solid">&nbsp;2012</TD>
    <TD STYLE="border-top: Black 1pt solid">&nbsp;*</TD>
    <TD STYLE="border-top: Black 1pt solid">&nbsp;</TD>
    <TD STYLE="text-align: center; vertical-align: bottom; border-top: Black 1pt solid">&nbsp;</TD>
    <TD STYLE="text-align: center; vertical-align: bottom; border-top: Black 1pt solid">&nbsp;</TD>
    <TD STYLE="text-align: center; vertical-align: bottom; border-top: Black 1pt solid">&nbsp;</TD>
    <TD STYLE="text-align: center; vertical-align: bottom; border-top: Black 1pt solid">&nbsp;</TD>
    <TD STYLE="text-align: center; vertical-align: bottom; border-top: Black 1pt solid">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top; text-align: left">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top; text-align: left">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD></TR>
</TABLE>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0"></P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0"></P>




<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0"></P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0"><U>Item 9. Purchases of Equity Securities by Closed-End Management
Investment Companies and Affiliated Purchasers:</U></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP COLSPAN="3" STYLE="padding-right: -13.5pt; padding-left: 5.4pt">Registrant Purchase of Equity Securities</TD>
    <TD NOWRAP STYLE="padding-right: -13.5pt; padding-left: 5.4pt; text-align: center; vertical-align: bottom">&nbsp;</TD>
    <TD NOWRAP STYLE="padding-right: -13.5pt; padding-left: 5.4pt; text-align: center; vertical-align: bottom">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="width: 32%; padding-right: -13.5pt; padding-left: 5.4pt">&nbsp;</TD>
    <TD NOWRAP STYLE="width: 17%; padding-right: -13.5pt; padding-left: 5.4pt; text-align: center; vertical-align: bottom">&nbsp;</TD>
    <TD NOWRAP STYLE="width: 13%; padding-right: -13.5pt; padding-left: 5.4pt; text-align: center; vertical-align: bottom">&nbsp;</TD>
    <TD NOWRAP STYLE="width: 20%; padding-right: -13.5pt; padding-left: 5.4pt; text-align: center; vertical-align: bottom">&nbsp;</TD>
    <TD NOWRAP STYLE="width: 18%; padding-right: -13.5pt; padding-left: 5.4pt; text-align: center; vertical-align: bottom">Maximum</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="padding-right: -13.5pt; padding-left: 5.4pt">&nbsp;</TD>
    <TD NOWRAP STYLE="padding-right: -13.5pt; padding-left: 5.4pt; text-align: center; vertical-align: bottom">&nbsp;</TD>
    <TD NOWRAP STYLE="padding-right: -13.5pt; padding-left: 5.4pt; text-align: center; vertical-align: bottom">&nbsp;</TD>
    <TD NOWRAP STYLE="padding-right: -13.5pt; padding-left: 5.4pt; text-align: center; vertical-align: bottom">Total Number</TD>
    <TD NOWRAP STYLE="padding-right: -13.5pt; padding-left: 5.4pt; text-align: center; vertical-align: bottom">Number (or</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="padding-right: -13.5pt; padding-left: 5.4pt">&nbsp;</TD>
    <TD NOWRAP STYLE="padding-right: -13.5pt; padding-left: 5.4pt; text-align: center; vertical-align: bottom">&nbsp;</TD>
    <TD NOWRAP STYLE="padding-right: -13.5pt; padding-left: 5.4pt; text-align: center; vertical-align: bottom">&nbsp;</TD>
    <TD NOWRAP STYLE="padding-right: -13.5pt; padding-left: 5.4pt; text-align: center; vertical-align: bottom">of Shares</TD>
    <TD NOWRAP STYLE="padding-right: -13.5pt; padding-left: 5.4pt; text-align: center; vertical-align: bottom">Approximate</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="padding-right: -13.5pt; padding-left: 5.4pt">&nbsp;</TD>
    <TD NOWRAP STYLE="padding-right: -13.5pt; padding-left: 5.4pt; text-align: center; vertical-align: bottom">&nbsp;</TD>
    <TD NOWRAP STYLE="padding-right: -13.5pt; padding-left: 5.4pt; text-align: center; vertical-align: bottom">&nbsp;</TD>
    <TD NOWRAP STYLE="padding-right: -13.5pt; padding-left: 5.4pt; text-align: center; vertical-align: bottom">Purchased</TD>
    <TD NOWRAP STYLE="padding-right: -13.5pt; padding-left: 5.4pt; text-align: center; vertical-align: bottom">Dollar Value)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="padding-right: -13.5pt; padding-left: 5.4pt">&nbsp;</TD>
    <TD NOWRAP STYLE="padding-right: -13.5pt; padding-left: 5.4pt; text-align: center; vertical-align: bottom">&nbsp;</TD>
    <TD NOWRAP STYLE="padding-right: -13.5pt; padding-left: 5.4pt; text-align: center; vertical-align: bottom">&nbsp;</TD>
    <TD NOWRAP STYLE="padding-right: -13.5pt; padding-left: 5.4pt; text-align: center; vertical-align: bottom">as Part</TD>
    <TD NOWRAP STYLE="padding-right: -13.5pt; padding-left: 5.4pt; text-align: center; vertical-align: bottom">of Shares</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="padding-right: -13.5pt; padding-left: 5.4pt">&nbsp;</TD>
    <TD NOWRAP STYLE="padding-right: -13.5pt; padding-left: 5.4pt; text-align: center; vertical-align: bottom">&nbsp;</TD>
    <TD NOWRAP STYLE="padding-right: -13.5pt; padding-left: 5.4pt; text-align: center; vertical-align: bottom">&nbsp;</TD>
    <TD NOWRAP STYLE="padding-right: -13.5pt; padding-left: 5.4pt; text-align: center; vertical-align: bottom">of Publicly</TD>
    <TD NOWRAP STYLE="padding-right: -13.5pt; padding-left: 5.4pt; text-align: center; vertical-align: bottom">that May Yet Be</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="padding-right: -13.5pt; padding-left: 5.4pt">&nbsp;</TD>
    <TD NOWRAP STYLE="padding-right: -13.5pt; padding-left: 5.4pt; text-align: center; vertical-align: bottom">Total Number</TD>
    <TD NOWRAP STYLE="padding-right: -13.5pt; padding-left: 5.4pt; text-align: center; vertical-align: bottom">Average</TD>
    <TD NOWRAP STYLE="padding-right: -13.5pt; padding-left: 5.4pt; text-align: center; vertical-align: bottom">Announced</TD>
    <TD NOWRAP STYLE="padding-right: -13.5pt; padding-left: 5.4pt; text-align: center; vertical-align: bottom">Purchased</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="padding-right: -13.5pt; padding-left: 5.4pt">&nbsp;</TD>
    <TD NOWRAP STYLE="padding-right: -13.5pt; padding-left: 5.4pt; text-align: center; vertical-align: bottom">of Shares</TD>
    <TD NOWRAP STYLE="padding-right: -13.5pt; padding-left: 5.4pt; text-align: center; vertical-align: bottom">Price Paid</TD>
    <TD NOWRAP STYLE="padding-right: -13.5pt; padding-left: 5.4pt; text-align: center; vertical-align: bottom">Plans or</TD>
    <TD NOWRAP STYLE="padding-right: -13.5pt; padding-left: 5.4pt; text-align: center; vertical-align: bottom">under the Plans</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="padding-right: -13.5pt; padding-left: 5.4pt; text-decoration: underline">Period</TD>
    <TD NOWRAP STYLE="padding-right: -13.5pt; padding-left: 5.4pt; text-decoration: underline; text-align: center; vertical-align: bottom">Purchased</TD>
    <TD NOWRAP STYLE="padding-right: -13.5pt; padding-left: 5.4pt; text-decoration: underline; text-align: center; vertical-align: bottom">per Share</TD>
    <TD NOWRAP STYLE="padding-right: -13.5pt; padding-left: 5.4pt; text-decoration: underline; text-align: center; vertical-align: bottom">Programs*</TD>
    <TD NOWRAP STYLE="padding-right: -13.5pt; padding-left: 5.4pt; text-decoration: underline; text-align: center; vertical-align: bottom">or Programs**</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="padding-right: -13.5pt; padding-left: 5.4pt">&nbsp;</TD>
    <TD NOWRAP STYLE="padding-right: -13.5pt; padding-left: 5.4pt; text-align: center; vertical-align: bottom">&nbsp;</TD>
    <TD NOWRAP STYLE="padding-right: -13.5pt; padding-left: 5.4pt; text-align: center; vertical-align: bottom">&nbsp;</TD>
    <TD NOWRAP STYLE="padding-right: -13.5pt; padding-left: 5.4pt; text-align: center; vertical-align: bottom">&nbsp;</TD>
    <TD NOWRAP STYLE="padding-right: -13.5pt; padding-left: 5.4pt; text-align: center; vertical-align: bottom">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt">October 1 - October 7, 2011</TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: center; vertical-align: bottom">-</TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: center; vertical-align: bottom">-</TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: center; vertical-align: bottom">-</TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: center; vertical-align: bottom">6,542,431</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt">October 8 - October 31, 2011</TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: center; vertical-align: bottom">-</TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: center; vertical-align: bottom">-</TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: center; vertical-align: bottom">-</TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: center; vertical-align: bottom">6,569,062</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt">November 1 - November 30, 2011</TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: center; vertical-align: bottom">-</TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: center; vertical-align: bottom">-</TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: center; vertical-align: bottom">-</TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: center; vertical-align: bottom">6,569,062</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt">December 1 - December 31, 2011</TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: center; vertical-align: bottom">-</TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: center; vertical-align: bottom">-</TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: center; vertical-align: bottom">-</TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: center; vertical-align: bottom">6,569,062</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt">January 1 - January 31, 2012</TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: center; vertical-align: bottom">-</TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: center; vertical-align: bottom">-</TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: center; vertical-align: bottom">-</TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: center; vertical-align: bottom">6,569,062</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt">February 1 - February 29, 2012</TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: center; vertical-align: bottom">-</TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: center; vertical-align: bottom">-</TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: center; vertical-align: bottom">-</TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: center; vertical-align: bottom">6,569,062</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt">March 1 - March 31, 2012</TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: center; vertical-align: bottom">-</TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: center; vertical-align: bottom">-</TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: center; vertical-align: bottom">-</TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: center; vertical-align: bottom">6,569,062</TD></TR>
</TABLE>
<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="width: 100%; padding-right: 5.4pt; padding-left: 5.4pt">* In October 2005, the Board of Trustees of the Putnam Funds initiated the closed-end fund share</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt">repurchase program, which, as subsequently amended, authorized the repurchase of up to 10%</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt">of the fund's outstanding common shares over the two-years ending October 5, 2007.&nbsp; The</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt">Trustees subsequently renewed the program on five occasions, to permit the repurchase of an</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt">additional 10% of the fund's outstanding common shares over each of the twelve-month periods</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt">beginning on October 8, 2007, October 8, 2008, October 8,
    2009, October 8, 2010 and October 8, 2011.&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt">The October 8, 2008 - October 7, 2009 program, which was announced in September</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt">2008, allowed repurchases up to a total of 6,664,051 shares of the fund.&nbsp; The October 8, 2009</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt">- October 7, 2010 program, which was announced in September 2009, allows repurchases up to</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt">a total of 6,456,512 shares of the fund.</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt">The October 8, 2010 - October 7, 2011 program, which was announced in September 2010, allows repurchases up to</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt">a total of 6,542,431 shares of the fund.</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt">The October 8, 2011 - October 7, 2012 program, which was announced in September 2011, allows repurchases up to</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt;">a total of 6,569,062 shares of the fund.</TD></TR>
</TABLE>
<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP COLSPAN="4" STYLE="padding-right: 5.4pt; padding-left: 5.4pt">**Information prior to October 7, 2011 is based on the total number of shares eligible for repurchase</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP COLSPAN="4" STYLE="padding-right: 5.4pt; padding-left: 5.4pt">under the program, as amended through September 2010.&nbsp; Information from October 8, 2011</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP COLSPAN="4" STYLE="padding-right: 5.4pt; padding-left: 5.4pt">forward is based on the total number of shares eligible for repurchase under the program, as</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="width: 34%; padding-right: 5.4pt; padding-left: 5.4pt">amended through September&nbsp; 2011.</TD>
    <TD NOWRAP STYLE="width: 19%; padding-right: 5.4pt; padding-left: 5.4pt">&nbsp;</TD>
    <TD NOWRAP STYLE="width: 22%; padding-right: 5.4pt; padding-left: 5.4pt">&nbsp;</TD>
    <TD NOWRAP STYLE="width: 25%; padding-right: 5.4pt; padding-left: 5.4pt">&nbsp;</TD></TR>
</TABLE>
<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0"><U>Item 10. Submission of Matters to a Vote of Security Holders:</U></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0">Not applicable</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0"><U>Item 11. Controls and Procedures:</U></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0">(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.</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0">(b) Changes in internal control over financial reporting: Not applicable</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0"><U>Item 12. Exhibits:</U></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0">(a)(1) Not applicable</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0">(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.</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0">(b) The certifications required by Rule 30a-2(b) under the Investment
Company Act of 1940, as amended, are filed herewith.</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<P STYLE="font: normal 10pt Arial, Helvetica, Sans-Serif; margin: 0"><U>SIGNATURES</U></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0">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.</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<P STYLE="font: normal 10pt Arial, Helvetica, Sans-Serif; margin: 0"><U>Putnam Master Intermediate Income Trust</U></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0">By (Signature and Title):</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0"><U>/s/Janet C. Smith</U></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0">Janet C. Smith</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0">Principal Accounting Officer</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0">Date: May 29, 2012</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0">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.</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0">By (Signature and Title):</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0"><U>/s/Jonathan S. Horwitz</U></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0">Jonathan S. Horwitz</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0">Principal Executive Officer</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0">Date: May 29, 2012</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0">By (Signature and Title):</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0"><U>/s/Steven D. Krichmar</U></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0">Steven D. Krichmar</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0">Principal Financial Officer</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0">Date: May 29, 2012</P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0">&nbsp;</P>



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<table width=95% border=0 cellspacing=0 cellpadding=1>
<tr>
<td width=5%></td>
<td width=95%></td>
</tr>	<tr><td></td><td><u>Certifications<br><br></u></td></tr>
<tr><td></td><td>I, Jonathan S. Horwitz, the Principal Executive Officer of the funds listed on Attachment A, certify that:</td></tr>
<tr><td></td><td><br>1. I have reviewed each report on Form N-CSR of the funds listed on Attachment A:</td></tr>
<tr><td></td><td><br>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;</td></tr>
<tr><td></td><td><br>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;</td></tr>
<tr><td></td><td><br>4. The registrant&#8217;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:</td></tr>
<tr><td></td><td><br><br>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;</td></tr>
<tr><td></td><td><br><br>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;</td></tr>
<tr><td></td><td><br><br>c) evaluated the effectiveness of the registrant&#8217;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</td></tr>
<tr><td></td><td><br><br>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</td></tr>
<tr><td></td><td><br>5. The registrant&#8217;s other certifying officer and I have disclosed to each registrant&#8217;s auditors and the audit committee of each registrant&#8217;s board of directors (or persons performing the equivalent functions):</td></tr>
<tr><td></td><td><br><br>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&#8217;s ability to record, process, summarize, and report financial information; and</td></tr>
<tr><td></td><td><br><br>b) any fraud, whether or not material, that involves management or other employees who have a significant role in each registrant&#8217;s internal control over financial reporting.</td></tr>
<tr><td></td><td><br>Date: May 25, 2012</td></tr>


<tr><td></td><td><br>/s/ Jonathan S. Horwitz</td></tr>
<tr><td></td><td>_______________________</td></tr>
<tr><td></td><td>Jonathan S. Horwitz</td></tr>
<tr><td></td><td>Principal Executive Officer</td></tr>

<tr><td></td><td><br><br><br><u><br><br><br><br><br><hr weight=2 noshade><br><br><br><br><br><u>Certifications<br><br></u></td></tr>
<tr><td></td><td>I, Steven D. Krichmar, the Principal Financial Officer of the funds listed on Attachment A, certify that:</td></tr>
<tr><td></td><td><br>1. I have reviewed each report on Form N-CSR of the funds listed on Attachment A:</td></tr>
<tr><td></td><td><br>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;</td></tr>
<tr><td></td><td><br>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;</td></tr>
<tr><td></td><td><br>4. The registrant&#8217;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:</td></tr>
<tr><td></td><td><br><br>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;</td></tr>
<tr><td></td><td><br><br>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;</td></tr>
<tr><td></td><td><br><br>c) evaluated the effectiveness of the registrant&#8217;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</td></tr>
<tr><td></td><td><br><br>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</td></tr>
<tr><td></td><td><br>5. The registrant&#8217;s other certifying officer and I have disclosed to each registrant&#8217;s auditors and the audit committee of each registrant&#8217;s board of directors (or persons performing the equivalent functions):</td></tr>
<tr><td></td><td><br><br>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&#8217;s ability to record, process, summarize, and report financial information; and</td></tr>
<tr><td></td><td><br><br>b) any fraud, whether or not material, that involves management or other employees who have a significant role in each registrant&#8217;s internal control over financial reporting.</td></tr>
<tr><td></td><td><br>Date: May 25, 2012</td></tr>
<tr><td></td><td><br>/s/ Steven D. Krichmar</td></tr>
<tr><td></td><td>_______________________</td></tr>
<tr><td></td><td>Steven D. Krichmar</td></tr>
<tr><td></td><td>Principal Financial Officer</td></tr>


<tr><td></td><td align=center><br><br><br><br><br><br><br><br><br><hr weight=2 noshade><br><br><br><br><br><font size=+2><b>Attachment A</b></font></td></tr>
<tr><td></td><td align=center><br><font size=+2><b>N-CSR</b></font></td></tr>
<tr><td></td><td align=center><br>Period (s) ended March 31, 2012</td></tr>

<tr><td></td><td>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Putnam Master Intermediate Income Trust</td></tr>
<tr><td></td><td>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Putnam California Tax Exempt Income Fund</td></tr>
<tr><td></td><td>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Putnam American Government Income Fund</td></tr>
<tr><td></td><td>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Putnam Tax Exempt Income Fund</td></tr>
<tr><td></td><td>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Putnam International Growth Fund</td></tr>
<tr><td></td><td>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Putnam U.S. Government Income Trust</td></tr>
<tr><td></td><td>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Putnam Money Market Fund</td></tr>
<tr><td></td><td>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Putnam Money Market Liquidity Fund</td></tr>
<tr><td></td><td>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Putnam Tax Exempt Money Market Fund</td></tr>
<tr><td></td><td>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Putnam Diversified Income Trust</td></tr>
<tr><td></td><td>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Putnam Dynamic Asset Allocation Balanced Fund</td></tr>
<tr><td></td><td>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Putnam Dynamic Asset Allocation Growth Fund</td></tr>
<tr><td></td><td>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Putnam Dynamic Asset Allocation Conservative Fund</td></tr>




</table>
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</DOCUMENT>
<DOCUMENT>
<TYPE>EX-99.906 CERT
<SEQUENCE>3
<FILENAME>c_074noscertification.htm
<DESCRIPTION>CERTIFICATION 906
<TEXT>

<html>

     <head>
          <TITLE>c_074noscertification.htm</TITLE>
     </head>
     <body>
     <font face=sans-serif size=2>

<br><br>

<table width=95% border=0 cellspacing=0 cellpadding=1>
<tr>
<td width=5%></td>
<td width=95%></td>
</tr>     <tr><td></td><td><u>Section 906 Certifications<br><br></u></td></tr>
<tr><td></td><td>I, Jonathan S. Horwitz, the Principal Executive Officer of the Funds listed on Attachment A, certify that, to my knowledge:</td></tr>
<tr><td></td><td><br>1. The form N-CSR of the Funds listed on Attachment A for the period ended March 31, 2012     fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and</td></tr>

<tr><td></td><td><br>2. The information contained in the Form N-CSR of the Funds listed on Attachment A for the period ended March 31, 2012 fairly presents, in all material respects, the financial condition and results of operations of the Funds listed on Attachment A.</td></tr>

<tr><td></td><td><br>Date: May 25, 2012</td></tr>

<tr><td></td><td><br>/s/ Jonathan S. Horwitz</td></tr>
<tr><td></td><td>______________________</td></tr>
<tr><td></td><td>Jonathan S. Horwitz</td></tr>
<tr><td></td><td>Principal Executive Officer</td></tr>


<tr><td></td><td><br><br><br><u><br><br><br><br><br><hr weight=2 noshade><br><br><br><br><br><u>Section 906 Certifications<br><br></u></td></tr>
<tr><td></td><td>I, Steven D. Krichmar, the Principal Financial Officer of the Funds listed on Attachment A, certify that, to my knowledge:</td></tr>
<tr><td></td><td><br>1. The form N-CSR of the Funds listed on Attachment A for the period ended March 31, 2012   fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and</td></tr>

<tr><td></td><td><br>2. The information contained in the Form N-CSR of the Funds listed on Attachment A for the period ended March 31, 2012 fairly presents, in all material respects, the financial condition and results of operations of the Funds listed on Attachment A.</td></tr>

<tr><td></td><td><br>Date: May 25, 2012</td></tr>

<tr><td></td><td><br>/s/ Steven D. Krichmar</td></tr>
<tr><td></td><td>______________________</td></tr>
<tr><td></td><td>Steven D. Krichmar</td></tr>
<tr><td></td><td>Principal Financial Officer</td></tr>






<tr><td></td><td align=center><br><br><br><br><br><br><br><br><br><hr weight=2 noshade><br><br><br><br><br><font size=+2><b>Attachment A</b></font></td></tr>
<tr><td></td><td align=center><br><font size=+2><b>N-CSR</b></font></td></tr>
<tr><td></td><td align=center><br>Period (s) ended March 31, 2012</td></tr>

<tr><td></td><td>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Putnam Master Intermediate Income Trust</td></tr>
<tr><td></td><td>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Putnam California Tax Exempt Income Fund</td></tr>
<tr><td></td><td>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Putnam American Government Income Fund</td></tr>
<tr><td></td><td>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Putnam Tax Exempt Income Fund</td></tr>
<tr><td></td><td>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Putnam International Growth Fund</td></tr>
<tr><td></td><td>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Putnam U.S. Government Income Trust</td></tr>
<tr><td></td><td>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Putnam Money Market Fund</td></tr>
<tr><td></td><td>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Putnam Money Market Liquidity Fund</td></tr>
<tr><td></td><td>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Putnam Tax Exempt Money Market Fund</td></tr>
<tr><td></td><td>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Putnam Diversified Income Trust</td></tr>
<tr><td></td><td>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Putnam Dynamic Asset Allocation Balanced Fund</td></tr>
<tr><td></td><td>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Putnam Dynamic Asset Allocation Growth Fund</td></tr>
<tr><td></td><td>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Putnam Dynamic Asset Allocation Conservative Fund</td></tr>


<tr><td></td><td>rred compensation plans.</td></tr>

</table>
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</TEXT>
</DOCUMENT>
<DOCUMENT>
<TYPE>GRAPHIC
<SEQUENCE>4
<FILENAME>masterinterinctrustx1x1.jpg
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end
</TEXT>
</DOCUMENT>
</SEC-DOCUMENT>
