<SEC-DOCUMENT>0000928816-14-001401.txt : 20140827
<SEC-HEADER>0000928816-14-001401.hdr.sgml : 20140827
<ACCEPTANCE-DATETIME>20140827120101
ACCESSION NUMBER:		0000928816-14-001401
CONFORMED SUBMISSION TYPE:	N-Q
PUBLIC DOCUMENT COUNT:		2
CONFORMED PERIOD OF REPORT:	20140630
FILED AS OF DATE:		20140827
DATE AS OF CHANGE:		20140827
EFFECTIVENESS DATE:		20140827

FILER:

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

	FILING VALUES:
		FORM TYPE:		N-Q
		SEC ACT:		1940 Act
		SEC FILE NUMBER:	811-05498
		FILM NUMBER:		141067389

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

	MAIL ADDRESS:	
		STREET 1:		ONE POST OFFICE SQ
		CITY:			BOSTON
		STATE:			MA
		ZIP:			02109
</SEC-HEADER>
<DOCUMENT>
<TYPE>N-Q
<SEQUENCE>1
<FILENAME>a_mastintermedinctrst.htm
<DESCRIPTION>PUTNAM MASTER INTERMEDIATE INCOME TRUST
<TEXT>
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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=+3><br><b>FORM N-Q</b><br><br></font></td></tr></table>




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<tr valign=top><td></td><td align=center colspan=2><font size=+2><b>QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED<br>MANAGEMENT INVESTMENT COMPANY</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>Bryan Chegwidden, Esq.<br>Ropes & Gray LLP<br>1211 Avenue of the Americas<br>New York, New York 10036</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, 2014</td></tr></table>




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<tr valign=top><td></td><td>Date of reporting period:</td>	<td>June 30, 2014</td></tr></table>






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<br><tr valign=top><td></td><td><br><br><u>Item 1. Schedule of Investments:</td>	<td></u></td></tr></table><br>















































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		<TR><TD></TD><TD colspan=6><FONT size=+3><B>Putnam Master Intermediate Income Trust</B></FONT></TD></TR>
					<TR><TD><BR></TD></TR>

		<TR><TD></TD><TD colspan=6><FONT size=+1><B>The fund's portfolio</B></FONT></TD></TR>
		<TR><TD></TD><TD colspan=6><FONT size=+1><B>6/30/14 (Unaudited)</B></FONT></TD></TR><TR height=24><TD></TD></TR>
	<TR height=48></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=6><FONT size=+0><B>MORTGAGE-BACKED SECURITIES (48.3%)<sup><B><I>(a)</I></B></sup></B></FONT></TD></TR>

	<TR height=6></TR><TR vAlign=top align=left><TD></TD>	<TD vAlign=top align=left><B></B></TD>	<TD vAlign=top align=left><B></B></TD>	<TD vAlign=top align=left><B></B></TD>	<TD vAlign=bottom align=right><B></B></TD>	<TD vAlign=bottom align=right><B>Principal amount</B></TD>	<TD vAlign=bottom align=right><B>Value</B></TD><TR height=2><TD></TD><TD colspan=6><HR SIZE=2 noShade></TD></TR>
	<TR height=6></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=6><FONT size=+0><B>Agency collateralized mortgage obligations (20.0%)</B></FONT></TD></TR>

	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Federal Home Loan Mortgage Corporation</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right></TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; IFB Ser. 3182, Class SP, 27.993s, 2032</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>$199,982</TD>	<TD vAlign=bottom align=right>$297,811</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; IFB Ser. 3408, Class EK, 25.182s, 2037</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>95,232</TD>	<TD vAlign=bottom align=right>139,297</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; IFB Ser. 2979, Class AS, 23.717s, 2034</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>30,338</TD>	<TD vAlign=bottom align=right>38,833</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; IFB Ser. 3072, Class SM, 23.24s, 2035</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>145,701</TD>	<TD vAlign=bottom align=right>209,146</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; IFB Ser. 3072, Class SB, 23.094s, 2035</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>130,524</TD>	<TD vAlign=bottom align=right>186,110</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; IFB Ser. 3249, Class PS, 21.774s, 2036</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>100,608</TD>	<TD vAlign=bottom align=right>138,348</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; IFB Ser. 3998, Class KS, IO, 6.548s, 2027</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>1,705,838</TD>	<TD vAlign=bottom align=right>289,326</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; IFB Ser. 4105, Class LS, IO, 5.998s, 2041</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>2,150,913</TD>	<TD vAlign=bottom align=right>396,865</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; IFB Ser. 319, Class S2, IO, 5.848s, 2043</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>1,525,475</TD>	<TD vAlign=bottom align=right>352,827</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; IFB Ser. 4240, Class SA, IO, 5.848s, 2043</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>3,261,098</TD>	<TD vAlign=bottom align=right>760,488</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; IFB Ser. 317, Class S3, IO, 5.828s, 2043</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>3,373,488</TD>	<TD vAlign=bottom align=right>771,921</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; IFB Ser. 14-325, Class S1, IO, 5.798s, 2044</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>2,849,663</TD>	<TD vAlign=bottom align=right>622,338</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; IFB Ser. 14-326, Class S2, IO, 5.798s, 2044</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>8,846,922</TD>	<TD vAlign=bottom align=right>2,170,833</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; IFB Ser. 323, Class S1, IO, 5.798s, 2044</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>3,870,253</TD>	<TD vAlign=bottom align=right>866,573</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; IFB Ser. 311, Class S1, IO, 5.798s, 2043</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>6,923,122</TD>	<TD vAlign=bottom align=right>1,573,706</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; IFB Ser. 308, Class S1, IO, 5.798s, 2043</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>2,644,059</TD>	<TD vAlign=bottom align=right>675,901</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; IFB Ser. 269, Class S1, IO, 5.798s, 2042</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>2,428,624</TD>	<TD vAlign=bottom align=right>561,328</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; IFB Ser. 14-327, Class S8, IO, 5.768s, 2044</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>812,889</TD>	<TD vAlign=bottom align=right>177,795</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 3632, Class CI, IO, 5s, 2038</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>380,292</TD>	<TD vAlign=bottom align=right>32,572</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 3626, Class DI, IO, 5s, 2037</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>74,730</TD>	<TD vAlign=bottom align=right>818</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 4122, Class TI, IO, 4 1/2s, 2042</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>2,920,549</TD>	<TD vAlign=bottom align=right>653,326</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 4000, Class PI, IO, 4 1/2s, 2042</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>1,641,750</TD>	<TD vAlign=bottom align=right>335,901</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 4193, Class PI, IO, 4s, 2043</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>3,431,496</TD>	<TD vAlign=bottom align=right>609,081</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 304, Class C53, IO, 4s, 2032</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>1,847,057</TD>	<TD vAlign=bottom align=right>332,415</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 4338, Class TI, IO, 4s, 2029</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>3,849,012</TD>	<TD vAlign=bottom align=right>548,483</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 13-303, Class C19, IO, 3 1/2s, 2043</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>3,300,865</TD>	<TD vAlign=bottom align=right>767,835</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 304, Class C22, IO, 3 1/2s, 2042</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>2,187,661</TD>	<TD vAlign=bottom align=right>511,366</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 4122, Class AI, IO, 3 1/2s, 2042</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>4,326,813</TD>	<TD vAlign=bottom align=right>665,236</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 4122, Class CI, IO, 3 1/2s, 2042</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>3,951,184</TD>	<TD vAlign=bottom align=right>607,484</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 4105, Class HI, IO, 3 1/2s, 2041</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>1,957,455</TD>	<TD vAlign=bottom align=right>297,377</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 304, IO, 3 1/2s, 2027</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>3,736,533</TD>	<TD vAlign=bottom align=right>436,390</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 304, Class C37, IO, 3 1/2s, 2027</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>2,744,017</TD>	<TD vAlign=bottom align=right>351,920</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 4165, Class TI, IO, 3s, 2042</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>8,266,929</TD>	<TD vAlign=bottom align=right>1,102,807</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 4183, Class MI, IO, 3s, 2042</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>3,456,036</TD>	<TD vAlign=bottom align=right>482,808</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 4210, Class PI, IO, 3s, 2041</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>2,453,612</TD>	<TD vAlign=bottom align=right>278,811</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 304, Class C45, IO, 3s, 2027</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>3,347,098</TD>	<TD vAlign=bottom align=right>407,369</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. T-57, Class 1AX, IO, 0.004s, 2043</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>2,292,724</TD>	<TD vAlign=bottom align=right>25,128</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; FRB Ser. 3326, Class WF, zero %, 2035</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>1,675</TD>	<TD vAlign=bottom align=right>1,413</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Federal National Mortgage Association</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right></TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; IFB Ser. 06-62, Class PS, 38.988s, 2036</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>162,118</TD>	<TD vAlign=bottom align=right>303,266</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; IFB Ser. 07-53, Class SP, 23.643s, 2037</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>124,351</TD>	<TD vAlign=bottom align=right>184,337</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; IFB Ser. 08-24, Class SP, 22.726s, 2038</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>127,695</TD>	<TD vAlign=bottom align=right>192,818</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; IFB Ser. 05-75, Class GS, 19.794s, 2035</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>112,264</TD>	<TD vAlign=bottom align=right>150,108</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; IFB Ser. 05-83, Class QP, 16.999s, 2034</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>163,494</TD>	<TD vAlign=bottom align=right>210,806</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; IFB Ser. 13-101, Class HS, IO, 6.348s, 2043</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>1,475,301</TD>	<TD vAlign=bottom align=right>386,691</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; IFB Ser. 13-81, Class US, IO, 6.098s, 2043</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>2,047,368</TD>	<TD vAlign=bottom align=right>365,558</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; IFB Ser. 13-10, Class KS, IO, 6.048s, 2043</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>1,922,784</TD>	<TD vAlign=bottom align=right>389,767</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; IFB Ser. 13-19, Class DS, IO, 6.048s, 2041</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>4,268,759</TD>	<TD vAlign=bottom align=right>774,213</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; IFB Ser. 13-41, Class SP, IO, 6.048s, 2040</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>1,666,322</TD>	<TD vAlign=bottom align=right>266,812</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 12-134, Class SA, IO, 5.998s, 2042</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>2,677,641</TD>	<TD vAlign=bottom align=right>628,002</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; IFB Ser. 13-19, Class SK, IO, 5.998s, 2043</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>2,459,262</TD>	<TD vAlign=bottom align=right>546,709</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; IFB Ser. 12-128, Class ST, IO, 5.998s, 2042</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>1,777,070</TD>	<TD vAlign=bottom align=right>397,229</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; IFB Ser. 13-18, Class SB, IO, 5.998s, 2041</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>1,956,148</TD>	<TD vAlign=bottom align=right>319,439</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; IFB Ser. 13-124, Class SB, IO, 5.798s, 2043</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>1,790,692</TD>	<TD vAlign=bottom align=right>410,740</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; IFB Ser. 411, Class S1, IO, 5.798s, 2042</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>2,322,860</TD>	<TD vAlign=bottom align=right>493,120</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; IFB Ser. 13-128, Class CS, IO, 5.748s, 2043</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>3,446,410</TD>	<TD vAlign=bottom align=right>797,877</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; IFB Ser. 13-101, Class CS, IO, 5.748s, 2043</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>2,153,288</TD>	<TD vAlign=bottom align=right>496,569</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 374, Class 6, IO, 5 1/2s, 2036</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>297,876</TD>	<TD vAlign=bottom align=right>57,463</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 12-132, Class PI, IO, 5s, 2042</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>3,705,794</TD>	<TD vAlign=bottom align=right>785,442</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 398, Class C5, IO, 5s, 2039</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>190,648</TD>	<TD vAlign=bottom align=right>27,358</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 10-13, Class EI, IO, 5s, 2038</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>71,757</TD>	<TD vAlign=bottom align=right>1,476</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 378, Class 19, IO, 5s, 2035</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>828,107</TD>	<TD vAlign=bottom align=right>158,373</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 12-127, Class BI, IO, 4 1/2s, 2042</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>1,034,919</TD>	<TD vAlign=bottom align=right>268,986</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 12-30, Class HI, IO, 4 1/2s, 2040</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>8,125,932</TD>	<TD vAlign=bottom align=right>1,624,535</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 409, Class 81, IO, 4 1/2s, 2040</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>3,964,042</TD>	<TD vAlign=bottom align=right>689,643</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 409, Class 82, IO, 4 1/2s, 2040</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>4,186,269</TD>	<TD vAlign=bottom align=right>740,507</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 366, Class 22, IO, 4 1/2s, 2035</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>342,259</TD>	<TD vAlign=bottom align=right>25,043</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 12-75, Class AI, IO, 4 1/2s, 2027</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>1,607,400</TD>	<TD vAlign=bottom align=right>179,402</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 418, Class C24, IO, 4s, 2043</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>3,016,394</TD>	<TD vAlign=bottom align=right>699,661</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 13-41, Class IP, IO, 4s, 2043</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>2,666,932</TD>	<TD vAlign=bottom align=right>502,556</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 13-44, Class PI, IO, 4s, 2043</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>2,623,896</TD>	<TD vAlign=bottom align=right>454,056</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 13-60, Class IP, IO, 4s, 2042</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>1,876,441</TD>	<TD vAlign=bottom align=right>330,645</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 12-96, Class PI, IO, 4s, 2041</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>2,030,903</TD>	<TD vAlign=bottom align=right>351,549</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 406, Class 2, IO, 4s, 2041</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>1,817,819</TD>	<TD vAlign=bottom align=right>384,832</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 406, Class 1, IO, 4s, 2041</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>1,256,603</TD>	<TD vAlign=bottom align=right>270,421</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 409, Class C16, IO, 4s, 2040</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>2,717,515</TD>	<TD vAlign=bottom align=right>496,965</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 418, Class C15, IO, 3 1/2s, 2043</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>6,275,459</TD>	<TD vAlign=bottom align=right>1,417,861</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 12-145, Class TI, IO, 3s, 2042</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>4,030,672</TD>	<TD vAlign=bottom align=right>455,868</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 13-35, Class IP, IO, 3s, 2042</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>3,372,583</TD>	<TD vAlign=bottom align=right>373,487</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 13-53, Class JI, IO, 3s, 2041</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>2,706,192</TD>	<TD vAlign=bottom align=right>347,577</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 13-23, Class PI, IO, 3s, 2041</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>3,214,000</TD>	<TD vAlign=bottom align=right>321,561</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 03-W10, Class 1, IO, 1.083s, 2043</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>448,102</TD>	<TD vAlign=bottom align=right>12,708</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 99-51, Class N, PO, zero %, 2029</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>19,027</TD>	<TD vAlign=bottom align=right>17,124</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Government National Mortgage Association</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right></TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; IFB Ser. 10-163, Class SI, IO, 6.478s, 2037</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>2,762,042</TD>	<TD vAlign=bottom align=right>407,404</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; IFB Ser. 11-56, Class MI, IO, 6.297s, 2041</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>2,318,428</TD>	<TD vAlign=bottom align=right>537,412</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 13-116, Class SA, IO, 5.998s, 2043</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>2,202,484</TD>	<TD vAlign=bottom align=right>398,848</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; IFB Ser. 13-129, Class SN, IO, 5.997s, 2043</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>1,703,695</TD>	<TD vAlign=bottom align=right>295,744</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; IFB Ser. 13-165, Class LS, IO, 5.997s, 2043</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>1,702,561</TD>	<TD vAlign=bottom align=right>325,257</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; IFB Ser. 10-20, Class SC, IO, 5.997s, 2040</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>3,923,620</TD>	<TD vAlign=bottom align=right>705,271</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 13-182, Class LS, IO, 5.987s, 2043</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>1,769,674</TD>	<TD vAlign=bottom align=right>406,896</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 14-58, Class SA, IO, 5.947s, 2044</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>4,896,345</TD>	<TD vAlign=bottom align=right>809,072</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 13-149, Class MS, IO, 5.947s, 2039</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>3,110,768</TD>	<TD vAlign=bottom align=right>528,394</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; IFB Ser. 12-77, Class MS, IO, 5.947s, 2042</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>1,729,003</TD>	<TD vAlign=bottom align=right>411,728</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; IFB Ser. 11-128, Class TS, IO, 5.898s, 2041</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>1,454,703</TD>	<TD vAlign=bottom align=right>284,104</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; IFB Ser. 13-99, Class AS, IO, 5.897s, 2043</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>1,529,060</TD>	<TD vAlign=bottom align=right>354,222</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; IFB Ser. 10-151, Class SA, IO, 5.897s, 2040</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>1,036,511</TD>	<TD vAlign=bottom align=right>184,914</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; IFB Ser. 11-70, Class SM, IO, 5.738s, 2041</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>2,415,000</TD>	<TD vAlign=bottom align=right>580,276</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; IFB Ser. 11-70, Class SH, IO, 5.738s, 2041</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>2,481,000</TD>	<TD vAlign=bottom align=right>595,887</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 13-22, Class IE, IO, 5s, 2043</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>2,824,051</TD>	<TD vAlign=bottom align=right>574,588</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 13-22, Class OI, IO, 5s, 2043</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>2,617,266</TD>	<TD vAlign=bottom align=right>534,961</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 13-3, Class IT, IO, 5s, 2043</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>2,339,263</TD>	<TD vAlign=bottom align=right>479,066</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 13-6, Class IC, IO, 5s, 2043</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>2,077,300</TD>	<TD vAlign=bottom align=right>433,491</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 12-146, Class IO, IO, 5s, 2042</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>2,085,903</TD>	<TD vAlign=bottom align=right>454,998</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 13-6, Class CI, IO, 5s, 2042</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>1,552,257</TD>	<TD vAlign=bottom align=right>307,750</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 13-130, Class IB, IO, 5s, 2040</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>2,018,067</TD>	<TD vAlign=bottom align=right>250,440</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 13-16, Class IB, IO, 5s, 2040</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>2,974,041</TD>	<TD vAlign=bottom align=right>266,601</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 11-41, Class BI, IO, 5s, 2040</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>1,728,380</TD>	<TD vAlign=bottom align=right>193,529</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 10-35, Class UI, IO, 5s, 2040</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>1,216,159</TD>	<TD vAlign=bottom align=right>271,424</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 10-20, Class UI, IO, 5s, 2040</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>2,248,441</TD>	<TD vAlign=bottom align=right>430,194</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 10-9, Class UI, IO, 5s, 2040</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>14,988,453</TD>	<TD vAlign=bottom align=right>3,320,221</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 09-121, Class UI, IO, 5s, 2039</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>4,812,559</TD>	<TD vAlign=bottom align=right>1,100,776</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 13-34, Class IH, IO, 4 1/2s, 2043</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>4,341,449</TD>	<TD vAlign=bottom align=right>927,985</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 13-24, Class IC, IO, 4 1/2s, 2043</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>1,499,429</TD>	<TD vAlign=bottom align=right>320,503</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 11-140, Class BI, IO, 4 1/2s, 2040</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>1,026,803</TD>	<TD vAlign=bottom align=right>110,505</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 11-18, Class PI, IO, 4 1/2s, 2040</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>296,412</TD>	<TD vAlign=bottom align=right>53,117</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 10-35, Class AI, IO, 4 1/2s, 2040</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>4,296,014</TD>	<TD vAlign=bottom align=right>819,980</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 10-35, Class QI, IO, 4 1/2s, 2040</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>10,028,767</TD>	<TD vAlign=bottom align=right>2,098,885</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 13-151, Class IB, IO, 4 1/2s, 2040</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>4,443,106</TD>	<TD vAlign=bottom align=right>988,598</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 10-9, Class QI, IO, 4 1/2s, 2040</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>2,713,913</TD>	<TD vAlign=bottom align=right>588,125</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 10-168, Class PI, IO, 4 1/2s, 2039</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>1,018,387</TD>	<TD vAlign=bottom align=right>168,197</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 10-158, Class IP, IO, 4 1/2s, 2039</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>3,377,138</TD>	<TD vAlign=bottom align=right>514,439</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 10-98, Class PI, IO, 4 1/2s, 2037</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>1,368,400</TD>	<TD vAlign=bottom align=right>157,092</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 14-4, Class IC, IO, 4s, 2044</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>2,132,599</TD>	<TD vAlign=bottom align=right>454,308</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 13-165, Class IL, IO, 4s, 2043</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>1,571,947</TD>	<TD vAlign=bottom align=right>269,573</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 12-56, Class IB, IO, 4s, 2042</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>1,689,659</TD>	<TD vAlign=bottom align=right>386,580</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 12-47, Class CI, IO, 4s, 2042</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>4,192,546</TD>	<TD vAlign=bottom align=right>957,684</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 12-41, Class IP, IO, 4s, 2041</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>4,216,173</TD>	<TD vAlign=bottom align=right>811,614</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 13-76, Class IO, IO, 3 1/2s, 2043</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>7,620,312</TD>	<TD vAlign=bottom align=right>1,308,483</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 13-28, Class IO, IO, 3 1/2s, 2043</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>2,579,192</TD>	<TD vAlign=bottom align=right>412,268</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 13-54, Class JI, IO, 3 1/2s, 2043</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>3,348,041</TD>	<TD vAlign=bottom align=right>554,871</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 13-37, Class JI, IO, 3 1/2s, 2043</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>4,891,250</TD>	<TD vAlign=bottom align=right>775,850</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 13-14, Class IO, IO, 3 1/2s, 2042</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>6,850,137</TD>	<TD vAlign=bottom align=right>1,010,942</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 13-27, Class PI, IO, 3 1/2s, 2042</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>3,587,750</TD>	<TD vAlign=bottom align=right>614,617</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 12-140, Class IC, IO, 3 1/2s, 2042</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>3,692,937</TD>	<TD vAlign=bottom align=right>858,587</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 06-36, Class OD, PO, zero %, 2036</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>5,077</TD>	<TD vAlign=bottom align=right>4,492</TD></TR>
	<TR height=18><TD colspan=6></TD><TD><HR SIZE=2 noShade align=right Width="70%"></TD></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=5><FONT size=+0><B></B></FONT></TD>
										<TD align=right><FONT size=+0><B>67,597,909</B></FONT></TD></TR>

	<TR height=6></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=6><FONT size=+0><B>Commercial mortgage-backed securities (18.4%)</B></FONT></TD></TR>

	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Banc of America Commercial Mortgage Trust</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right></TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 06-4, Class AJ, 5.695s, 2046</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>683,000</TD>	<TD vAlign=bottom align=right>715,298</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; FRB Ser. 05-5, Class D, 5.388s, 2045</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>600,000</TD>	<TD vAlign=bottom align=right>610,560</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Banc of America Commercial Mortgage Trust 144A</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right></TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 01-1, Class K, 6 1/8s, 2036</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>318,538</TD>	<TD vAlign=bottom align=right>158,313</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 07-5, Class XW, IO, 0.531s, 2051</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>78,642,481</TD>	<TD vAlign=bottom align=right>745,059</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Bear Stearns Commercial Mortgage Securities Trust</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right></TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 05-PWR7, Class D, 5.304s, 2041</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>441,000</TD>	<TD vAlign=bottom align=right>426,138</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 05-PWR7, Class B, 5.214s, 2041</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>697,000</TD>	<TD vAlign=bottom align=right>702,619</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 05-PWR9, Class C, 5.055s, 2042</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>401,000</TD>	<TD vAlign=bottom align=right>392,539</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Bear Stearns Commercial Mortgage Securities Trust 144A Ser. 06-PW14, Class XW, IO, 0.832s, 2038</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>17,916,426</TD>	<TD vAlign=bottom align=right>284,871</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>CFCRE Commercial Mortgage Trust 144A FRB Ser. 11-C2, Class E, 5.744s, 2047</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>409,000</TD>	<TD vAlign=bottom align=right>433,356</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Citigroup Commercial Mortgage Trust</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right></TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 06-C5, Class AJ, 5.482s, 2049</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>610,000</TD>	<TD vAlign=bottom align=right>617,558</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; FRB Ser. 05-C3, Class B, 5.029s, 2043</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>1,720,000</TD>	<TD vAlign=bottom align=right>1,678,720</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 13-GC11, Class D, 4.606s, 2046</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>484,000</TD>	<TD vAlign=bottom align=right>451,641</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Citigroup Commercial Mortgage Trust 144A</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right></TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; FRB Ser. 04-C1, Class G, 5.924s, 2040</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>1,531,326</TD>	<TD vAlign=bottom align=right>1,531,325</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; FRB Ser. 12-GC8, Class D, 5.04s, 2045</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>401,000</TD>	<TD vAlign=bottom align=right>401,882</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Citigroup/Deutsche Bank Commercial Mortgage Trust 144A</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right></TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; FRB Ser. 07-CD5, Class E, 6.321s, 2044</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>507,000</TD>	<TD vAlign=bottom align=right>501,930</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 07-CD5, Class XS, IO, 0.086s, 2044</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>29,357,951</TD>	<TD vAlign=bottom align=right>130,412</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>COMM Mortgage Trust FRB Ser. 07-C9, Class F, 5.988s, 2049</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>962,000</TD>	<TD vAlign=bottom align=right>952,380</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>COMM Mortgage Trust 144A</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right></TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; FRB Ser. 12-LC4, Class D, 5.823s, 2044</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>1,145,000</TD>	<TD vAlign=bottom align=right>1,182,212</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; FRB Ser. 12-CR3, Class E, 4.927s, 2045</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>790,000</TD>	<TD vAlign=bottom align=right>782,384</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; FRB Ser. 14-CR18, Class D, 4.74s, 2047</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>1,477,000</TD>	<TD vAlign=bottom align=right>1,378,686</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; FRB Ser. 13-LC6, Class D, 4.432s, 2046</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>182,000</TD>	<TD vAlign=bottom align=right>170,372</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; FRB Ser. 07-C9, Class AJFL, 0.844s, 2049</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>641,000</TD>	<TD vAlign=bottom align=right>602,540</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Credit Suisse Commercial Mortgage Trust Ser. 06-C5, Class AX, IO, 0.92s, 2039</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>20,370,811</TD>	<TD vAlign=bottom align=right>297,593</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Credit Suisse First Boston Mortgage Securities Corp. Ser. 05-C5, Class C, 5.1s, 2038</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>416,000</TD>	<TD vAlign=bottom align=right>429,501</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Crest, Ltd. 144A Ser. 03-2A, Class E2, 8s, 2038 (Cayman Islands)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>591,671</TD>	<TD vAlign=bottom align=right>24,259</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>DBUBS Mortgage Trust 144A FRB Ser. 11-LC3A, Class D, 5.578s, 2044</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>1,340,000</TD>	<TD vAlign=bottom align=right>1,422,409</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>FFCA Secured Lending Corp. 144A Ser. 00-1, Class X, IO, 1.013s, 2020</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>2,233,355</TD>	<TD vAlign=bottom align=right>36,850</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>GE Capital Commercial Mortgage Corp. FRB Ser. 05-C1, Class D, 4.949s, 2048</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>2,843,000</TD>	<TD vAlign=bottom align=right>2,747,759</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>GMAC Commercial Mortgage Securities, Inc. Trust Ser. 04-C3, Class B, 4.965s, 2041</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>452,000</TD>	<TD vAlign=bottom align=right>453,808</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>GMAC Commercial Mortgage Securities, Inc. Trust 144A Ser. 04-C3, Class X1, IO, 0.932s, 2041</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>30,627,337</TD>	<TD vAlign=bottom align=right>164,928</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Greenwich Capital Commercial Funding Corp. FRB Ser. 05-GG3, Class D, 4.986s, 2042</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>803,000</TD>	<TD vAlign=bottom align=right>806,016</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>GS Mortgage Securities Trust Ser. 05-GG4, Class AJ, 4.782s, 2039</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>846,000</TD>	<TD vAlign=bottom align=right>856,555</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>GS Mortgage Securities Trust 144A</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right></TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; FRB Ser. 12-GC6, Class D, 5.826s, 2045</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>1,213,000</TD>	<TD vAlign=bottom align=right>1,264,188</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; FRB Ser. 11-GC3, Class D, 5.728s, 2044</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>935,000</TD>	<TD vAlign=bottom align=right>987,339</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; FRB Ser. 11-GC3, Class E, 5s, 2044</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>577,000</TD>	<TD vAlign=bottom align=right>533,274</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; FRB Ser. GC10, Class D, 4.562s, 2046</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>707,000</TD>	<TD vAlign=bottom align=right>655,601</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 05-GG4, Class XC, IO, 0.879s, 2039</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>51,734,330</TD>	<TD vAlign=bottom align=right>227,631</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Guggenheim Structured Real Estate Funding, Ltd. 144A FRB Ser. 05-2A, Class E, 2.152s, 2030 (Cayman Islands)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>379,000</TD>	<TD vAlign=bottom align=right>259,615</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>JPMorgan Chase Commercial Mortgage Securities Trust</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right></TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; FRB Ser. 07-CB20, Class AJ, 6.279s, 2051</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>1,054,500</TD>	<TD vAlign=bottom align=right>1,118,191</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; FRB Ser. 06-LDP6, Class B, 5.687s, 2043</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>793,000</TD>	<TD vAlign=bottom align=right>793,000</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 06-LDP6, Class AJ, 5.565s, 2043</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>1,068,000</TD>	<TD vAlign=bottom align=right>1,117,554</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 06-LDP8, Class B, 5.52s, 2045</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>362,000</TD>	<TD vAlign=bottom align=right>371,774</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; FRB Ser. 04-CBX, Class B, 5.021s, 2037</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>247,000</TD>	<TD vAlign=bottom align=right>248,586</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; FRB Ser. 05-LDP2, Class E, 4.981s, 2042</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>847,000</TD>	<TD vAlign=bottom align=right>806,499</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>JPMorgan Chase Commercial Mortgage Securities Trust 144A</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right></TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; FRB Ser. 07-CB20, Class B, 6.379s, 2051</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>568,000</TD>	<TD vAlign=bottom align=right>585,715</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; FRB Ser. 07-CB20, Class C, 6.379s, 2051</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>410,000</TD>	<TD vAlign=bottom align=right>386,372</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; FRB Ser. 11-C3, Class F, 5.752s, 2046</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>410,000</TD>	<TD vAlign=bottom align=right>413,225</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; FRB Ser. 12-C8, Class E, 4.823s, 2045</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>413,000</TD>	<TD vAlign=bottom align=right>409,715</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; FRB Ser. 13-C13, Class D, 4.191s, 2046</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>722,000</TD>	<TD vAlign=bottom align=right>666,412</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; FRB Ser. 13-C13, Class E, 3.986s, 2046</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>639,000</TD>	<TD vAlign=bottom align=right>502,367</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; FRB Ser. 13-C10, Class E, 3 1/2s, 2047</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>808,000</TD>	<TD vAlign=bottom align=right>598,162</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; FRB Ser. 13-LC11, Class E, 3 1/4s, 2046</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>541,000</TD>	<TD vAlign=bottom align=right>388,005</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 07-CB20, Class X1, IO, 0.199s, 2051</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>51,539,346</TD>	<TD vAlign=bottom align=right>472,513</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>LB Commercial Conduit Mortgage Trust 144A Ser. 99-C1, Class G, 6.41s, 2031</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>442,382</TD>	<TD vAlign=bottom align=right>462,289</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>LB-UBS Commercial Mortgage Trust</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right></TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; FRB Ser. 06-C3, Class C, 5.922s, 2039<sup><B><I>(F)</I></B></sup></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>1,765,000</TD>	<TD vAlign=bottom align=right>1,588,509</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 06-C3, Class AJ, 5.72s, 2039</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>739,000</TD>	<TD vAlign=bottom align=right>749,789</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 06-C6, Class E, 5.541s, 2039</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>750,000</TD>	<TD vAlign=bottom align=right>688,800</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; FRB Ser. 06-C6, Class C, 5.482s, 2039</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>471,000</TD>	<TD vAlign=bottom align=right>462,169</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>LB-UBS Commercial Mortgage Trust 144A Ser. 06-C6, Class XCL, IO, 0.855s, 2039</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>17,614,378</TD>	<TD vAlign=bottom align=right>251,569</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Merrill Lynch Mortgage Investors Trust Ser. 96-C2, Class JS, IO, 2.371s, 2028</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>54,598</TD>	<TD vAlign=bottom align=right>5</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Merrill Lynch Mortgage Trust FRB Ser. 08-C1, Class AJ, 6.47s, 2051</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>395,000</TD>	<TD vAlign=bottom align=right>434,619</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Mezz Cap Commercial Mortgage Trust 144A</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right></TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 04-C1, Class X, IO, 8.914s, 2037</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>62,072</TD>	<TD vAlign=bottom align=right>1,893</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 07-C5, Class X, IO, 5.964s, 2049</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>1,121,500</TD>	<TD vAlign=bottom align=right>60,000</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>ML-CFC Commercial Mortgage Trust</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right></TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 06-3, Class AJ, 5.485s, 2046</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>602,000</TD>	<TD vAlign=bottom align=right>616,266</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 06-4, Class AJ, 5.239s, 2049</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>248,000</TD>	<TD vAlign=bottom align=right>252,662</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>ML-CFC Commercial Mortgage Trust 144A Ser. 06-4, Class AJFX, 5.147s, 2049</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>388,000</TD>	<TD vAlign=bottom align=right>378,222</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Morgan Stanley Bank of America Merrill Lynch Trust 144A</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right></TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 13-C10, Class D, 4.218s, 2046</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>243,000</TD>	<TD vAlign=bottom align=right>220,481</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; FRB Ser. 13-C10, Class E, 4.218s, 2046</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>523,000</TD>	<TD vAlign=bottom align=right>454,121</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Morgan Stanley Capital I Trust</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right></TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 06-HQ9, Class C, 5.842s, 2044</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>1,100,000</TD>	<TD vAlign=bottom align=right>1,142,609</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; FRB Ser. 06-HQ8, Class D, 5.678s, 2044</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>598,000</TD>	<TD vAlign=bottom align=right>566,127</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 07-HQ11, Class C, 5.558s, 2044</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>590,000</TD>	<TD vAlign=bottom align=right>598,083</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 06-HQ10, Class AJ, 5.389s, 2041</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>577,000</TD>	<TD vAlign=bottom align=right>594,829</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 04-IQ8, Class C, 5.3s, 2040</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>1,400,000</TD>	<TD vAlign=bottom align=right>1,398,179</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Morgan Stanley Capital I Trust 144A FRB Ser. 04-RR, Class F7, 6s, 2039</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>1,158,297</TD>	<TD vAlign=bottom align=right>1,111,965</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Morgan Stanley ReREMIC Trust 144A FRB Ser. 10-C30A, Class A3B, 5.246s, 2043</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>1,162,817</TD>	<TD vAlign=bottom align=right>1,164,189</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>STRIPS 144A Ser. 03-1A, Class N, 5s, 2018 (Cayman Islands)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>193,000</TD>	<TD vAlign=bottom align=right>144,750</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>TIAA Real Estate CDO, Ltd. Ser. 03-1A, Class E, 8s, 2038</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>552,146</TD>	<TD vAlign=bottom align=right>138,036</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>UBS-Barclays Commercial Mortgage Trust 144A</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right></TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; FRB Ser. 12-C3, Class D, 5.123s, 2049<sup><B><I>(F)</I></B></sup></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>609,000</TD>	<TD vAlign=bottom align=right>598,923</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 13-C6, Class D, 4.498s, 2046</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>168,000</TD>	<TD vAlign=bottom align=right>155,921</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Wachovia Bank Commercial Mortgage Trust</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right></TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; FRB Ser. 06-C26, Class AJ, 6.2s, 2045</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>1,649,000</TD>	<TD vAlign=bottom align=right>1,698,470</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; FRB Ser. 06-C25, Class AJ, 5.904s, 2043</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>617,000</TD>	<TD vAlign=bottom align=right>641,927</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; FRB Ser. 05-C20, Class B, 5.41s, 2042</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>1,423,000</TD>	<TD vAlign=bottom align=right>1,451,298</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 07-C34, IO, 0.494s, 2046</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>15,463,709</TD>	<TD vAlign=bottom align=right>187,111</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Wachovia Bank Commercial Mortgage Trust 144A FRB Ser. 05-C17, Class E, 5.59s, 2042</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>385,000</TD>	<TD vAlign=bottom align=right>387,965</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Wells Fargo Commercial Mortgage Trust 144A</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right></TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; FRB Ser. 12-LC5, Class E, 4.938s, 2045</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>462,000</TD>	<TD vAlign=bottom align=right>412,936</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; FRB Ser. 13-LC12, Class D, 4.439s, 2046</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>803,000</TD>	<TD vAlign=bottom align=right>736,855</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>WF-RBS Commercial Mortgage Trust 144A</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right></TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; FRB Ser. 12-C6, Class D, 5.748s, 2045</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>405,000</TD>	<TD vAlign=bottom align=right>425,377</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; FRB Ser. 12-C7, Class E, 5.002s, 2045</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>400,000</TD>	<TD vAlign=bottom align=right>390,563</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; FRB Ser. 12-C6, Class E, 5s, 2045</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>534,000</TD>	<TD vAlign=bottom align=right>512,053</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; FRB Ser. 13-UBS1, Class D, 4.788s, 2046</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>1,753,000</TD>	<TD vAlign=bottom align=right>1,657,058</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; FRB Ser. 13-C15, Class D, 4.634s, 2046</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>730,000</TD>	<TD vAlign=bottom align=right>681,638</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; FRB Ser. 12-C10, Class D, 4.608s, 2045</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>675,000</TD>	<TD vAlign=bottom align=right>650,219</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; FRB Ser. 12-C7, Class F, 4 1/2s, 2045</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>2,524,000</TD>	<TD vAlign=bottom align=right>2,116,122</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 14-C19, Class D, 4.234s, 2047</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>584,000</TD>	<TD vAlign=bottom align=right>522,133</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 13-C12, Class E, 3 1/2s, 2048</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>510,000</TD>	<TD vAlign=bottom align=right>393,369</TD></TR>
	<TR height=18><TD colspan=6></TD><TD><HR SIZE=2 noShade align=right Width="70%"></TD></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=5><FONT size=+0><B></B></FONT></TD>
										<TD align=right><FONT size=+0><B>61,996,310</B></FONT></TD></TR>

	<TR height=6></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=6><FONT size=+0><B>Residential mortgage-backed securities (non-agency) (9.9%)</B></FONT></TD></TR>

	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Banc of America Funding Corp. FRB Ser. 06-G, Class 2A5, 0.433s, 2036</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>391,966</TD>	<TD vAlign=bottom align=right>361,118</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Barclays Capital, LLC Trust</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right></TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 13-RR1, Class 9A4, 8.412s, 2036</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>250,000</TD>	<TD vAlign=bottom align=right>253,375</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; FRB Ser. 12-RR10, Class 9A2, 2.663s, 2035</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>980,000</TD>	<TD vAlign=bottom align=right>923,650</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 13-RR1, Class 1A2, 2.476s, 2035</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>660,000</TD>	<TD vAlign=bottom align=right>553,410</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Barclays Capital, LLC Trust 144A</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right></TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; FRB Ser. 12-RR11, Class 5A3, 10.161s, 2037</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>192,484</TD>	<TD vAlign=bottom align=right>131,851</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; FRB Ser. 12-RR2, Class 5A12, 6.471s, 2036</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>575,000</TD>	<TD vAlign=bottom align=right>548,550</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; FRB Ser. 09-RR11, Class 2A2, 2.43s, 2035</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>850,000</TD>	<TD vAlign=bottom align=right>790,500</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; FRB Ser. 14-RR2, Class 3A2, 1.083s, 2046</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>520,000</TD>	<TD vAlign=bottom align=right>350,350</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; FRB Ser. 13-RR11, Class 6A3, 0.322s, 2035</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>520,000</TD>	<TD vAlign=bottom align=right>449,280</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 12-RR11, Class 3A3, zero %, 2036</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>524,638</TD>	<TD vAlign=bottom align=right>371,811</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Bear Stearns Adjustable Rate Mortgage Trust FRB Ser. 05-12, Class 12A1, 2.515s, 2036</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>697,194</TD>	<TD vAlign=bottom align=right>618,690</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Bear Stearns Asset Backed Securities, Inc. FRB Ser. 04-FR3, Class M6, 5.025s, 2034</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>44,609</TD>	<TD vAlign=bottom align=right>7,126</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Citigroup Mortgage Loan Trust, Inc. Ser. 2005-WF2, Class AF4, 4.964s, 2035</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>121,717</TD>	<TD vAlign=bottom align=right>122,324</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Citigroup Mortgage Loan Trust, Inc. 144A</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right></TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; FRB Ser. 12-4, Class 3A2, 2.53s, 2036</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>634,969</TD>	<TD vAlign=bottom align=right>554,010</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; FRB Ser. 41891, Class 7A2, 2.515s, 2036</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>800,000</TD>	<TD vAlign=bottom align=right>761,728</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; FRB Ser. 11-12, Class 2A2, 0.522s, 2035</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>900,000</TD>	<TD vAlign=bottom align=right>787,500</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Countrywide Alternative Loan Trust</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right></TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 06-26CB, Class A8, 6 1/4s, 2036</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>396,750</TD>	<TD vAlign=bottom align=right>343,332</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 06-6CB, Class 2A9, 5 3/4s, 2036</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>438,326</TD>	<TD vAlign=bottom align=right>345,182</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; Ser. 05-46CB, Class A20, 5 1/2s, 2035</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>506,993</TD>	<TD vAlign=bottom align=right>478,363</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; FRB Ser. 05-38, Class A3, 0.502s, 2035</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>1,275,522</TD>	<TD vAlign=bottom align=right>1,109,703</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; FRB Ser. 05-59, Class 1A1, 0.483s, 2035</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>405,421</TD>	<TD vAlign=bottom align=right>336,499</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; FRB Ser. 05-51, Class 1A1, 0.475s, 2035</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>934,550</TD>	<TD vAlign=bottom align=right>813,059</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Credit Suisse Commercial Mortgage Trust 144A FRB Ser. 08-4R, Class 1A4, 0.552s, 2037</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>500,000</TD>	<TD vAlign=bottom align=right>387,500</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Credit Suisse First Boston Mortgage Securities Corp. FRB Ser. 03-AR30, Class CB1, 2.485s, 2034</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>412,700</TD>	<TD vAlign=bottom align=right>374,641</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Granite Mortgages PLC</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right></TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; FRB Ser. 03-2, Class 3C, 3.07s, 2043 (United Kingdom)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right>GBP</TD>	<TD vAlign=bottom align=right>384,009</TD>	<TD vAlign=bottom align=right>682,232</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; FRB Ser. 03-2, Class 2C1, 2.852s, 2043 (United Kingdom)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right>EUR</TD>	<TD vAlign=bottom align=right>1,028,000</TD>	<TD vAlign=bottom align=right>1,456,907</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>GSC Capital Corp. Mortgage Trust Ser. 05-11, Class AF3, 4.778s, 2036</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>$367,818</TD>	<TD vAlign=bottom align=right>375,761</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>MortgageIT Trust</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right></TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; FRB Ser. 05-3, Class M2, 0.682s, 2035</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>384,992</TD>	<TD vAlign=bottom align=right>336,291</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; FRB Ser. 05-3, Class A2, 0.502s, 2035</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>449,626</TD>	<TD vAlign=bottom align=right>403,540</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Opteum Mortgage Acceptance Corp. FRB Ser. 05-4, Class 1A2, 0.542s, 2035</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>379,404</TD>	<TD vAlign=bottom align=right>350,000</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Residential Accredit Loans, Inc.</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right></TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; FRB Ser. 06-QO7, Class 2A1, 0.974s, 2046</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>1,405,716</TD>	<TD vAlign=bottom align=right>989,343</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; FRB Ser. 07-QH1, Class A1, 0.312s, 2037</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>1,117,158</TD>	<TD vAlign=bottom align=right>962,153</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>WAMU Mortgage Pass-Through Certificates</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right></TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; FRB Ser. 06-AR1, Class 2A1B, 1.194s, 2046</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>2,138,804</TD>	<TD vAlign=bottom align=right>1,967,700</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; FRB Ser. 06-AR3, Class A1B, 1.124s, 2046</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>970,233</TD>	<TD vAlign=bottom align=right>791,225</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; FRB Ser. 05-AR11, Class A1C3, 0.662s, 2045</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>1,653,482</TD>	<TD vAlign=bottom align=right>1,459,197</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; FRB Ser. 05-AR19, Class A1C3, 0.652s, 2045</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>1,836,113</TD>	<TD vAlign=bottom align=right>1,615,780</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; FRB Ser. 05-AR13, Class A1C3, 0.642s, 2045</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>3,851,155</TD>	<TD vAlign=bottom align=right>3,398,644</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; FRB Ser. 05-AR8, Class 2AC2, 0.612s, 2045</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>1,090,249</TD>	<TD vAlign=bottom align=right>979,589</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; FRB Ser. 05-AR11, Class A1C4, 0.592s, 2045</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>841,407</TD>	<TD vAlign=bottom align=right>736,231</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; FRB Ser. 05-AR13, Class A1B2, 0.582s, 2045</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>793,572</TD>	<TD vAlign=bottom align=right>718,183</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; FRB Ser. 05-AR17, Class A1B2, 0.562s, 2045</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>745,422</TD>	<TD vAlign=bottom align=right>655,971</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; FRB Ser. 05-AR15, Class A1B2, 0.562s, 2045</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>1,218,899</TD>	<TD vAlign=bottom align=right>1,076,653</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; FRB Ser. 05-AR19, Class A1C4, 0.552s, 2045</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>623,190</TD>	<TD vAlign=bottom align=right>554,638</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; FRB Ser. 05-AR11, Class A1B3, 0.552s, 2045</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>1,265,273</TD>	<TD vAlign=bottom align=right>1,126,092</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; FRB Ser. 05-AR8, Class 2AC3, 0.542s, 2045</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>384,178</TD>	<TD vAlign=bottom align=right>343,840</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; FRB Ser. 05-AR6, Class 2A1C, 0.492s, 2045</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>351,079</TD>	<TD vAlign=bottom align=right>314,215</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Wells Fargo Mortgage Loan Trust FRB Ser. 12-RR2, Class 1A2, 0.331s, 2047</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>500,000</TD>	<TD vAlign=bottom align=right>370,000</TD></TR>
	<TR height=18><TD colspan=6></TD><TD><HR SIZE=2 noShade align=right Width="70%"></TD></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=5><FONT size=+0><B></B></FONT></TD>
										<TD align=right><FONT size=+0><B>33,437,737</B></FONT></TD></TR>

	<TR height=18><TD colspan=6></TD><TD><HR SIZE=2 noShade align=right Width="70%"></TD></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=5><FONT size=+0><B>Total mortgage-backed securities (cost $149,206,627)</B></FONT></TD>
										<TD align=right><FONT size=+0><B>$163,031,956</B></FONT></TD></TR>
					<TR><TD><BR></TD></TR>
	<TR height=48></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=6><FONT size=+0><B>CORPORATE BONDS AND NOTES (32.4%)<sup><B><I>(a)</I></B></sup></B></FONT></TD></TR>

	<TR height=6></TR><TR vAlign=top align=left><TD></TD>	<TD vAlign=top align=left><B></B></TD>	<TD vAlign=top align=left><B></B></TD>	<TD vAlign=top align=left><B></B></TD>	<TD vAlign=bottom align=right><B></B></TD>	<TD vAlign=bottom align=right><B>Principal amount</B></TD>	<TD vAlign=bottom align=right><B>Value</B></TD><TR height=2><TD></TD><TD colspan=6><HR SIZE=2 noShade></TD></TR>
	<TR height=6></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=6><FONT size=+0><B>Basic materials (2.1%)</B></FONT></TD></TR>

	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>ArcelorMittal SA sr. unsec. bonds 10.35s, 2019 (France)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>$421,000</TD>	<TD vAlign=bottom align=right>$538,880</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Boise Cascade Co. company guaranty sr. unsec. notes 6 3/8s, 2020</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>212,000</TD>	<TD vAlign=bottom align=right>227,900</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Celanese US Holdings, LLC company guaranty sr. unsec. unsub. notes 4 5/8s, 2022 (Germany)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>110,000</TD>	<TD vAlign=bottom align=right>110,275</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Celanese US Holdings, LLC sr. notes 5 7/8s, 2021 (Germany)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>185,000</TD>	<TD vAlign=bottom align=right>203,962</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Cemex Finance, LLC 144A company guaranty sr. notes 6s, 2024 (Mexico)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>490,000</TD>	<TD vAlign=bottom align=right>510,213</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Cemex SAB de CV 144A company guaranty sr. notes 6 1/2s, 2019 (Mexico)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>200,000</TD>	<TD vAlign=bottom align=right>214,250</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 4 7/8s, 2024</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>70,000</TD>	<TD vAlign=bottom align=right>70,000</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>CPG Merger Sub, LLC 144A company guaranty sr. unsec. unsub. notes 8s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>45,000</TD>	<TD vAlign=bottom align=right>47,475</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Ferro Corp. sr. unsec. notes 7 7/8s, 2018</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>283,000</TD>	<TD vAlign=bottom align=right>295,735</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>FMG Resources August 2006 Pty, Ltd. 144A sr. notes 8 1/4s, 2019 (Australia)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>105,000</TD>	<TD vAlign=bottom align=right>114,319</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>FMG Resources August 2006 Pty, Ltd. 144A sr. notes 6 7/8s, 2018 (Australia)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>131,000</TD>	<TD vAlign=bottom align=right>137,223</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>FMG Resources August 2006 Pty, Ltd. 144A sr. unsec. notes 6 7/8s, 2022 (Australia)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>11,000</TD>	<TD vAlign=bottom align=right>11,798</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>HD Supply, Inc. company guaranty sr. unsec. notes 7 1/2s, 2020</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>258,000</TD>	<TD vAlign=bottom align=right>281,865</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>HD Supply, Inc. company guaranty sr. unsec. unsub. notes 11 1/2s, 2020</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>153,000</TD>	<TD vAlign=bottom align=right>183,983</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Hexion U.S. Finance Corp. company guaranty sr. notes 6 5/8s, 2020</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>137,000</TD>	<TD vAlign=bottom align=right>145,220</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC company guaranty sr. notes 8 7/8s, 2018</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>326,000</TD>	<TD vAlign=bottom align=right>339,040</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Huntsman International, LLC company guaranty sr. unsec. sub. notes 8 5/8s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>287,000</TD>	<TD vAlign=bottom align=right>317,135</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Huntsman International, LLC company guaranty sr. unsec. unsub. notes 4 7/8s, 2020</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>215,000</TD>	<TD vAlign=bottom align=right>222,525</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>IAMGOLD Corp. 144A company guaranty sr. unsec. notes 6 3/4s, 2020 (Canada)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>3,000</TD>	<TD vAlign=bottom align=right>2,775</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Ineos Finance PLC 144A company guaranty sr. notes 7 1/2s, 2020 (United Kingdom)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>70,000</TD>	<TD vAlign=bottom align=right>76,213</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>INEOS Group Holdings SA 144A company guaranty sr. unsec. notes 6 1/8s, 2018 (Luxembourg)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>400,000</TD>	<TD vAlign=bottom align=right>413,000</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>JM Huber Corp. 144A sr. unsec. notes 9 7/8s, 2019</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>265,000</TD>	<TD vAlign=bottom align=right>301,769</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Louisiana-Pacific Corp. company guaranty sr. unsec. unsub. notes 7 1/2s, 2020</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>229,000</TD>	<TD vAlign=bottom align=right>251,900</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Momentive Performance Materials, Inc. company guaranty sr. notes 8 7/8s, 2020</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>80,000</TD>	<TD vAlign=bottom align=right>85,800</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>New Gold, Inc. 144A sr. unsec. notes 6 1/4s, 2022 (Canada)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>119,000</TD>	<TD vAlign=bottom align=right>123,260</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Novelis, Inc. company guaranty sr. unsec. notes 8 3/4s, 2020</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>155,000</TD>	<TD vAlign=bottom align=right>172,050</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Perstorp Holding AB 144A company guaranty sr. notes 8 3/4s, 2017 (Sweden)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>200,000</TD>	<TD vAlign=bottom align=right>214,500</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>PQ Corp. 144A sr. notes 8 3/4s, 2018</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>135,000</TD>	<TD vAlign=bottom align=right>146,138</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Roofing Supply Group, LLC/Roofing Supply Finance, Inc. 144A company guaranty sr. unsec. notes 10s, 2020</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>130,000</TD>	<TD vAlign=bottom align=right>138,450</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Ryerson, Inc./Joseph T Ryerson & Son, Inc. company guaranty sr. notes 9s, 2017</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>137,000</TD>	<TD vAlign=bottom align=right>146,590</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Sealed Air Corp. 144A sr. unsec. notes 6 1/2s, 2020</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>65,000</TD>	<TD vAlign=bottom align=right>73,125</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Sealed Air Corp. 144A sr. unsec. notes 5 1/4s, 2023</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>110,000</TD>	<TD vAlign=bottom align=right>112,200</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Smurfit Kappa Treasury Funding, Ltd. company guaranty sr. unsub. notes 7 1/2s, 2025 (Ireland)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>49,000</TD>	<TD vAlign=bottom align=right>56,350</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 6 3/8s, 2022</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>30,000</TD>	<TD vAlign=bottom align=right>32,625</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2019</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>40,000</TD>	<TD vAlign=bottom align=right>43,500</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5 1/4s, 2023</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>20,000</TD>	<TD vAlign=bottom align=right>20,700</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Taminco Global Chemical Corp. 144A sr. notes 9 3/4s, 2020 (Belgium)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>235,000</TD>	<TD vAlign=bottom align=right>262,613</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>TMS International Corp. 144A company guaranty sr. unsec. notes 7 5/8s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>14,000</TD>	<TD vAlign=bottom align=right>14,910</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>TPC Group, Inc. 144A company guaranty sr. notes 8 3/4s, 2020</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>145,000</TD>	<TD vAlign=bottom align=right>160,588</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Tronox Finance, LLC company guaranty sr. unsec. unsub. notes 6 3/8s, 2020</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>53,000</TD>	<TD vAlign=bottom align=right>54,723</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>USG Corp. 144A company guaranty sr. unsec. notes 5 7/8s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>125,000</TD>	<TD vAlign=bottom align=right>132,813</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Weekley Homes, LLC/Weekley Finance Corp. sr. unsec. bonds 6s, 2023</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>55,000</TD>	<TD vAlign=bottom align=right>55,000</TD></TR>
	<TR height=18><TD colspan=6></TD><TD><HR SIZE=2 noShade align=right Width="70%"></TD></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=5><FONT size=+0><B></B></FONT></TD>
										<TD align=right><FONT size=+0><B>7,063,390</B></FONT></TD></TR>

	<TR height=6></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=6><FONT size=+0><B>Capital goods (1.9%)</B></FONT></TD></TR>

	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>ADS Waste Holdings, Inc. company guaranty sr. unsec. notes 8 1/4s, 2020</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>455,000</TD>	<TD vAlign=bottom align=right>490,263</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>American Axle & Manufacturing, Inc. company guaranty sr. unsec. notes 7 3/4s, 2019</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>419,000</TD>	<TD vAlign=bottom align=right>482,898</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 144A FRN 3.232s, 2019 (Ireland)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>200,000</TD>	<TD vAlign=bottom align=right>199,500</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>B/E Aerospace, Inc. sr. unsec. unsub. notes 6 7/8s, 2020</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>188,000</TD>	<TD vAlign=bottom align=right>204,215</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>B/E Aerospace, Inc. sr. unsec. unsub. notes 5 1/4s, 2022</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>140,000</TD>	<TD vAlign=bottom align=right>152,425</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Belden, Inc. 144A company guaranty sr. unsec. sub. notes 5 1/4s, 2024</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>88,000</TD>	<TD vAlign=bottom align=right>88,660</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Berry Plastics Corp. company guaranty notes 5 1/2s, 2022</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>105,000</TD>	<TD vAlign=bottom align=right>105,591</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Berry Plastics Corp. company guaranty unsub. notes 9 3/4s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>24,000</TD>	<TD vAlign=bottom align=right>27,360</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>BlueLine Rental Finance Corp. 144A sr. notes 7s, 2019</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>140,000</TD>	<TD vAlign=bottom align=right>149,450</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>BOE Merger Corp. 144A sr. unsec. notes 9 1/2s, 2017<sup><B><I>(PIK)</I></B></sup></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>215,000</TD>	<TD vAlign=bottom align=right>226,825</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Bombardier, Inc. 144A sr. notes 6 1/8s, 2023 (Canada)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>106,000</TD>	<TD vAlign=bottom align=right>109,180</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Bombardier, Inc. 144A sr. notes 4 1/4s, 2016 (Canada)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>119,000</TD>	<TD vAlign=bottom align=right>123,314</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Briggs & Stratton Corp. company guaranty sr. unsec. notes 6 7/8s, 2020</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>235,000</TD>	<TD vAlign=bottom align=right>262,613</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Crown Americas, LLC/Crown Americas Capital Corp. IV company guaranty sr. unsec. notes 4 1/2s, 2023</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>184,000</TD>	<TD vAlign=bottom align=right>179,216</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Exide Technologies sr. notes 8 5/8s, 2018 (In default)<sup><B><I>(NON)</I></B></sup></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>11,000</TD>	<TD vAlign=bottom align=right>6,600</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Gates Global LLC/Gates Global Co. 144A sr. unsec. notes 6s, 2022</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>185,000</TD>	<TD vAlign=bottom align=right>185,000</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>KION Finance SA 144A sr. notes 6 3/4s, 2020 (Luxembourg)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right>EUR</TD>	<TD vAlign=bottom align=right>100,000</TD>	<TD vAlign=bottom align=right>149,545</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Manitowoc Co., Inc. (The) company guaranty sr. unsec. notes 5 7/8s, 2022</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>$198,000</TD>	<TD vAlign=bottom align=right>215,820</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>MasTec, Inc. company guaranty sr. unsec. unsub. notes 4 7/8s, 2023</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>195,000</TD>	<TD vAlign=bottom align=right>192,075</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Oshkosh Corp. company guaranty sr. unsec. notes 5 3/8s, 2022</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>342,000</TD>	<TD vAlign=bottom align=right>352,260</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Pittsburgh Glass Works, LLC 144A company guaranty sr. notes 8s, 2018</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>230,000</TD>	<TD vAlign=bottom align=right>250,125</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. notes 7 7/8s, 2019</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>200,000</TD>	<TD vAlign=bottom align=right>217,500</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. notes 5 3/4s, 2020</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>270,000</TD>	<TD vAlign=bottom align=right>284,850</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. unsec. unsub. notes 9 7/8s, 2019</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>100,000</TD>	<TD vAlign=bottom align=right>110,750</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. unsec. unsub. notes 9s, 2019</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>100,000</TD>	<TD vAlign=bottom align=right>105,875</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. unsec. unsub. notes 8 1/4s, 2021 (New Zealand)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>295,000</TD>	<TD vAlign=bottom align=right>320,813</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Schaeffler Holding Finance BV 144A notes 6 7/8s, 2018 (Netherlands)<sup><B><I>(PIK)</I></B></sup></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right>EUR</TD>	<TD vAlign=bottom align=right>100,000</TD>	<TD vAlign=bottom align=right>144,093</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Tenneco, Inc. company guaranty sr. unsub. notes 6 7/8s, 2020</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>$140,000</TD>	<TD vAlign=bottom align=right>152,425</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Terex Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2020</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>45,000</TD>	<TD vAlign=bottom align=right>48,848</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Terex Corp. company guaranty sr. unsec. unsub. notes 6s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>282,000</TD>	<TD vAlign=bottom align=right>303,855</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>TransDigm, Inc. company guaranty sr. unsec. sub. notes 7 1/2s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>45,000</TD>	<TD vAlign=bottom align=right>49,838</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>TransDigm, Inc. 144A sr. unsec. sub. notes 6 1/2s, 2024</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>295,000</TD>	<TD vAlign=bottom align=right>307,169</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Vander Intermediate Holding II Corp. 144A sr. unsec. notes 9 3/4s, 2019<sup><B><I>(PIK)</I></B></sup></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>85,000</TD>	<TD vAlign=bottom align=right>90,525</TD></TR>
	<TR height=18><TD colspan=6></TD><TD><HR SIZE=2 noShade align=right Width="70%"></TD></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=5><FONT size=+0><B></B></FONT></TD>
										<TD align=right><FONT size=+0><B>6,289,476</B></FONT></TD></TR>

	<TR height=6></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=6><FONT size=+0><B>Communication services (4.8%)</B></FONT></TD></TR>

	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Altice SA 144A company guaranty sr. notes 7 3/4s, 2022 (Luxembourg)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>480,000</TD>	<TD vAlign=bottom align=right>511,200</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Cablevision Systems Corp. sr. unsec. unsub. notes 8 5/8s, 2017</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>265,000</TD>	<TD vAlign=bottom align=right>308,394</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Cablevision Systems Corp. sr. unsec. unsub. notes 8s, 2020</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>150,000</TD>	<TD vAlign=bottom align=right>170,344</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 6 1/2s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>131,000</TD>	<TD vAlign=bottom align=right>139,515</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 5 1/4s, 2022</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>573,000</TD>	<TD vAlign=bottom align=right>584,460</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. unsub. bonds 5 1/8s, 2023</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>354,000</TD>	<TD vAlign=bottom align=right>357,098</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsub. notes 7s, 2019</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>53,000</TD>	<TD vAlign=bottom align=right>55,849</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>CenturyLink, Inc. sr. unsec. unsub. notes 6 3/4s, 2023</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>170,000</TD>	<TD vAlign=bottom align=right>185,725</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>CenturyLink, Inc. sr. unsec. unsub. notes 5 5/8s, 2020</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>40,000</TD>	<TD vAlign=bottom align=right>42,200</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Crown Castle International Corp. sr. unsec. notes 5 1/4s, 2023<sup><B><I>(R)</I></B></sup></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>266,000</TD>	<TD vAlign=bottom align=right>277,305</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Crown Castle International Corp. sr. unsec. unsub. notes 4 7/8s, 2022<sup><B><I>(R)</I></B></sup></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>85,000</TD>	<TD vAlign=bottom align=right>87,763</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>CSC Holdings, LLC sr. unsec. unsub. notes 6 3/4s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>165,000</TD>	<TD vAlign=bottom align=right>182,325</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>CSC Holdings, LLC 144A sr. unsec. notes 5 1/4s, 2024</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>130,000</TD>	<TD vAlign=bottom align=right>127,888</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Digicel, Ltd. 144A sr. unsec. notes 8 1/4s, 2017 (Jamaica)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>346,000</TD>	<TD vAlign=bottom align=right>355,965</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>DISH DBS Corp. company guaranty sr. unsec. notes 6 3/4s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>109,000</TD>	<TD vAlign=bottom align=right>124,260</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>DISH DBS Corp. company guaranty sr. unsec. unsub. notes 4 1/4s, 2018</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>337,000</TD>	<TD vAlign=bottom align=right>350,480</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Frontier Communications Corp. sr. unsec. notes 8 1/8s, 2018</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>156,000</TD>	<TD vAlign=bottom align=right>182,520</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Frontier Communications Corp. sr. unsec. unsub. notes 7 5/8s, 2024</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>50,000</TD>	<TD vAlign=bottom align=right>53,625</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Hughes Satellite Systems Corp. company guaranty sr. notes 6 1/2s, 2019</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>214,000</TD>	<TD vAlign=bottom align=right>238,610</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Hughes Satellite Systems Corp. company guaranty sr. unsec. notes 7 5/8s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>231,000</TD>	<TD vAlign=bottom align=right>264,495</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Inmarsat Finance PLC 144A company guaranty sr. notes 7 3/8s, 2017 (United Kingdom)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>365,000</TD>	<TD vAlign=bottom align=right>378,213</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Inmarsat Finance PLC 144A company guaranty sr. unsec. notes 4 7/8s, 2022 (United Kingdom)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>100,000</TD>	<TD vAlign=bottom align=right>101,000</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Intelsat Jackson Holdings SA company guaranty sr. unsec. bonds 6 5/8s, 2022 (Bermuda)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>80,000</TD>	<TD vAlign=bottom align=right>83,500</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Intelsat Jackson Holdings SA company guaranty sr. unsec. notes 7 1/2s, 2021 (Bermuda)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>140,000</TD>	<TD vAlign=bottom align=right>153,300</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Intelsat Luxembourg SA company guaranty sr. unsec. bonds 8 1/8s, 2023 (Luxembourg)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>277,000</TD>	<TD vAlign=bottom align=right>299,506</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Intelsat Luxembourg SA company guaranty sr. unsec. bonds 7 3/4s, 2021 (Luxembourg)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>418,000</TD>	<TD vAlign=bottom align=right>442,558</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Intelsat Luxembourg SA company guaranty sr. unsec. bonds 6 3/4s, 2018 (Luxembourg)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>260,000</TD>	<TD vAlign=bottom align=right>275,275</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 8 5/8s, 2020</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>143,000</TD>	<TD vAlign=bottom align=right>160,160</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 8 1/8s, 2019</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>40,000</TD>	<TD vAlign=bottom align=right>43,650</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 7s, 2020</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>17,000</TD>	<TD vAlign=bottom align=right>18,573</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Level 3 Financing, Inc. 144A company guaranty sr. unsec. notes 6 1/8s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>65,000</TD>	<TD vAlign=bottom align=right>69,631</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Mediacom, LLC/Mediacom Capital Corp. sr. unsec. notes 9 1/8s, 2019</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>59,000</TD>	<TD vAlign=bottom align=right>61,950</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Nil International Telecom SCA 144A company guaranty sr. unsec. notes 7 7/8s, 2019 (Luxembourg)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>100,000</TD>	<TD vAlign=bottom align=right>86,500</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Numericable Group SA 144A sr. bonds 5 5/8s, 2024 (France)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right>EUR</TD>	<TD vAlign=bottom align=right>100,000</TD>	<TD vAlign=bottom align=right>146,173</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Numericable Group SA 144A sr. notes 6s, 2022 (France)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>$600,000</TD>	<TD vAlign=bottom align=right>624,150</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>PAETEC Holding Corp. company guaranty sr. unsec. notes 9 7/8s, 2018</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>156,000</TD>	<TD vAlign=bottom align=right>168,090</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Phones4U Finance PLC 144A sr. notes 9 1/2s, 2018 (United Kingdom)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right>GBP</TD>	<TD vAlign=bottom align=right>180,000</TD>	<TD vAlign=bottom align=right>317,632</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Quebecor Media, Inc. sr. unsec. unsub. notes 5 3/4s, 2023 (Canada)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>$180,000</TD>	<TD vAlign=bottom align=right>184,950</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>SBA Communications Corp. 144A sr. unsec. notes 4 7/8s, 2022</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>141,000</TD>	<TD vAlign=bottom align=right>139,238</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>SBA Telecommunications, Inc. company guaranty sr. unsec. unsub. notes 5 3/4s, 2020</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>55,000</TD>	<TD vAlign=bottom align=right>58,300</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Sprint Communications, Inc. sr. unsec. unsub. notes 8 3/8s, 2017</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>585,000</TD>	<TD vAlign=bottom align=right>682,988</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Sprint Communications, Inc. sr. unsec. unsub. notes 7s, 2020</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>105,000</TD>	<TD vAlign=bottom align=right>115,500</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Sprint Communications, Inc. 144A company guaranty sr. unsec. notes 9s, 2018</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>418,000</TD>	<TD vAlign=bottom align=right>506,825</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Sprint Corp. 144A company guaranty sr. unsec. notes 7 7/8s, 2023</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>225,000</TD>	<TD vAlign=bottom align=right>250,313</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Sprint Corp. 144A company guaranty sr. unsec. notes 7 1/4s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>290,000</TD>	<TD vAlign=bottom align=right>319,725</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6 5/8s, 2023</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>369,000</TD>	<TD vAlign=bottom align=right>400,365</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6.464s, 2019</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>75,000</TD>	<TD vAlign=bottom align=right>78,938</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6 1/4s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>206,000</TD>	<TD vAlign=bottom align=right>219,648</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2022</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>190,000</TD>	<TD vAlign=bottom align=right>201,875</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Telenet Finance V Luxembourg SCA 144A sr. notes 6 3/4s, 2024 (Luxembourg)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right>EUR</TD>	<TD vAlign=bottom align=right>295,000</TD>	<TD vAlign=bottom align=right>455,648</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Telenet Finance V Luxembourg SCA 144A sr. notes 6 1/4s, 2022 (Luxembourg)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right>EUR</TD>	<TD vAlign=bottom align=right>100,000</TD>	<TD vAlign=bottom align=right>151,035</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH sr. notes 7 1/2s, 2019 (Germany)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right>EUR</TD>	<TD vAlign=bottom align=right>130,000</TD>	<TD vAlign=bottom align=right>190,028</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH 144A company guaranty sr. notes 5 1/8s, 2023 (Germany)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right>EUR</TD>	<TD vAlign=bottom align=right>235,000</TD>	<TD vAlign=bottom align=right>346,074</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Unitymedia KabelBW GmbH company guaranty sr. notes Ser. REGS, 9 5/8s, 2019 (Germany)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right>EUR</TD>	<TD vAlign=bottom align=right>293,000</TD>	<TD vAlign=bottom align=right>431,283</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>UPC Holdings BV bonds 8 3/8s, 2020 (Netherlands)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right>EUR</TD>	<TD vAlign=bottom align=right>361,000</TD>	<TD vAlign=bottom align=right>543,398</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Videotron, Ltd. company guaranty sr. unsec. unsub. notes 5s, 2022 (Canada)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>$349,000</TD>	<TD vAlign=bottom align=right>358,598</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Virgin Media Finance PLC company guaranty sr. unsec. bonds 8 7/8s, 2019 (United Kingdom)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right>GBP</TD>	<TD vAlign=bottom align=right>50,000</TD>	<TD vAlign=bottom align=right>90,795</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Virgin Media Secured Finance PLC 144A sr. notes 6s, 2021 (United Kingdom)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right>GBP</TD>	<TD vAlign=bottom align=right>235,000</TD>	<TD vAlign=bottom align=right>422,288</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>West Corp. 144A company guaranty sr. unsec. notes 5 3/8s, 2022</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>$139,000</TD>	<TD vAlign=bottom align=right>138,653</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>WideOpenWest Finance, LLC/WideOpenWest Capital Corp. company guaranty sr. unsec. notes 10 1/4s, 2019</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>360,000</TD>	<TD vAlign=bottom align=right>404,550</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Wind Acquisition Finance SA 144A company guaranty sr. notes 7 3/8s, 2018 (Luxembourg)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right>EUR</TD>	<TD vAlign=bottom align=right>325,000</TD>	<TD vAlign=bottom align=right>471,359</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Wind Acquisition Finance SA 144A company guaranty sr. unsec. bonds 7 3/8s, 2021 (Luxembourg)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>$200,000</TD>	<TD vAlign=bottom align=right>213,500</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Wind Acquisition Finance SA 144A sr. bonds 4s, 2020 (Luxembourg)<sup><B><I>(FWC)</I></B></sup></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right>EUR</TD>	<TD vAlign=bottom align=right>125,000</TD>	<TD vAlign=bottom align=right>170,752</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Windstream Corp. company guaranty sr. unsec. unsub. notes 7 7/8s, 2017</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>$247,000</TD>	<TD vAlign=bottom align=right>284,359</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Windstream Corp. company guaranty sr. unsec. unsub. notes 7 3/4s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>109,000</TD>	<TD vAlign=bottom align=right>119,083</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Windstream Corp. company guaranty sr. unsec. unsub. notes 6 3/8s, 2023</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>90,000</TD>	<TD vAlign=bottom align=right>91,238</TD></TR>
	<TR height=18><TD colspan=6></TD><TD><HR SIZE=2 noShade align=right Width="70%"></TD></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=5><FONT size=+0><B></B></FONT></TD>
										<TD align=right><FONT size=+0><B>16,071,188</B></FONT></TD></TR>

	<TR height=6></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=6><FONT size=+0><B>Consumer cyclicals (5.0%)</B></FONT></TD></TR>

	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Academy, Ltd./Academy Finance Corp. 144A company guaranty sr. unsec. notes 9 1/4s, 2019</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>25,000</TD>	<TD vAlign=bottom align=right>26,813</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>AMC Entertainment, Inc. company guaranty sr. sub. notes 9 3/4s, 2020</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>82,000</TD>	<TD vAlign=bottom align=right>93,480</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>AMC Entertainment, Inc. company guaranty sr. unsec. sub. notes 5 7/8s, 2022</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>110,000</TD>	<TD vAlign=bottom align=right>114,400</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Autonation, Inc. company guaranty sr. unsec. notes 6 3/4s, 2018</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>255,000</TD>	<TD vAlign=bottom align=right>294,525</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Autonation, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2020</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>164,000</TD>	<TD vAlign=bottom align=right>180,810</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Beazer Homes USA, Inc. company guaranty sr. unsec. notes 8 1/8s, 2016</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>44,000</TD>	<TD vAlign=bottom align=right>48,620</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Bon-Ton Department Stores, Inc. (The) company guaranty notes 10 5/8s, 2017</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>185,000</TD>	<TD vAlign=bottom align=right>185,231</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Bon-Ton Department Stores, Inc. (The) company guaranty notes 8s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>58,000</TD>	<TD vAlign=bottom align=right>55,245</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Brookfield Residential Properties, Inc. 144A company guaranty sr. unsec. notes 6 1/2s, 2020 (Canada)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>235,000</TD>	<TD vAlign=bottom align=right>248,513</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Brookfield Residential Properties, Inc./Brookfield Residential US Corp. 144A company guaranty sr. unsec. notes 6 1/8s, 2022 (Canada)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>95,000</TD>	<TD vAlign=bottom align=right>98,344</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Building Materials Corp. of America 144A company guaranty sr. notes 7 1/2s, 2020</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>100,000</TD>	<TD vAlign=bottom align=right>106,500</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Building Materials Corp. of America 144A sr. unsec. notes 6 3/4s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>180,000</TD>	<TD vAlign=bottom align=right>193,950</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Burlington Coat Factory Warehouse Corp. company guaranty sr. unsec. notes 10s, 2019</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>140,000</TD>	<TD vAlign=bottom align=right>152,775</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Caesars Entertainment Operating Co., Inc. company guaranty sr. notes 9s, 2020</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>118,000</TD>	<TD vAlign=bottom align=right>98,235</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>CBS Outdoor Americas Capital, LLC/CBS Outdoor Americas Capital Corp. 144A company guaranty sr. unsec. notes 5 5/8s, 2024</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>199,000</TD>	<TD vAlign=bottom align=right>205,965</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. company guaranty sr. unsec. notes 5 1/4s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>100,000</TD>	<TD vAlign=bottom align=right>103,000</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. 144A company guaranty sr. unsec. notes 5 3/8s, 2024</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>45,000</TD>	<TD vAlign=bottom align=right>45,563</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Ceridian HCM Holding, Inc. 144A sr. unsec. notes 11s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>382,000</TD>	<TD vAlign=bottom align=right>441,210</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Ceridian, LLC company guaranty sr. unsec. notes 12 1/4s, 2015<sup><B><I>(PIK)</I></B></sup></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>23,000</TD>	<TD vAlign=bottom align=right>23,023</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Ceridian, LLC sr. unsec. notes 11 1/4s, 2015</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>283,000</TD>	<TD vAlign=bottom align=right>283,283</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Ceridian, LLC 144A sr. notes 8 7/8s, 2019</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>39,000</TD>	<TD vAlign=bottom align=right>43,973</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Ceridian, LLC/Comdata, Inc. 144A company guaranty sr. unsec. unsub. notes 8 1/8s, 2017</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>52,000</TD>	<TD vAlign=bottom align=right>52,260</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Chrysler Group, LLC/CG Co-Issuer, Inc. company guaranty notes 8 1/4s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>105,000</TD>	<TD vAlign=bottom align=right>118,650</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Cinemark USA, Inc. company guaranty sr. unsec. notes 5 1/8s, 2022</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>72,000</TD>	<TD vAlign=bottom align=right>73,710</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Cinemark USA, Inc. company guaranty sr. unsec. notes 4 7/8s, 2023</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>25,000</TD>	<TD vAlign=bottom align=right>24,938</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Cinemark USA, Inc. company guaranty sr. unsec. sub. notes 7 3/8s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>33,000</TD>	<TD vAlign=bottom align=right>36,383</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Clear Channel Communications, Inc. company guaranty sr. notes 9s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>135,000</TD>	<TD vAlign=bottom align=right>144,450</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Clear Channel Communications, Inc. company guaranty sr. notes 9s, 2019</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>262,000</TD>	<TD vAlign=bottom align=right>279,358</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. notes 7 5/8s, 2020</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>136,000</TD>	<TD vAlign=bottom align=right>146,880</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. unsub. notes 6 1/2s, 2022</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>335,000</TD>	<TD vAlign=bottom align=right>360,963</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Cumulus Media Holdings, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2019</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>176,000</TD>	<TD vAlign=bottom align=right>185,460</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Dana Holding Corp. sr. unsec. unsub. notes 6s, 2023</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>329,000</TD>	<TD vAlign=bottom align=right>348,740</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>DH Services Luxembourg Sarl 144A company guaranty sr. unsec. notes 7 3/4s, 2020 (Luxembourg)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>200,000</TD>	<TD vAlign=bottom align=right>214,500</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>FelCor Lodging LP company guaranty sr. notes 6 3/4s, 2019<sup><B><I>(R)</I></B></sup></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>179,000</TD>	<TD vAlign=bottom align=right>190,411</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>FelCor Lodging LP company guaranty sr. notes 5 5/8s, 2023<sup><B><I>(R)</I></B></sup></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>50,000</TD>	<TD vAlign=bottom align=right>51,500</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Gannett Co., Inc. 144A company guaranty sr. unsec. notes 5 1/8s, 2020</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>105,000</TD>	<TD vAlign=bottom align=right>108,150</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Gibson Brands, Inc. 144A sr. notes 8 7/8s, 2018</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>145,000</TD>	<TD vAlign=bottom align=right>149,531</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>GLP Capital LP/GLP Financing II, Inc. 144A company guaranty sr. unsec. notes 4 7/8s, 2020</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>175,000</TD>	<TD vAlign=bottom align=right>180,250</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>GLP Capital LP/GLP Financing II, Inc. 144A company guaranty sr. unsec. notes 4 3/8s, 2018</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>65,000</TD>	<TD vAlign=bottom align=right>67,113</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Gray Television, Inc. company guaranty sr. unsec. notes 7 1/2s, 2020</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>266,000</TD>	<TD vAlign=bottom align=right>286,615</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Great Canadian Gaming Corp. 144A company guaranty sr. unsec. notes 6 5/8s, 2022 (Canada)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right>CAD</TD>	<TD vAlign=bottom align=right>260,000</TD>	<TD vAlign=bottom align=right>259,883</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Griffey Intermediate, Inc./Griffey Finance Sub, LLC 144A sr. unsec. notes 7s, 2020</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>$123,000</TD>	<TD vAlign=bottom align=right>112,699</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Grupo Televisa SAB sr. unsec. notes 6s, 2018 (Mexico)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>122,000</TD>	<TD vAlign=bottom align=right>138,705</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Howard Hughes Corp. (The) 144A sr. unsec. notes 6 7/8s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>282,000</TD>	<TD vAlign=bottom align=right>301,740</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Igloo Holdings Corp. 144A sr. unsec. unsub. notes 8 1/4s, 2017<sup><B><I>(PIK)</I></B></sup></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>75,000</TD>	<TD vAlign=bottom align=right>76,500</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Isle of Capri Casinos, Inc. company guaranty sr. unsec. notes 5 7/8s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>105,000</TD>	<TD vAlign=bottom align=right>106,181</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Isle of Capri Casinos, Inc. company guaranty sr. unsec. sub. notes 8 7/8s, 2020</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>130,000</TD>	<TD vAlign=bottom align=right>139,425</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Isle of Capri Casinos, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2019</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>356,000</TD>	<TD vAlign=bottom align=right>380,030</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Jo-Ann Stores Holdings, Inc. 144A sr. unsec. notes 9 3/4s, 2019<sup><B><I>(PIK)</I></B></sup></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>75,000</TD>	<TD vAlign=bottom align=right>76,688</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Jo-Ann Stores, Inc. 144A sr. unsec. notes 8 1/8s, 2019</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>290,000</TD>	<TD vAlign=bottom align=right>297,250</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>K Hovnanian Enterprises, Inc. 144A sr. notes 7 1/4s, 2020</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>115,000</TD>	<TD vAlign=bottom align=right>124,200</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>L Brands, Inc. company guaranty sr. unsec. notes 6 5/8s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>300,000</TD>	<TD vAlign=bottom align=right>341,250</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>L Brands, Inc. sr. unsec. notes 5 5/8s, 2022</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>85,000</TD>	<TD vAlign=bottom align=right>92,013</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Lamar Media Corp. company guaranty sr. sub. notes 5 7/8s, 2022</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>55,000</TD>	<TD vAlign=bottom align=right>58,919</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Lamar Media Corp. 144A company guaranty sr. unsec. notes 5 3/8s, 2024</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>80,000</TD>	<TD vAlign=bottom align=right>82,800</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Lennar Corp. company guaranty sr. unsec. unsub. notes 4 3/4s, 2022</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>158,000</TD>	<TD vAlign=bottom align=right>157,210</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Lennar Corp. company guaranty sr. unsec. unsub. notes 4 1/2s, 2019</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>85,000</TD>	<TD vAlign=bottom align=right>87,019</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>M/I Homes, Inc. company guaranty sr. unsec. notes 8 5/8s, 2018</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>110,000</TD>	<TD vAlign=bottom align=right>117,150</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Masonite International Corp. 144A company guaranty sr. notes 8 1/4s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>143,000</TD>	<TD vAlign=bottom align=right>155,870</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Mattamy Group Corp. 144A sr. unsec. notes 6 1/2s, 2020 (Canada)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>275,000</TD>	<TD vAlign=bottom align=right>281,875</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>MGM Resorts International company guaranty sr. unsec. notes 6 7/8s, 2016</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>65,000</TD>	<TD vAlign=bottom align=right>70,688</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>MGM Resorts International company guaranty sr. unsec. notes 6 3/4s, 2020</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>175,000</TD>	<TD vAlign=bottom align=right>195,344</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>MGM Resorts International company guaranty sr. unsec. notes 5 1/4s, 2020</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>162,000</TD>	<TD vAlign=bottom align=right>168,480</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>MGM Resorts International company guaranty sr. unsec. unsub. notes 7 3/4s, 2022</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>110,000</TD>	<TD vAlign=bottom align=right>128,975</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>MGM Resorts International company guaranty sr. unsec. unsub. notes 6 5/8s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>100,000</TD>	<TD vAlign=bottom align=right>111,500</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>MTR Gaming Group, Inc. company guaranty notes 11 1/2s, 2019</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>525,213</TD>	<TD vAlign=bottom align=right>590,208</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Navistar International Corp. sr. notes 8 1/4s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>214,000</TD>	<TD vAlign=bottom align=right>224,165</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Neiman Marcus Group, Inc. 144A company guaranty sr. unsec. notes 8 3/4s, 2021<sup><B><I>(PIK)</I></B></sup></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>280,000</TD>	<TD vAlign=bottom align=right>305,200</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Neiman Marcus Group, Inc. 144A company guaranty sr. unsec. notes 8s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>95,000</TD>	<TD vAlign=bottom align=right>102,363</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Nexstar Broadcasting, Inc. company guaranty sr. unsec. unsub. notes 6 7/8s, 2020</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>85,000</TD>	<TD vAlign=bottom align=right>91,588</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Nielsen Co. Luxembourg S.a.r.l. (The) 144A company guaranty sr. unsec. notes 5 1/2s, 2021 (Luxembourg)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>258,000</TD>	<TD vAlign=bottom align=right>267,675</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Nielsen Finance, LLC/Nielsen Finance Co. company guaranty sr. unsec. notes 4 1/2s, 2020</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>50,000</TD>	<TD vAlign=bottom align=right>50,375</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Nortek, Inc. company guaranty sr. unsec. notes 10s, 2018</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>290,000</TD>	<TD vAlign=bottom align=right>312,475</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Nortek, Inc. company guaranty sr. unsec. notes 8 1/2s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>143,000</TD>	<TD vAlign=bottom align=right>158,015</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Owens Corning company guaranty sr. unsec. notes 9s, 2019</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>92,000</TD>	<TD vAlign=bottom align=right>115,684</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Penn National Gaming, Inc. 144A sr. unsec. notes 5 7/8s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>190,000</TD>	<TD vAlign=bottom align=right>179,550</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5 3/4s, 2022</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>160,000</TD>	<TD vAlign=bottom align=right>168,400</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Petco Animal Supplies, Inc. 144A company guaranty sr. unsec. notes 9 1/4s, 2018</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>100,000</TD>	<TD vAlign=bottom align=right>107,375</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Petco Holdings, Inc. 144A sr. unsec. notes 8 1/2s, 2017<sup><B><I>(PIK)</I></B></sup></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>70,000</TD>	<TD vAlign=bottom align=right>71,400</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Regal Entertainment Group sr. unsec. notes 5 3/4s, 2023</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>168,000</TD>	<TD vAlign=bottom align=right>172,620</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Regal Entertainment Group sr. unsec. notes 5 3/4s, 2022</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>35,000</TD>	<TD vAlign=bottom align=right>36,313</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp. 144A sr. notes 9 1/2s, 2019</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>40,000</TD>	<TD vAlign=bottom align=right>43,400</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>ROC Finance, LLC/ROC Finance 1 Corp. 144A notes 12 1/8s, 2018</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>240,000</TD>	<TD vAlign=bottom align=right>260,400</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Sabre Holdings Corp. sr. unsec. unsub. notes 8.35s, 2016</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>92,000</TD>	<TD vAlign=bottom align=right>101,775</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Sabre, Inc. 144A sr. notes 8 1/2s, 2019</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>286,000</TD>	<TD vAlign=bottom align=right>316,745</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Sinclair Television Group, Inc. company guaranty sr. unsec. notes 6 3/8s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>98,000</TD>	<TD vAlign=bottom align=right>104,248</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Sinclair Television Group, Inc. company guaranty sr. unsec. notes 5 3/8s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>24,000</TD>	<TD vAlign=bottom align=right>24,150</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Sinclair Television Group, Inc. sr. unsec. notes 6 1/8s, 2022</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>48,000</TD>	<TD vAlign=bottom align=right>50,160</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Sirius XM Radio, Inc. 144A company guaranty sr. unsec. notes 6s, 2024</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>142,000</TD>	<TD vAlign=bottom align=right>147,680</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Sirius XM Radio, Inc. 144A sr. unsec. bonds 5 7/8s, 2020</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>227,000</TD>	<TD vAlign=bottom align=right>240,053</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Sirius XM Radio, Inc. 144A sr. unsec. notes 5 1/4s, 2022</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>20,000</TD>	<TD vAlign=bottom align=right>21,500</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Six Flags Entertainment Corp. 144A company guaranty sr. unsec. unsub. notes 5 1/4s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>296,000</TD>	<TD vAlign=bottom align=right>303,400</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Spectrum Brands, Inc. company guaranty sr. unsec. notes 6 5/8s, 2022</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>10,000</TD>	<TD vAlign=bottom align=right>10,825</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Spectrum Brands, Inc. company guaranty sr. unsec. notes 6 3/8s, 2020</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>10,000</TD>	<TD vAlign=bottom align=right>10,750</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Spectrum Brands, Inc. company guaranty sr. unsec. unsub. notes 6 3/4s, 2020</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>110,000</TD>	<TD vAlign=bottom align=right>117,975</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Standard Pacific Corp. company guaranty sr. unsec. notes 6 1/4s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>75,000</TD>	<TD vAlign=bottom align=right>80,063</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A sr. notes 6 3/8s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>35,000</TD>	<TD vAlign=bottom align=right>34,300</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. notes 5 5/8s, 2024</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>70,000</TD>	<TD vAlign=bottom align=right>69,475</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. notes 5 1/4s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>326,000</TD>	<TD vAlign=bottom align=right>330,075</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Thomas Cook Group PLC sr. unsec. notes Ser. EMTN, 7 3/4s, 2017 (United Kingdom)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right>GBP</TD>	<TD vAlign=bottom align=right>217,000</TD>	<TD vAlign=bottom align=right>409,254</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Travelport, LLC company guaranty sr. unsec. sub. notes 11 7/8s, 2016</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>$247,000</TD>	<TD vAlign=bottom align=right>251,940</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Travelport, LLC/Travelport Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 13 7/8s, 2016<sup><B><I>(PIK)</I></B></sup></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>156,109</TD>	<TD vAlign=bottom align=right>160,792</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>TRW Automotive, Inc. 144A company guaranty sr. notes 7 1/4s, 2017</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>350,000</TD>	<TD vAlign=bottom align=right>398,125</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>TRW Automotive, Inc. 144A company guaranty sr. unsec. notes 4 1/2s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>50,000</TD>	<TD vAlign=bottom align=right>52,500</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Univision Communications, Inc. 144A company guaranty sr. unsec. notes 8 1/2s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>89,000</TD>	<TD vAlign=bottom align=right>98,679</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Univision Communications, Inc. 144A sr. notes 6 7/8s, 2019</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>200,000</TD>	<TD vAlign=bottom align=right>213,500</TD></TR>
	<TR height=18><TD colspan=6></TD><TD><HR SIZE=2 noShade align=right Width="70%"></TD></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=5><FONT size=+0><B></B></FONT></TD>
										<TD align=right><FONT size=+0><B>16,930,884</B></FONT></TD></TR>

	<TR height=6></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=6><FONT size=+0><B>Consumer staples (1.7%)</B></FONT></TD></TR>

	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Ashtead Capital, Inc. 144A company guaranty sr. notes 6 1/2s, 2022</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>455,000</TD>	<TD vAlign=bottom align=right>497,088</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Avis Budget Car Rental, LLC/Avis Budget Finance, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>170,000</TD>	<TD vAlign=bottom align=right>173,825</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Avis Budget Car Rental, LLC/Avis Budget Finance, Inc. 144A company guaranty sr. unsec. unsub. notes 5 1/8s, 2022</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>70,000</TD>	<TD vAlign=bottom align=right>70,088</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>B&G Foods, Inc. company guaranty sr. unsec. notes 4 5/8s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>100,000</TD>	<TD vAlign=bottom align=right>99,750</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Burger King Corp. company guaranty sr. unsec. notes 9 7/8s, 2018</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>184,000</TD>	<TD vAlign=bottom align=right>197,340</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>CEC Entertainment, Inc. 144A sr. unsec. notes 8s, 2022</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>85,000</TD>	<TD vAlign=bottom align=right>87,975</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Constellation Brands, Inc. company guaranty sr. unsec. notes 4 1/4s, 2023</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>50,000</TD>	<TD vAlign=bottom align=right>49,938</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Constellation Brands, Inc. company guaranty sr. unsec. notes 3 3/4s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>255,000</TD>	<TD vAlign=bottom align=right>253,406</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 7 1/4s, 2016</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>111,000</TD>	<TD vAlign=bottom align=right>123,765</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 6s, 2022</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>90,000</TD>	<TD vAlign=bottom align=right>101,025</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Corrections Corp. of America company guaranty sr. unsec. notes 4 5/8s, 2023<sup><B><I>(R)</I></B></sup></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>135,000</TD>	<TD vAlign=bottom align=right>132,300</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Corrections Corp. of America company guaranty sr. unsec. notes 4 1/8s, 2020<sup><B><I>(R)</I></B></sup></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>123,000</TD>	<TD vAlign=bottom align=right>122,078</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Dean Foods Co. company guaranty sr. unsec. unsub. notes 7s, 2016</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>95,000</TD>	<TD vAlign=bottom align=right>103,788</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>DineEquity, Inc. company guaranty sr. unsec. notes 9 1/2s, 2018</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>115,000</TD>	<TD vAlign=bottom align=right>123,223</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Elizabeth Arden, Inc. sr. unsec. unsub. notes 7 3/8s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>395,000</TD>	<TD vAlign=bottom align=right>417,713</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Enterprise Inns PLC sr. unsub. mtge. notes 6 1/2s, 2018 (United Kingdom)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right>GBP</TD>	<TD vAlign=bottom align=right>152,000</TD>	<TD vAlign=bottom align=right>280,871</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>ESAL GmbH 144A company guaranty sr. unsec. notes 6 1/4s, 2023 (Brazil)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>$200,000</TD>	<TD vAlign=bottom align=right>195,600</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Hertz Corp. (The) company guaranty sr. unsec. notes 7 1/2s, 2018</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>65,000</TD>	<TD vAlign=bottom align=right>68,088</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Hertz Corp. (The) company guaranty sr. unsec. notes 6 1/4s, 2022</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>113,000</TD>	<TD vAlign=bottom align=right>119,639</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Hertz Corp. (The) company guaranty sr. unsec. notes 5 7/8s, 2020</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>75,000</TD>	<TD vAlign=bottom align=right>78,375</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>HJ Heinz Co. company guaranty notes 4 1/4s, 2020</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>345,000</TD>	<TD vAlign=bottom align=right>347,156</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 8 1/4s, 2020 (Brazil)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>67,000</TD>	<TD vAlign=bottom align=right>72,695</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 7 1/4s, 2021 (Brazil)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>350,000</TD>	<TD vAlign=bottom align=right>376,250</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Landry's Holdings II, Inc. 144A sr. unsec. notes 10 1/4s, 2018</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>55,000</TD>	<TD vAlign=bottom align=right>58,300</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Landry's, Inc. 144A sr. unsec. notes 9 3/8s, 2020</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>95,000</TD>	<TD vAlign=bottom align=right>104,500</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Prestige Brands, Inc. 144A sr. unsec. notes 5 3/8s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>140,000</TD>	<TD vAlign=bottom align=right>143,150</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Revlon Consumer Products Corp. company guaranty sr. unsec. notes 5 3/4s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>240,000</TD>	<TD vAlign=bottom align=right>246,600</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Rite Aid Corp. company guaranty sr. unsec. unsub. notes 9 1/4s, 2020</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>235,000</TD>	<TD vAlign=bottom align=right>267,900</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Rite Aid Corp. company guaranty sr. unsub. notes 8s, 2020</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>55,000</TD>	<TD vAlign=bottom align=right>60,500</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Smithfield Foods, Inc. sr. unsec. unsub. notes 6 5/8s, 2022</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>145,000</TD>	<TD vAlign=bottom align=right>158,775</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Smithfield Foods, Inc. 144A sr. unsec. notes 5 7/8s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>40,000</TD>	<TD vAlign=bottom align=right>42,300</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Smithfield Foods, Inc. 144A sr. unsec. notes 5 1/4s, 2018</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>137,000</TD>	<TD vAlign=bottom align=right>142,480</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>United Rentals North America, Inc. company guaranty sr. unsec. notes 7 5/8s, 2022</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>334,000</TD>	<TD vAlign=bottom align=right>375,750</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>United Rentals North America, Inc. company guaranty sr. unsec. notes 5 3/4s, 2024</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>89,000</TD>	<TD vAlign=bottom align=right>92,449</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>United Rentals North America, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2023</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>120,000</TD>	<TD vAlign=bottom align=right>128,700</TD></TR>
	<TR height=18><TD colspan=6></TD><TD><HR SIZE=2 noShade align=right Width="70%"></TD></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=5><FONT size=+0><B></B></FONT></TD>
										<TD align=right><FONT size=+0><B>5,913,380</B></FONT></TD></TR>

	<TR height=6></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=6><FONT size=+0><B>Energy (7.3%)</B></FONT></TD></TR>

	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Access Midstream Partners LP/ACMP Finance Corp. company guaranty sr. unsec. notes 5 7/8s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>135,000</TD>	<TD vAlign=bottom align=right>144,450</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Access Midstream Partners LP/ACMP Finance Corp. company guaranty sr. unsec. unsub. notes 6 1/8s, 2022</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>145,000</TD>	<TD vAlign=bottom align=right>160,225</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Access Midstream Partners LP/ACMP Finance Corp. company guaranty sr. unsec. unsub. notes 4 7/8s, 2023</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>249,000</TD>	<TD vAlign=bottom align=right>262,695</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Alpha Natural Resources, Inc. company guaranty sr. unsec. notes 6 1/4s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>155,000</TD>	<TD vAlign=bottom align=right>110,050</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Antero Resources Corp. 144A company guaranty sr. unsec. notes 5 1/8s, 2022</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>130,000</TD>	<TD vAlign=bottom align=right>133,575</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Antero Resources Finance Corp. company guaranty sr. unsec. notes 5 3/8s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>192,000</TD>	<TD vAlign=bottom align=right>199,200</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Athlon Holdings LP/Athlon Finance Corp. 144A company guaranty sr. unsec. notes 7 3/8s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>207,000</TD>	<TD vAlign=bottom align=right>225,630</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Athlon Holdings LP/Athlon Finance Corp. 144A company guaranty sr. unsec. notes 6s, 2022</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>85,000</TD>	<TD vAlign=bottom align=right>87,975</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Atwood Oceanics, Inc. sr. unsec. unsub. notes 6 1/2s, 2020</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>31,000</TD>	<TD vAlign=bottom align=right>33,054</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Baytex Energy Corp. 144A company guaranty sr. unsec. notes 5 5/8s, 2024 (Canada)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>143,000</TD>	<TD vAlign=bottom align=right>143,536</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Baytex Energy Corp. 144A company guaranty sr. unsec. notes 5 1/8s, 2021 (Canada)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>111,000</TD>	<TD vAlign=bottom align=right>111,694</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Carrizo Oil & Gas, Inc. company guaranty sr. unsec. notes 8 5/8s, 2018</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>296,000</TD>	<TD vAlign=bottom align=right>311,910</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Chaparral Energy, Inc. company guaranty sr. unsec. notes 9 7/8s, 2020</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>140,000</TD>	<TD vAlign=bottom align=right>157,850</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Chesapeake Energy Corp. company guaranty sr. unsec. bonds 6 1/4s, 2017</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right>EUR</TD>	<TD vAlign=bottom align=right>50,000</TD>	<TD vAlign=bottom align=right>74,952</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Chesapeake Energy Corp. company guaranty sr. unsec. notes 5 3/4s, 2023</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>$50,000</TD>	<TD vAlign=bottom align=right>55,560</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Chesapeake Energy Corp. company guaranty sr. unsec. notes 4 7/8s, 2022</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>91,000</TD>	<TD vAlign=bottom align=right>94,185</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Cimarex Energy Co. company guaranty sr. unsec. notes 4 3/8s, 2024</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>105,000</TD>	<TD vAlign=bottom align=right>106,969</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Concho Resources, Inc. company guaranty sr. unsec. notes 6 1/2s, 2022</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>225,000</TD>	<TD vAlign=bottom align=right>247,500</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Concho Resources, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>193,000</TD>	<TD vAlign=bottom align=right>207,475</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Concho Resources, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2022</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>88,000</TD>	<TD vAlign=bottom align=right>94,710</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Connacher Oil and Gas, Ltd. 144A notes 8 3/4s, 2018 (Canada)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right>CAD</TD>	<TD vAlign=bottom align=right>225,000</TD>	<TD vAlign=bottom align=right>164,472</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Connacher Oil and Gas, Ltd. 144A notes 8 1/2s, 2019 (Canada)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>$46,000</TD>	<TD vAlign=bottom align=right>36,685</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>CONSOL Energy, Inc. company guaranty sr. unsec. notes 8 1/4s, 2020</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>125,000</TD>	<TD vAlign=bottom align=right>135,313</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>CONSOL Energy, Inc. 144A company guaranty sr. unsec. notes 5 7/8s, 2022</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>135,000</TD>	<TD vAlign=bottom align=right>141,413</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 6 3/8s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>31,000</TD>	<TD vAlign=bottom align=right>33,325</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 5 1/2s, 2022</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>227,000</TD>	<TD vAlign=bottom align=right>232,391</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>EXCO Resources, Inc. company guaranty sr. unsec. notes 7 1/2s, 2018</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>130,000</TD>	<TD vAlign=bottom align=right>133,900</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Exterran Partners LP/EXLP Finance Corp. 144A company guaranty sr. unsec. notes 6s, 2022</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>150,000</TD>	<TD vAlign=bottom align=right>152,250</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>FTS International, Inc. 144A company guaranty sr. notes 6 1/4s, 2022</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>105,000</TD>	<TD vAlign=bottom align=right>107,363</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Gazprom OAO Via Gaz Capital SA 144A sr. unsec. unsub. notes 9 1/4s, 2019 (Russia)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>2,055,000</TD>	<TD vAlign=bottom align=right>2,497,914</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Gazprom OAO Via Gaz Capital SA 144A sr. unsec. unsub. notes 8.146s, 2018 (Russia)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>176,000</TD>	<TD vAlign=bottom align=right>202,641</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Goodrich Petroleum Corp. company guaranty sr. unsec. unsub. notes 8 7/8s, 2019</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>160,000</TD>	<TD vAlign=bottom align=right>170,400</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Gulfport Energy Corp. company guaranty sr. unsec. unsub. notes 7 3/4s, 2020</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>310,000</TD>	<TD vAlign=bottom align=right>335,575</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Halcon Resources Corp. company guaranty sr. unsec. unsub. notes 9 3/4s, 2020</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>170,000</TD>	<TD vAlign=bottom align=right>185,513</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Halcon Resources Corp. company guaranty sr. unsec. unsub. notes 8 7/8s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>483,000</TD>	<TD vAlign=bottom align=right>519,225</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Hercules Offshore, Inc. 144A sr. unsec. notes 8 3/4s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>75,000</TD>	<TD vAlign=bottom align=right>79,125</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Hiland Partners LP/Hiland Partners Finance Corp. 144A company guaranty sr. notes 7 1/4s, 2020</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>150,000</TD>	<TD vAlign=bottom align=right>163,500</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Hiland Partners LP/Hiland Partners Finance Corp. 144A company guaranty sr. unsec. notes 5 1/2s, 2022</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>45,000</TD>	<TD vAlign=bottom align=right>45,619</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Hilcorp Energy I LP/Hilcorp Finance Co. 144A sr. unsec. notes 5s, 2024</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>70,000</TD>	<TD vAlign=bottom align=right>70,000</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Key Energy Services, Inc. company guaranty unsec. unsub. notes 6 3/4s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>121,000</TD>	<TD vAlign=bottom align=right>125,840</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Kodiak Oil & Gas Corp. company guaranty sr. unsec. unsub. notes 8 1/8s, 2019</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>55,000</TD>	<TD vAlign=bottom align=right>60,913</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Kodiak Oil & Gas Corp. company guaranty sr. unsec. unsub. notes 5 1/2s, 2022</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>212,000</TD>	<TD vAlign=bottom align=right>219,950</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Lightstream Resources, Ltd. 144A sr. unsec. notes 8 5/8s, 2020 (Canada)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>317,000</TD>	<TD vAlign=bottom align=right>332,850</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Linn Energy, LLC/Linn Energy Finance Corp. company guaranty sr. unsec. notes 6 1/2s, 2019</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>169,000</TD>	<TD vAlign=bottom align=right>178,295</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Linn Energy, LLC/Linn Energy Finance Corp. company guaranty sr. unsec. notes 6 1/4s, 2019</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>265,000</TD>	<TD vAlign=bottom align=right>277,588</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Lone Pine Resources Canada, Ltd. escrow company guaranty sr. unsec. unsub. notes 10 3/8s, 2017 (Canada)<sup><B><I>(F)</I></B></sup></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>80,000</TD>	<TD vAlign=bottom align=right>4</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>MEG Energy Corp. 144A company guaranty sr. unsec. notes 6 1/2s, 2021 (Canada)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>242,000</TD>	<TD vAlign=bottom align=right>256,520</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>MEG Energy Corp. 144A company guaranty sr. unsec. notes 6 3/8s, 2023 (Canada)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>108,000</TD>	<TD vAlign=bottom align=right>114,750</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Milagro Oil & Gas, Inc. company guaranty notes 10 1/2s, 2016 (In default)<sup><B><I>(NON)</I></B></sup></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>225,000</TD>	<TD vAlign=bottom align=right>175,500</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>National JSC Naftogaz of Ukraine govt. guaranty unsec. notes 9 1/2s, 2014 (Ukraine)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>275,000</TD>	<TD vAlign=bottom align=right>267,955</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Oasis Petroleum, Inc. company guaranty sr. unsec. notes 6 7/8s, 2023</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>110,000</TD>	<TD vAlign=bottom align=right>120,450</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Oasis Petroleum, Inc. 144A company guaranty sr. unsec. unsub. notes 6 7/8s, 2022</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>205,000</TD>	<TD vAlign=bottom align=right>223,450</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Offshore Group Investment, Ltd. company guaranty sr. notes 7 1/2s, 2019 (Cayman Islands)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>200,000</TD>	<TD vAlign=bottom align=right>211,500</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Offshore Group Investment, Ltd. company guaranty sr. notes 7 1/8s, 2023 (Cayman Islands)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>150,000</TD>	<TD vAlign=bottom align=right>152,250</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Peabody Energy Corp. company guaranty sr. unsec. notes 7 3/8s, 2016</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>234,000</TD>	<TD vAlign=bottom align=right>257,108</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Pertamina Persero PT 144A sr. unsec. notes 4 7/8s, 2022 (Indonesia)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>925,000</TD>	<TD vAlign=bottom align=right>918,063</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Pertamina Persero PT 144A sr. unsec. unsub. notes 4.3s, 2023 (Indonesia)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>200,000</TD>	<TD vAlign=bottom align=right>188,750</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Petrobras International Finance Co. company guaranty sr. unsec. notes 7 7/8s, 2019 (Brazil)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>390,000</TD>	<TD vAlign=bottom align=right>455,360</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Petrobras International Finance Co. company guaranty sr. unsec. notes 5 3/8s, 2021 (Brazil)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>625,000</TD>	<TD vAlign=bottom align=right>651,394</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Petroleos de Venezuela SA company guaranty sr. unsec. notes 5 1/4s, 2017 (Venezuela)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>1,300,000</TD>	<TD vAlign=bottom align=right>1,116,700</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Petroleos de Venezuela SA sr. unsec. notes 4.9s, 2014 (Venezuela)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>1,370,000</TD>	<TD vAlign=bottom align=right>1,363,146</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Petroleos de Venezuela SA sr. unsec. sub. bonds 5s, 2015 (Venezuela)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>1,120,000</TD>	<TD vAlign=bottom align=right>1,058,384</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Petroleos de Venezuela SA 144A company guaranty sr. notes 8 1/2s, 2017 (Venezuela)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>2,170,000</TD>	<TD vAlign=bottom align=right>2,029,601</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Petroleos de Venezuela SA 144A company guaranty sr. unsec. notes 12 3/4s, 2022 (Venezuela)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>80,000</TD>	<TD vAlign=bottom align=right>80,900</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Petroleos Mexicanos company guaranty unsec. unsub. notes 8s, 2019 (Mexico)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>1,535,000</TD>	<TD vAlign=bottom align=right>1,901,865</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Plains Exploration & Production Co. company guaranty sr. unsec. notes 6 5/8s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>91,000</TD>	<TD vAlign=bottom align=right>101,806</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Plains Exploration & Production Co. company guaranty sr. unsec. unsub. notes 6 7/8s, 2023</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>117,000</TD>	<TD vAlign=bottom align=right>136,890</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Range Resources Corp. company guaranty sr. sub. notes 6 3/4s, 2020</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>150,000</TD>	<TD vAlign=bottom align=right>161,250</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Range Resources Corp. company guaranty sr. unsec. sub. notes 5s, 2022</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>75,000</TD>	<TD vAlign=bottom align=right>79,500</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Rose Rock Midstream LP/Rose Rock Finance Corp. 144A company guaranty sr. unsec. notes 5 5/8s, 2022</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>60,000</TD>	<TD vAlign=bottom align=right>60,750</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Rosetta Resources, Inc. company guaranty sr. unsec. unsub. notes 5 7/8s, 2024</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>190,000</TD>	<TD vAlign=bottom align=right>197,600</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Rosetta Resources, Inc. company guaranty sr. unsec. unsub. notes 5 5/8s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>110,000</TD>	<TD vAlign=bottom align=right>113,163</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Sabine Pass Liquefaction, LLC 144A sr. notes 6 1/4s, 2022</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>100,000</TD>	<TD vAlign=bottom align=right>108,500</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Sabine Pass Liquefaction, LLC 144A sr. notes 5 3/4s, 2024</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>100,000</TD>	<TD vAlign=bottom align=right>104,250</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Sabine Pass Liquefaction, LLC 144A sr. notes 5 5/8s, 2023</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>100,000</TD>	<TD vAlign=bottom align=right>104,250</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Sabine Pass LNG LP company guaranty sr. notes 6 1/2s, 2020</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>75,000</TD>	<TD vAlign=bottom align=right>81,188</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Samson Investment Co. 144A sr. unsec. notes 10 3/4s, 2020</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>415,000</TD>	<TD vAlign=bottom align=right>437,306</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Sanchez Energy Corp. 144A company guaranty sr. unsec. notes 6 1/8s, 2023</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>75,000</TD>	<TD vAlign=bottom align=right>77,438</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Seven Generations Energy, Ltd. 144A sr. unsec. notes 8 1/4s, 2020 (Canada)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>155,000</TD>	<TD vAlign=bottom align=right>170,105</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Seventy Seven Energy, Inc. 144A sr. unsec. notes 6 1/2s, 2022</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>20,000</TD>	<TD vAlign=bottom align=right>20,500</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Shelf Drilling Holdings, Ltd. 144A sr. notes 8 5/8s, 2018</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>165,000</TD>	<TD vAlign=bottom align=right>176,550</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>SM Energy Co. sr. unsec. notes 6 5/8s, 2019</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>85,000</TD>	<TD vAlign=bottom align=right>90,100</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>SM Energy Co. sr. unsec. unsub. notes 6 1/2s, 2023</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>105,000</TD>	<TD vAlign=bottom align=right>114,188</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Tervita Corp. 144A company guaranty sr. notes 9s, 2018 (Canada)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right>CAD</TD>	<TD vAlign=bottom align=right>55,000</TD>	<TD vAlign=bottom align=right>53,087</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Tervita Corp. 144A sr. notes 8s, 2018 (Canada)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>$55,000</TD>	<TD vAlign=bottom align=right>57,200</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Tervita Corp. 144A sr. unsec. notes 10 7/8s, 2018 (Canada)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>45,000</TD>	<TD vAlign=bottom align=right>45,824</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Unit Corp. company guaranty sr. sub. notes 6 5/8s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>177,000</TD>	<TD vAlign=bottom align=right>188,948</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Whiting Petroleum Corp. company guaranty sr. unsec. unsub. notes 5 3/4s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>315,000</TD>	<TD vAlign=bottom align=right>345,713</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>WPX Energy, Inc. sr. unsec. unsub. notes 5 1/4s, 2017</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>480,000</TD>	<TD vAlign=bottom align=right>511,200</TD></TR>
	<TR height=18><TD colspan=6></TD><TD><HR SIZE=2 noShade align=right Width="70%"></TD></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=5><FONT size=+0><B></B></FONT></TD>
										<TD align=right><FONT size=+0><B>24,646,211</B></FONT></TD></TR>

	<TR height=6></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=6><FONT size=+0><B>Financials (3.9%)</B></FONT></TD></TR>

	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Ally Financial, Inc. company guaranty sr. notes 6 1/4s, 2017</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>140,000</TD>	<TD vAlign=bottom align=right>156,450</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 7 1/2s, 2020</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>565,000</TD>	<TD vAlign=bottom align=right>680,825</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Banco do Brasil SA 144A unsec. sub. notes 5 7/8s, 2023 (Brazil)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>150,000</TD>	<TD vAlign=bottom align=right>154,125</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Banco do Brasil SA 144A unsec. sub. notes 5 7/8s, 2022 (Brazil)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>790,000</TD>	<TD vAlign=bottom align=right>814,697</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>CB Richard Ellis Services, Inc. company guaranty sr. unsec. notes 6 5/8s, 2020</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>56,000</TD>	<TD vAlign=bottom align=right>59,430</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>CBRE Services, Inc. company guaranty sr. unsec. unsub. notes 5s, 2023</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>135,000</TD>	<TD vAlign=bottom align=right>136,350</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>CIT Group, Inc. sr. unsec. notes 5s, 2023</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>110,000</TD>	<TD vAlign=bottom align=right>112,750</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>CIT Group, Inc. sr. unsec. notes 5s, 2022</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>130,000</TD>	<TD vAlign=bottom align=right>134,550</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>CIT Group, Inc. sr. unsec. unsub. notes 5 3/8s, 2020</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>135,000</TD>	<TD vAlign=bottom align=right>144,914</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>CIT Group, Inc. sr. unsec. unsub. notes 3 7/8s, 2019</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>65,000</TD>	<TD vAlign=bottom align=right>66,014</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>CIT Group, Inc. 144A company guaranty notes 6 5/8s, 2018</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>205,000</TD>	<TD vAlign=bottom align=right>230,113</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>CIT Group, Inc. 144A company guaranty notes 5 1/2s, 2019</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>165,000</TD>	<TD vAlign=bottom align=right>178,819</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Community Choice Financial, Inc. company guaranty sr. notes 10 3/4s, 2019</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>111,000</TD>	<TD vAlign=bottom align=right>94,905</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Credit Acceptance Corp. 144A company guaranty sr. unsec. notes 6 1/8s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>80,000</TD>	<TD vAlign=bottom align=right>83,600</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>DFC Finance Corp. 144A company guaranty sr. notes 10 1/2s, 2020</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>160,000</TD>	<TD vAlign=bottom align=right>163,400</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>E*Trade Financial Corp. sr. unsec. unsub. notes 6 3/8s, 2019</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>304,000</TD>	<TD vAlign=bottom align=right>329,080</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Hockey Merger Sub 2, Inc. 144A sr. unsec. notes 7 7/8s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>205,000</TD>	<TD vAlign=bottom align=right>219,606</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6s, 2020</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>348,000</TD>	<TD vAlign=bottom align=right>372,795</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 5 7/8s, 2022</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>215,000</TD>	<TD vAlign=bottom align=right>225,213</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>International Lease Finance Corp. sr. unsec. unsub. notes 5 7/8s, 2022</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>15,000</TD>	<TD vAlign=bottom align=right>16,350</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>iStar Financial, Inc. sr. unsec. notes 7 1/8s, 2018<sup><B><I>(R)</I></B></sup></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>115,000</TD>	<TD vAlign=bottom align=right>128,081</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>iStar Financial, Inc. sr. unsec. notes 5s, 2019<sup><B><I>(R)</I></B></sup></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>55,000</TD>	<TD vAlign=bottom align=right>55,000</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>MPT Operating Partnership LP/MPT Finance Corp. company guaranty sr. unsec. notes 6 7/8s, 2021<sup><B><I>(R)</I></B></sup></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>75,000</TD>	<TD vAlign=bottom align=right>81,750</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>MPT Operating Partnership LP/MPT Finance Corp. company guaranty sr. unsec. unsub. notes 6 3/8s, 2022<sup><B><I>(R)</I></B></sup></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>215,000</TD>	<TD vAlign=bottom align=right>231,663</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. notes 7 7/8s, 2020</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>80,000</TD>	<TD vAlign=bottom align=right>84,100</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>213,000</TD>	<TD vAlign=bottom align=right>213,533</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Neuberger Berman Group, LLC/Neuberger Berman Finance Corp. 144A sr. unsec. notes 5 7/8s, 2022</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>15,000</TD>	<TD vAlign=bottom align=right>16,013</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Nuveen Investments, Inc. 144A sr. unsec. notes 9 1/8s, 2017</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>190,000</TD>	<TD vAlign=bottom align=right>205,913</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Ocwen Financial Corp. 144A company guaranty sr. unsec. notes 6 5/8s, 2019</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>105,000</TD>	<TD vAlign=bottom align=right>108,413</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>PHH Corp. sr. unsec. unsub. notes 7 3/8s, 2019</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>230,000</TD>	<TD vAlign=bottom align=right>262,775</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>PHH Corp. sr. unsec. unsub. notes 6 3/8s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>50,000</TD>	<TD vAlign=bottom align=right>52,875</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Provident Funding Associates LP/PFG Finance Corp. 144A company guaranty sr. unsec. notes 6 3/4s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>225,000</TD>	<TD vAlign=bottom align=right>227,813</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Royal Bank of Scotland Group PLC unsec. sub. notes 5 1/8s, 2024 (United Kingdom)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>100,000</TD>	<TD vAlign=bottom align=right>101,540</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Russian Agricultural Bank OJSC Via RSHB Capital SA 144A sr. unsec. notes 7 3/4s, 2018 (Russia)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>2,750,000</TD>	<TD vAlign=bottom align=right>3,023,350</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Sberbank of Russia Via SB Capital SA 144A sr. notes 6 1/8s, 2022 (Russia)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>325,000</TD>	<TD vAlign=bottom align=right>344,500</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Sberbank of Russia Via SB Capital SA 144A sr. notes 4.95s, 2017 (Russia)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>500,000</TD>	<TD vAlign=bottom align=right>526,500</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>SLM Corp. sr. unsec. unsub. notes Ser. MTN, 8.45s, 2018</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>229,000</TD>	<TD vAlign=bottom align=right>270,793</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Springleaf Finance Corp. sr. unsec. unsub. notes 6s, 2020</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>590,000</TD>	<TD vAlign=bottom align=right>610,650</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>State Bank of India/London 144A sr. unsec. notes 4 1/2s, 2015 (India)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>155,000</TD>	<TD vAlign=bottom align=right>159,591</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>TMX Finance, LLC/TitleMax Finance Corp. 144A sr. notes 8 1/2s, 2018</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>25,000</TD>	<TD vAlign=bottom align=right>26,500</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Ukreximbank Via Biz Finance PLC sr. unsec. unsub. bonds 8 3/8s, 2015 (United Kingdom)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>200,000</TD>	<TD vAlign=bottom align=right>187,000</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>USI, Inc./NY 144A sr. unsec. notes 7 3/4s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>264,000</TD>	<TD vAlign=bottom align=right>271,590</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 6 7/8s, 2018 (Russia)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>979,000</TD>	<TD vAlign=bottom align=right>1,054,970</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 6 1/4s, 2035 (Russia)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>113,000</TD>	<TD vAlign=bottom align=right>116,814</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Walter Investment Management Corp. 144A company guaranty sr. unsec. notes 7 7/8s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>135,000</TD>	<TD vAlign=bottom align=right>141,075</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Weyerhaeuser Real Estate Co. 144A sr. unsec. unsub. notes 5 7/8s, 2024</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>145,000</TD>	<TD vAlign=bottom align=right>149,169</TD></TR>
	<TR height=18><TD colspan=6></TD><TD><HR SIZE=2 noShade align=right Width="70%"></TD></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=5><FONT size=+0><B></B></FONT></TD>
										<TD align=right><FONT size=+0><B>13,025,957</B></FONT></TD></TR>

	<TR height=6></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=6><FONT size=+0><B>Health care (2.5%)</B></FONT></TD></TR>

	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Acadia Healthcare Co., Inc. company guaranty sr. unsec. notes 6 1/8s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>195,000</TD>	<TD vAlign=bottom align=right>204,750</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Acadia Healthcare Co., Inc. 144A company guaranty sr. unsec. notes 5 1/8s, 2022</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>85,000</TD>	<TD vAlign=bottom align=right>85,213</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Aviv Healthcare Properties LP/Aviv Healthcare Capital Corp. company guaranty sr. unsec. notes 7 3/4s, 2019</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>139,000</TD>	<TD vAlign=bottom align=right>148,035</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Capsugel FinanceCo SCA 144A company guaranty sr. unsec. notes 9 7/8s, 2019</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right>EUR</TD>	<TD vAlign=bottom align=right>220,000</TD>	<TD vAlign=bottom align=right>325,057</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Capsugel SA 144A sr. unsec. notes 7s, 2019 (Luxembourg)<sup><B><I>(PIK)</I></B></sup></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>$50,000</TD>	<TD vAlign=bottom align=right>51,500</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Catamaran Corp. company guaranty sr. unsec. bonds 4 3/4s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>173,000</TD>	<TD vAlign=bottom align=right>174,730</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Centene Corp. sr. unsec. unsub. notes 4 3/4s, 2022</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>85,000</TD>	<TD vAlign=bottom align=right>86,275</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>CHS/Community Health Systems, Inc. company guaranty sr. notes 5 1/8s, 2018</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>62,000</TD>	<TD vAlign=bottom align=right>65,023</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>CHS/Community Health Systems, Inc. company guaranty sr. unsec. unsub. notes 8s, 2019</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>80,000</TD>	<TD vAlign=bottom align=right>87,600</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>CHS/Community Health Systems, Inc. 144A company guaranty sr. notes 5 1/8s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>30,000</TD>	<TD vAlign=bottom align=right>30,750</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>CHS/Community Health Systems, Inc. 144A company guaranty sr. unsec. notes 6 7/8s, 2022</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>35,000</TD>	<TD vAlign=bottom align=right>37,100</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>ConvaTec Finance International SA 144A sr. unsec. notes 8 1/4s, 2019 (Luxembourg)<sup><B><I>(PIK)</I></B></sup></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>200,000</TD>	<TD vAlign=bottom align=right>204,500</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>ConvaTec Healthcare D Sarl 144A sr. notes 7 3/8s, 2017 (Luxembourg)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right>EUR</TD>	<TD vAlign=bottom align=right>100,000</TD>	<TD vAlign=bottom align=right>144,430</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Crimson Merger Sub, Inc. 144A sr. unsec. notes 6 5/8s, 2022</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>$240,000</TD>	<TD vAlign=bottom align=right>238,200</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Crown Newco 3 PLC 144A company guaranty sr. notes 7s, 2018 (United Kingdom)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right>GBP</TD>	<TD vAlign=bottom align=right>341,000</TD>	<TD vAlign=bottom align=right>614,442</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>DaVita HealthCare Partners, Inc. company guaranty sr. unsec. notes 5 1/8s, 2024</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>$175,000</TD>	<TD vAlign=bottom align=right>176,094</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Endo Finance, LLC 144A company guaranty sr. unsec. notes 5 3/4s, 2022</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>75,000</TD>	<TD vAlign=bottom align=right>76,875</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Endo Finance, LLC & Endo Finco, Inc. 144A company guaranty sr. unsec. unsub. notes 5 3/8s, 2023</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>130,000</TD>	<TD vAlign=bottom align=right>130,325</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Envision Healthcare Corp. 144A company guaranty sr. unsec. notes 5 1/8s, 2022</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>70,000</TD>	<TD vAlign=bottom align=right>70,613</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Fresenius Medical Care US Finance II, Inc. 144A company guaranty sr. unsec. notes 5 5/8s, 2019</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>165,000</TD>	<TD vAlign=bottom align=right>179,850</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>HCA, Inc. company guaranty sr. notes 3 3/4s, 2019</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>93,000</TD>	<TD vAlign=bottom align=right>94,046</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>HCA, Inc. sr. notes 6 1/2s, 2020</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>825,000</TD>	<TD vAlign=bottom align=right>926,063</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>HCA, Inc. sr. unsec. notes 7 1/2s, 2022</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>55,000</TD>	<TD vAlign=bottom align=right>63,525</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Health Net, Inc. sr. unsec. bonds 6 3/8s, 2017</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>325,000</TD>	<TD vAlign=bottom align=right>357,094</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>IASIS Healthcare, LLC/IASIS Capital Corp. company guaranty sr. unsec. notes 8 3/8s, 2019</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>166,000</TD>	<TD vAlign=bottom align=right>176,998</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>IMS Health, Inc. 144A sr. unsec. notes 6s, 2020</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>88,000</TD>	<TD vAlign=bottom align=right>92,400</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Jaguar Holding Co. I 144A sr. unsec. notes 9 3/8s, 2017<sup><B><I>(PIK)</I></B></sup></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>180,000</TD>	<TD vAlign=bottom align=right>186,300</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Jaguar Holding Co.II/Jaguar Merger Sub, Inc. 144A sr. unsec. notes 9 1/2s, 2019</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>145,000</TD>	<TD vAlign=bottom align=right>158,413</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>JLL/Delta Dutch Newco BV 144A sr. unsec. notes 7 1/2s, 2022 (Netherlands)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>239,000</TD>	<TD vAlign=bottom align=right>247,365</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Kinetic Concepts, Inc./KCI USA, Inc. company guaranty notes 10 1/2s, 2018</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>393,000</TD>	<TD vAlign=bottom align=right>445,564</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Omega Healthcare Investors, Inc. company guaranty sr. unsec. notes 6 3/4s, 2022<sup><B><I>(R)</I></B></sup></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>85,000</TD>	<TD vAlign=bottom align=right>91,860</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Omega Healthcare Investors, Inc. 144A sr. unsec. notes 4.95s, 2024<sup><B><I>(R)</I></B></sup></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>130,000</TD>	<TD vAlign=bottom align=right>132,777</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Par Pharmaceutical Cos., Inc. company guaranty sr. unsec. unsub. notes 7 3/8s, 2020</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>235,000</TD>	<TD vAlign=bottom align=right>252,625</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Salix Pharmaceuticals, Ltd. 144A company guaranty sr. unsec. notes 6s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>60,000</TD>	<TD vAlign=bottom align=right>64,350</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Service Corp. International sr. unsec. unsub. notes 5 3/8s, 2022</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>130,000</TD>	<TD vAlign=bottom align=right>134,550</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Service Corp. International 144A sr. unsec. unsub. notes 5 3/8s, 2024</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>230,000</TD>	<TD vAlign=bottom align=right>235,175</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Teleflex, Inc. company guaranty sr. unsec. sub. notes 6 7/8s, 2019</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>160,000</TD>	<TD vAlign=bottom align=right>169,200</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Teleflex, Inc. 144A company guaranty sr. unsec. notes 5 1/4s, 2024</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>50,000</TD>	<TD vAlign=bottom align=right>50,500</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Tenet Healthcare Corp. company guaranty sr. bonds 4 1/2s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>50,000</TD>	<TD vAlign=bottom align=right>50,313</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Tenet Healthcare Corp. company guaranty sr. bonds 4 3/8s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>155,000</TD>	<TD vAlign=bottom align=right>154,031</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Tenet Healthcare Corp. company guaranty sr. notes 6 1/4s, 2018</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>355,000</TD>	<TD vAlign=bottom align=right>395,381</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Tenet Healthcare Corp. company guaranty sr. notes 6s, 2020</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>231,000</TD>	<TD vAlign=bottom align=right>250,635</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Valeant Pharmaceuticals International 144A company guaranty sr. notes 7s, 2020</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>30,000</TD>	<TD vAlign=bottom align=right>31,875</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Valeant Pharmaceuticals International 144A company guaranty sr. unsec. notes 6 7/8s, 2018</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>75,000</TD>	<TD vAlign=bottom align=right>78,469</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Valeant Pharmaceuticals International 144A company guaranty sr. unsec. notes 6 3/8s, 2020</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>30,000</TD>	<TD vAlign=bottom align=right>31,875</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Valeant Pharmaceuticals International 144A sr. notes 6 3/4s, 2017</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>30,000</TD>	<TD vAlign=bottom align=right>31,275</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Valeant Pharmaceuticals International 144A sr. unsec. notes 6 3/4s, 2018</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>139,000</TD>	<TD vAlign=bottom align=right>149,773</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>WellCare Health Plans, Inc. sr. unsec. notes 5 3/4s, 2020</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>188,000</TD>	<TD vAlign=bottom align=right>200,220</TD></TR>
	<TR height=18><TD colspan=6></TD><TD><HR SIZE=2 noShade align=right Width="70%"></TD></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=5><FONT size=+0><B></B></FONT></TD>
										<TD align=right><FONT size=+0><B>8,384,014</B></FONT></TD></TR>

	<TR height=6></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=6><FONT size=+0><B>Technology (1.3%)</B></FONT></TD></TR>

	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>ACI Worldwide, Inc. 144A company guaranty sr. unsec. unsub. notes 6 3/8s, 2020</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>80,000</TD>	<TD vAlign=bottom align=right>84,200</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Avaya, Inc. 144A company guaranty notes 10 1/2s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>107,000</TD>	<TD vAlign=bottom align=right>98,708</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Avaya, Inc. 144A company guaranty sr. notes 7s, 2019</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>466,000</TD>	<TD vAlign=bottom align=right>466,000</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Epicor Software Corp. company guaranty sr. unsec. notes 8 5/8s, 2019</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>45,000</TD>	<TD vAlign=bottom align=right>48,431</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>First Data Corp. company guaranty sr. unsec. notes 12 5/8s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>275,000</TD>	<TD vAlign=bottom align=right>338,594</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>First Data Corp. company guaranty sr. unsec. notes 11 1/4s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>135,000</TD>	<TD vAlign=bottom align=right>157,613</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>First Data Corp. company guaranty sr. unsec. sub. notes 11 3/4s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>260,000</TD>	<TD vAlign=bottom align=right>308,425</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>First Data Corp. 144A company guaranty notes 8 1/4s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>700,000</TD>	<TD vAlign=bottom align=right>766,500</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>First Data Corp. 144A company guaranty sr. notes 7 3/8s, 2019</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>96,000</TD>	<TD vAlign=bottom align=right>103,080</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Freescale Semiconductor, Inc. company guaranty sr. unsec. notes 10 3/4s, 2020</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>151,000</TD>	<TD vAlign=bottom align=right>170,630</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Freescale Semiconductor, Inc. 144A sr. notes 6s, 2022</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>110,000</TD>	<TD vAlign=bottom align=right>117,425</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Infor US, Inc. company guaranty sr. unsec. notes 9 3/8s, 2019</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>55,000</TD>	<TD vAlign=bottom align=right>61,256</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Iron Mountain, Inc. company guaranty sr. unsec. unsub. notes 6s, 2023</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>185,000</TD>	<TD vAlign=bottom align=right>200,031</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Micron Technology, Inc. 144A sr. unsec. notes 5 7/8s, 2022</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>170,000</TD>	<TD vAlign=bottom align=right>182,325</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>SoftBank Corp. 144A sr. unsec. notes 4 1/2s, 2020 (Japan)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>200,000</TD>	<TD vAlign=bottom align=right>203,250</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>SunGard Data Systems, Inc. company guaranty sr. unsec. sub. notes 6 5/8s, 2019</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>115,000</TD>	<TD vAlign=bottom align=right>121,038</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>SunGard Data Systems, Inc. 144A sr. unsec. notes 7 5/8s, 2020</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>149,000</TD>	<TD vAlign=bottom align=right>162,410</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Syniverse Holdings, Inc. company guaranty sr. unsec. notes 9 1/8s, 2019</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>125,000</TD>	<TD vAlign=bottom align=right>133,906</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Techem Energy Metering Service GmbH 144A sr. sub. bonds 7 7/8s, 2020 (Germany)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right>EUR</TD>	<TD vAlign=bottom align=right>200,000</TD>	<TD vAlign=bottom align=right>307,079</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Trionista TopCo. GmbH 144A sr. unsec. sub. notes 6 7/8s, 2021 (Germany)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right>EUR</TD>	<TD vAlign=bottom align=right>265,000</TD>	<TD vAlign=bottom align=right>393,436</TD></TR>
	<TR height=18><TD colspan=6></TD><TD><HR SIZE=2 noShade align=right Width="70%"></TD></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=5><FONT size=+0><B></B></FONT></TD>
										<TD align=right><FONT size=+0><B>4,424,337</B></FONT></TD></TR>

	<TR height=6></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=6><FONT size=+0><B>Transportation (0.3%)</B></FONT></TD></TR>

	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Aguila 3 SA company guaranty sr. notes Ser. REGS, 7 7/8s, 2018 (Luxembourg)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right>CHF</TD>	<TD vAlign=bottom align=right>378,000</TD>	<TD vAlign=bottom align=right>449,906</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Air Medical Group Holdings, Inc. company guaranty sr. notes 9 1/4s, 2018</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>$158,000</TD>	<TD vAlign=bottom align=right>168,468</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>CHC Helicopter SA company guaranty sr. notes 9 1/4s, 2020 (Canada)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>270,000</TD>	<TD vAlign=bottom align=right>294,300</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Watco Cos., LLC/Watco Finance Corp. 144A company guaranty sr. unsec. notes 6 3/8s, 2023</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>210,000</TD>	<TD vAlign=bottom align=right>214,200</TD></TR>
	<TR height=18><TD colspan=6></TD><TD><HR SIZE=2 noShade align=right Width="70%"></TD></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=5><FONT size=+0><B></B></FONT></TD>
										<TD align=right><FONT size=+0><B>1,126,874</B></FONT></TD></TR>

	<TR height=6></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=6><FONT size=+0><B>Utilities and power (1.6%)</B></FONT></TD></TR>

	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>AES Corp./Virginia (The) sr. unsec. unsub. notes 8s, 2017</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>475,000</TD>	<TD vAlign=bottom align=right>553,375</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>AES Corp./Virginia (The) sr. unsec. unsub. notes 7 3/8s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>135,000</TD>	<TD vAlign=bottom align=right>157,950</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>AES Corp./Virginia (The) sr. unsec. unsub. notes 4 7/8s, 2023</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>70,000</TD>	<TD vAlign=bottom align=right>69,300</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Calpine Corp. 144A company guaranty sr. notes 7 7/8s, 2020</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>452,000</TD>	<TD vAlign=bottom align=right>490,985</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Calpine Corp. 144A company guaranty sr. notes 6s, 2022</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>45,000</TD>	<TD vAlign=bottom align=right>48,544</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Calpine Corp. 144A company guaranty sr. notes 5 7/8s, 2024</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>35,000</TD>	<TD vAlign=bottom align=right>36,838</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Centrais Electricas Brasileiras SA (Electrobras) 144A sr. unsec. unsub. notes 6 7/8s, 2019 (Brazil)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>350,000</TD>	<TD vAlign=bottom align=right>388,500</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Dynegy Holdings, LLC escrow bonds 7 3/4s, 2019</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>401,000</TD>	<TD vAlign=bottom align=right>501</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>El Paso Natural Gas Co., LLC sr. unsec. debs. 8 5/8s, 2022</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>247,000</TD>	<TD vAlign=bottom align=right>322,242</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc. sr. notes 10s, 2020</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>381,000</TD>	<TD vAlign=bottom align=right>36,195</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc. 144A sr. notes 10s, 2020</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>595,000</TD>	<TD vAlign=bottom align=right>56,525</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Energy Transfer Equity LP company guaranty sr. unsec. notes 7 1/2s, 2020</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>150,000</TD>	<TD vAlign=bottom align=right>173,250</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>EP Energy, LLC/EP Energy Finance, Inc. sr. unsec. notes 9 3/8s, 2020</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>279,000</TD>	<TD vAlign=bottom align=right>320,850</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. notes 6 7/8s, 2019</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>92,000</TD>	<TD vAlign=bottom align=right>98,095</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2022</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>50,000</TD>	<TD vAlign=bottom align=right>56,375</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>FirstEnergy Corp. sr. unsec. unsub. notes 4 1/4s, 2023</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>65,000</TD>	<TD vAlign=bottom align=right>64,735</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>GenOn Energy, Inc. sr. unsec. notes 9 7/8s, 2020</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>190,000</TD>	<TD vAlign=bottom align=right>206,625</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>GenOn Energy, Inc. sr. unsec. notes 9 1/2s, 2018</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>45,000</TD>	<TD vAlign=bottom align=right>49,388</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Kinder Morgan, Inc./DE 144A sr. notes 5s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>186,000</TD>	<TD vAlign=bottom align=right>192,045</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Majapahit Holding BV 144A company guaranty sr. unsec. notes 7 3/4s, 2020 (Indonesia)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>785,000</TD>	<TD vAlign=bottom align=right>915,781</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>NRG Energy, Inc. company guaranty sr. unsec. notes 7 7/8s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>595,000</TD>	<TD vAlign=bottom align=right>659,706</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 5 7/8s, 2022</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>170,000</TD>	<TD vAlign=bottom align=right>184,663</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>120,000</TD>	<TD vAlign=bottom align=right>125,400</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 4 1/2s, 2023</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>100,000</TD>	<TD vAlign=bottom align=right>99,000</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Southern Star Central Corp. 144A sr. unsec. notes 5 1/8s, 2022</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>199,000</TD>	<TD vAlign=bottom align=right>200,493</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Texas Competitive/Texas Competitive Electric Holdings Co., LLC 144A company guaranty sr. notes 11 1/2s, 2020 (In default)<sup><B><I>(NON)</I></B></sup></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>90,000</TD>	<TD vAlign=bottom align=right>82,125</TD></TR>
	<TR height=18><TD colspan=6></TD><TD><HR SIZE=2 noShade align=right Width="70%"></TD></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=5><FONT size=+0><B></B></FONT></TD>
										<TD align=right><FONT size=+0><B>5,589,486</B></FONT></TD></TR>

	<TR height=18><TD colspan=6></TD><TD><HR SIZE=2 noShade align=right Width="70%"></TD></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=5><FONT size=+0><B>Total corporate bonds and notes (cost $104,000,477)</B></FONT></TD>
										<TD align=right><FONT size=+0><B>$109,465,197</B></FONT></TD></TR>
					<TR><TD><BR></TD></TR>
	<TR height=48></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=6><FONT size=+0><B>U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (19.9%)<sup><B><I>(a)</I></B></sup></B></FONT></TD></TR>

	<TR height=6></TR><TR vAlign=top align=left><TD></TD>	<TD vAlign=top align=left><B></B></TD>	<TD vAlign=top align=left><B></B></TD>	<TD vAlign=top align=left><B></B></TD>	<TD vAlign=bottom align=right><B></B></TD>	<TD vAlign=bottom align=right><B>Principal amount</B></TD>	<TD vAlign=bottom align=right><B>Value</B></TD><TR height=2><TD></TD><TD colspan=6><HR SIZE=2 noShade></TD></TR>
	<TR height=6></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=6><FONT size=+0><B>U.S. Government Guaranteed Mortgage Obligations (0.1%)</B></FONT></TD></TR>

	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Government National Mortgage Association Pass-Through Certificates 6 1/2s, November 20, 2038</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>$389,301</TD>	<TD vAlign=bottom align=right>$440,534</TD></TR>
	<TR height=18><TD colspan=6></TD><TD><HR SIZE=2 noShade align=right Width="70%"></TD></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=5><FONT size=+0><B></B></FONT></TD>
										<TD align=right><FONT size=+0><B>440,534</B></FONT></TD></TR>

	<TR height=6></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=6><FONT size=+0><B>U.S. Government Agency Mortgage Obligations (19.8%)</B></FONT></TD></TR>

	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp;Federal Home Loan Mortgage Corporation Pass-Through Certificates 4 1/2s, May 1, 2044<sup><B><I>(F)</I></B></sup></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>3,400,000</TD>	<TD vAlign=bottom align=right>3,690,162</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp;Federal Home Loan Mortgage Corporation Pass-Through Certificates 4 1/2s, December 1, 2039</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>768,402</TD>	<TD vAlign=bottom align=right>844,102</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Federal National Mortgage Association Pass-Through Certificates</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right></TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; 5 1/2s, TBA, July 1, 2044</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>3,000,000</TD>	<TD vAlign=bottom align=right>3,359,063</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; 4 1/2s, with due dates from April 1, 2040 to February 1, 2044<sup><B><I>(FWC)</I></B></sup></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>2,316,771</TD>	<TD vAlign=bottom align=right>2,540,439</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; 4 1/2s, TBA, July 1, 2044</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>23,000,000</TD>	<TD vAlign=bottom align=right>24,911,875</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; 4s, TBA, July 1, 2044</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>24,000,000</TD>	<TD vAlign=bottom align=right>25,473,749</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; 3 1/2s, TBA, July 1, 2044</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>1,000,000</TD>	<TD vAlign=bottom align=right>1,029,531</TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; 3s, TBA, July 1, 2044</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>5,000,000</TD>	<TD vAlign=bottom align=right>4,939,844</TD></TR>
	<TR height=18><TD colspan=6></TD><TD><HR SIZE=2 noShade align=right Width="70%"></TD></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=5><FONT size=+0><B></B></FONT></TD>
										<TD align=right><FONT size=+0><B>66,788,765</B></FONT></TD></TR>

	<TR height=18><TD colspan=6></TD><TD><HR SIZE=2 noShade align=right Width="70%"></TD></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=5><FONT size=+0><B>Total U.S. government and agency mortgage obligations (cost $66,690,392)</B></FONT></TD>
										<TD align=right><FONT size=+0><B>$67,229,299</B></FONT></TD></TR>
					<TR><TD><BR></TD></TR>
	<TR height=48></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=6><FONT size=+0><B>FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (11.7%)<sup><B><I>(a)</I></B></sup></B></FONT></TD></TR>

	<TR height=6></TR><TR vAlign=top align=left><TD></TD>	<TD vAlign=top align=left><B></B></TD>	<TD vAlign=top align=left><B></B></TD>	<TD vAlign=top align=left><B></B></TD>	<TD vAlign=bottom align=right><B></B></TD>	<TD vAlign=bottom align=right><B>Principal amount</B></TD>	<TD vAlign=bottom align=right><B>Value</B></TD><TR height=2><TD></TD><TD colspan=6><HR SIZE=2 noShade></TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Argentina (Republic of) sr. unsec. bonds 7s, 2017 (Argentina)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>$2,020,000</TD>	<TD vAlign=bottom align=right>$1,883,650</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Argentina (Republic of) sr. unsec. unsub. bonds 7s, 2015 (Argentina)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>5,276,000</TD>	<TD vAlign=bottom align=right>5,083,426</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Argentina (Republic of) sr. unsec. unsub. notes Ser. 1, 8 3/4s, 2017 (Argentina)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>1,750,000</TD>	<TD vAlign=bottom align=right>1,613,325</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Brazil (Federal Republic of) sr. unsec. unsub. bonds 4 7/8s, 2021 (Brazil)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>420,000</TD>	<TD vAlign=bottom align=right>458,485</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Brazil (Federal Republic of) unsec. notes 10s, 2017 (Brazil)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right>BRL</TD>	<TD vAlign=bottom align=right>1,500</TD>	<TD vAlign=bottom align=right>656,338</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Buenos Aires (Province of) 144A sr. unsec. unsub. notes 11 3/4s, 2015 (Argentina)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>$797,000</TD>	<TD vAlign=bottom align=right>777,075</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Buenos Aires (Province of) 144A sr. unsec. unsub. notes 10 7/8s, 2021 (Argentina)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>125,000</TD>	<TD vAlign=bottom align=right>121,563</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Buenos Aires (Province of) 144A sr. unsec. unsub. notes 9 3/8s, 2018 (Argentina)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>600,000</TD>	<TD vAlign=bottom align=right>543,000</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Chile (Republic of) notes 5 1/2s, 2020 (Chile)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right>CLP</TD>	<TD vAlign=bottom align=right>170,000,000</TD>	<TD vAlign=bottom align=right>321,088</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Croatia (Republic of) 144A sr. unsec. bonds 6s, 2024 (Croatia)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>$200,000</TD>	<TD vAlign=bottom align=right>214,250</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Croatia (Republic of) 144A sr. unsec. notes 6 1/4s, 2017 (Croatia)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>225,000</TD>	<TD vAlign=bottom align=right>243,844</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Croatia (Republic of) 144A sr. unsec. unsub. notes 6 3/8s, 2021 (Croatia)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>265,000</TD>	<TD vAlign=bottom align=right>291,169</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Financing of Infrastructural Projects State Enterprise 144A govt. guaranty sr. unsec. notes 8 3/8s, 2017 (Ukraine)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>175,000</TD>	<TD vAlign=bottom align=right>165,375</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Gabon (Republic of) 144A unsec. bonds 6 3/8s, 2024 (Gabon)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>400,000</TD>	<TD vAlign=bottom align=right>436,000</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Ghana (Republic of) 144A unsec. notes 8 1/2s, 2017 (Ghana)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>203,000</TD>	<TD vAlign=bottom align=right>216,059</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Ghana (Republic of) 144A unsec. notes 7 7/8s, 2023 (Ghana)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>729,694</TD>	<TD vAlign=bottom align=right>707,803</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2024 (Greece)<sup><B><I>(STP)</I></B></sup></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right>EUR</TD>	<TD vAlign=bottom align=right>7,350,000</TD>	<TD vAlign=bottom align=right>8,163,200</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2023 (Greece)<sup><B><I>(STP)</I></B></sup></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right>EUR</TD>	<TD vAlign=bottom align=right>3,725,000</TD>	<TD vAlign=bottom align=right>4,242,460</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Hellenic (Republic of) sr. unsec. bonds 4 3/4s, 2019 (Greece)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right>EUR</TD>	<TD vAlign=bottom align=right>1,215,000</TD>	<TD vAlign=bottom align=right>1,696,627</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Indonesia (Republic of) 144A sr. unsec. notes 3 3/8s, 2023 (Indonesia)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>$560,000</TD>	<TD vAlign=bottom align=right>521,091</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>International Bank for Reconstruction & Development sr. disc. unsec. unsub. notes Ser. GDIF, 5 1/4s, 2014 (Supra-Nation)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right>RUB</TD>	<TD vAlign=bottom align=right>9,750,000</TD>	<TD vAlign=bottom align=right>283,810</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Kenya (Republic of) 144A sr. unsec. notes 6 7/8s, 2024 (Kenya)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>$200,000</TD>	<TD vAlign=bottom align=right>208,000</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Poland (Republic of) sr. unsec. bonds 5s, 2022 (Poland)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>365,000</TD>	<TD vAlign=bottom align=right>405,698</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Russia (Federation of) 144A sr. unsec. notes 4 1/2s, 2022 (Russia)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>200,000</TD>	<TD vAlign=bottom align=right>204,500</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Russia (Federation of) 144A sr. unsec. unsub. bonds 7 1/2s, 2030 (Russia)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>1,671,400</TD>	<TD vAlign=bottom align=right>1,938,824</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Russia (Federation of) 144A unsec. notes 3 1/4s, 2017 (Russia)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>2,600,000</TD>	<TD vAlign=bottom align=right>2,686,112</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Serbia (Republic of) 144A sr. unsec. bonds 4 7/8s, 2020 (Serbia)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>100,000</TD>	<TD vAlign=bottom align=right>101,500</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Serbia (Republic of) 144A sr. unsec. unsub. bonds 6 3/4s, 2024 (Serbia)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>68,487</TD>	<TD vAlign=bottom align=right>69,976</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Sri Lanka (Republic of) 144A notes 7.4s, 2015 (Sri Lanka)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>200,000</TD>	<TD vAlign=bottom align=right>205,422</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Turkey (Republic of) sr. unsec. bonds 5 3/4s, 2024 (Turkey)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>500,000</TD>	<TD vAlign=bottom align=right>543,125</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Turkey (Republic of) sr. unsec. notes 7 1/2s, 2017 (Turkey)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>1,205,000</TD>	<TD vAlign=bottom align=right>1,370,591</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Ukraine (Government of) 144A sr. unsec. notes 9 1/4s, 2017 (Ukraine)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>1,725,000</TD>	<TD vAlign=bottom align=right>1,742,250</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Venezuela (Bolivarian Republic of) 144A sr. unsec. unsub. bonds 13 5/8s, 2018 (Venezuela)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>1,285,000</TD>	<TD vAlign=bottom align=right>1,387,325</TD></TR>
	<TR height=18><TD colspan=6></TD><TD><HR SIZE=2 noShade align=right Width="70%"></TD></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=5><FONT size=+0><B>Total foreign government and agency bonds and notes (cost $36,158,748)</B></FONT></TD>
										<TD align=right><FONT size=+0><B>$39,502,961</B></FONT></TD></TR>
					<TR><TD><BR></TD></TR>
	<TR height=48></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=6><FONT size=+0><B>SENIOR LOANS (2.2%)<sup><B><I>(a)</I></B></sup><sup><B><I>(c)</I></B></sup></B></FONT></TD></TR>

	<TR height=6></TR><TR vAlign=top align=left><TD></TD>	<TD vAlign=top align=left><B></B></TD>	<TD vAlign=top align=left><B></B></TD>	<TD vAlign=top align=left><B></B></TD>	<TD vAlign=bottom align=right><B></B></TD>	<TD vAlign=bottom align=right><B>Principal amount</B></TD>	<TD vAlign=bottom align=right><B>Value</B></TD><TR height=2><TD></TD><TD colspan=6><HR SIZE=2 noShade></TD></TR>
	<TR height=6></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=6><FONT size=+0><B>Basic materials (0.1%)</B></FONT></TD></TR>

	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Atkore International, Inc. bank term loan FRN 4 1/2s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>$105,000</TD>	<TD vAlign=bottom align=right>$104,913</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Ineos US Finance, LLC bank term loan FRN 3 3/4s, 2018</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>140,000</TD>	<TD vAlign=bottom align=right>139,553</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Nexeo Solutions, LLC bank term loan FRN Ser. B, 5s, 2017</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>87,075</TD>	<TD vAlign=bottom align=right>87,075</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>WR Grace & Co. bank term loan FRN 3s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>106,575</TD>	<TD vAlign=bottom align=right>106,202</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>WR Grace & Co. bank term loan FRN Ser. DD, 1s, 2021<sup><B><I>(U)</I></B></sup></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>38,158</TD>	<TD vAlign=bottom align=right>38,024</TD></TR>
	<TR height=18><TD colspan=6></TD><TD><HR SIZE=2 noShade align=right Width="70%"></TD></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=5><FONT size=+0><B></B></FONT></TD>
										<TD align=right><FONT size=+0><B>475,767</B></FONT></TD></TR>

	<TR height=6></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=6><FONT size=+0><B>Communication services (0.1%)</B></FONT></TD></TR>

	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Asurion, LLC bank term loan FRN 8 1/2s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>139,000</TD>	<TD vAlign=bottom align=right>144,039</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Asurion, LLC bank term loan FRN Ser. B1, 5s, 2019</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>145,996</TD>	<TD vAlign=bottom align=right>146,781</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Level 3 Financing, Inc. bank term loan FRN Ser. B1, 4s, 2020</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>75,000</TD>	<TD vAlign=bottom align=right>75,094</TD></TR>
	<TR height=18><TD colspan=6></TD><TD><HR SIZE=2 noShade align=right Width="70%"></TD></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=5><FONT size=+0><B></B></FONT></TD>
										<TD align=right><FONT size=+0><B>365,914</B></FONT></TD></TR>

	<TR height=6></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=6><FONT size=+0><B>Consumer cyclicals (1.0%)</B></FONT></TD></TR>

	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Burlington Coat Factory Warehouse Corp. bank term loan FRN Ser. B2, 4 1/4s, 2017</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>22,969</TD>	<TD vAlign=bottom align=right>23,099</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B6, 5.528s, 2018</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>900,450</TD>	<TD vAlign=bottom align=right>839,567</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B7, 9 3/4s, 2017</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>70,000</TD>	<TD vAlign=bottom align=right>69,029</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Caesars Growth Properties Holdings, LLC bank term loan FRN 6 1/4s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>260,000</TD>	<TD vAlign=bottom align=right>259,582</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>CCM Merger, Inc. bank term loan FRN Ser. B, 5s, 2017</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>208,566</TD>	<TD vAlign=bottom align=right>208,305</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Clear Channel Communications, Inc. bank term loan FRN Ser. D, 6.9s, 2019</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>423,000</TD>	<TD vAlign=bottom align=right>420,885</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Getty Images, Inc. bank term loan FRN Ser. B, 4 3/4s, 2019</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>208,439</TD>	<TD vAlign=bottom align=right>200,931</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Hilton Worldwide Finance, LLC bank term loan FRN Ser. B, 3 1/2s, 2020</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>219,079</TD>	<TD vAlign=bottom align=right>218,613</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>JC Penney Corp., Inc. bank term loan FRN 5s, 2019</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>100,000</TD>	<TD vAlign=bottom align=right>100,050</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Navistar, Inc. bank term loan FRN Ser. B, 5 3/4s, 2017</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>51,606</TD>	<TD vAlign=bottom align=right>52,605</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Neiman Marcus Group, Ltd., Inc. bank term loan FRN 4 1/4s, 2020</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>346,494</TD>	<TD vAlign=bottom align=right>345,724</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>ROC Finance, LLC bank term loan FRN 5s, 2019</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>129,348</TD>	<TD vAlign=bottom align=right>127,166</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Travelport, LLC bank term loan FRN 9 1/2s, 2016</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>264,360</TD>	<TD vAlign=bottom align=right>271,696</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Travelport, LLC bank term loan FRN 8 3/8s, 2016<sup><B><I>(PIK)</I></B></sup></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>52,684</TD>	<TD vAlign=bottom align=right>53,171</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Univision Communications, Inc. bank term loan FRN 4s, 2020</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>216,456</TD>	<TD vAlign=bottom align=right>216,186</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Visteon Corp. bank term loan FRN Ser. DD, 3 1/2s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>95,000</TD>	<TD vAlign=bottom align=right>94,288</TD></TR>
	<TR height=18><TD colspan=6></TD><TD><HR SIZE=2 noShade align=right Width="70%"></TD></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=5><FONT size=+0><B></B></FONT></TD>
										<TD align=right><FONT size=+0><B>3,500,897</B></FONT></TD></TR>

	<TR height=6></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=6><FONT size=+0><B>Consumer staples (0.2%)</B></FONT></TD></TR>

	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>CEC Entertainment, Inc. bank term loan FRN Ser. B, 4 1/4s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>148,628</TD>	<TD vAlign=bottom align=right>147,652</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>H.J. Heinz Co. bank term loan FRN Ser. B2, 3 1/2s, 2020</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>148,500</TD>	<TD vAlign=bottom align=right>149,520</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Libbey Glass, Inc. bank term loan FRN Ser. B, 3 3/4s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>85,000</TD>	<TD vAlign=bottom align=right>84,894</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Revlon Consumer Products Corp. bank term loan FRN Ser. B, 4s, 2019</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>169,250</TD>	<TD vAlign=bottom align=right>169,356</TD></TR>
	<TR height=18><TD colspan=6></TD><TD><HR SIZE=2 noShade align=right Width="70%"></TD></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=5><FONT size=+0><B></B></FONT></TD>
										<TD align=right><FONT size=+0><B>551,422</B></FONT></TD></TR>

	<TR height=6></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=6><FONT size=+0><B>Health care (0.3%)</B></FONT></TD></TR>

	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Ardent Medical Services, Inc. bank term loan FRN 6 3/4s, 2018</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>128,245</TD>	<TD vAlign=bottom align=right>128,646</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>CHS/Community Health Systems, Inc. bank term loan FRN Ser. D, 4 1/4s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>139,300</TD>	<TD vAlign=bottom align=right>140,127</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Emergency Medical Services Corp. bank term loan FRN Ser. B, 4s, 2018</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>147,556</TD>	<TD vAlign=bottom align=right>147,648</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Grifols Worldwide Operations USA, Inc. bank term loan FRN 3.15s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>224,438</TD>	<TD vAlign=bottom align=right>224,045</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Ortho-Clinical Diagnostics, Inc. bank term loan FRN Ser. B, 4 3/4s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>80,000</TD>	<TD vAlign=bottom align=right>80,533</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Par Pharmaceutical Cos., Inc. bank term loan FRN Ser. B, 4s, 2019</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>85,000</TD>	<TD vAlign=bottom align=right>84,947</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Patheon, Inc. bank term loan FRN Ser. B, 4 1/4s, 2021 (Canada)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>120,000</TD>	<TD vAlign=bottom align=right>118,950</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Valeant Pharmaceuticals International, Inc. bank term loan FRN Ser. E, 3 3/4s, 2020</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>123,831</TD>	<TD vAlign=bottom align=right>123,661</TD></TR>
	<TR height=18><TD colspan=6></TD><TD><HR SIZE=2 noShade align=right Width="70%"></TD></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=5><FONT size=+0><B></B></FONT></TD>
										<TD align=right><FONT size=+0><B>1,048,557</B></FONT></TD></TR>

	<TR height=6></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=6><FONT size=+0><B>Technology (0.2%)</B></FONT></TD></TR>

	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Avaya, Inc. bank term loan FRN Ser. B3, 4.727s, 2017</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>105,000</TD>	<TD vAlign=bottom align=right>102,731</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Avaya, Inc. bank term loan FRN Ser. B6, 6 1/2s, 2018</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>209,387</TD>	<TD vAlign=bottom align=right>209,498</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Dell, Inc. bank term loan FRN Ser. B, 4 1/2s, 2020</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>64,837</TD>	<TD vAlign=bottom align=right>65,102</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Freescale Semiconductor, Inc. bank term loan FRN Ser. B5, 5s, 2021</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>292,788</TD>	<TD vAlign=bottom align=right>293,885</TD></TR>
	<TR height=18><TD colspan=6></TD><TD><HR SIZE=2 noShade align=right Width="70%"></TD></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=5><FONT size=+0><B></B></FONT></TD>
										<TD align=right><FONT size=+0><B>671,216</B></FONT></TD></TR>

	<TR height=6></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=6><FONT size=+0><B>Transportation (0.1%)</B></FONT></TD></TR>

	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Air Medical Group Holdings, Inc. bank term loan FRN 7 5/8s, 2018<sup><B><I>(PIK)</I></B></sup></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>205,000</TD>	<TD vAlign=bottom align=right>205,000</TD></TR>
	<TR height=18><TD colspan=6></TD><TD><HR SIZE=2 noShade align=right Width="70%"></TD></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=5><FONT size=+0><B></B></FONT></TD>
										<TD align=right><FONT size=+0><B>205,000</B></FONT></TD></TR>

	<TR height=6></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=6><FONT size=+0><B>Utilities and power (0.2%)</B></FONT></TD></TR>

	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Energy Future Intermediate Holding Co., LLC bank term loan FRN 4 1/4s, 2016</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>75,000</TD>	<TD vAlign=bottom align=right>75,469</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Texas Competitive Electric Holdings Co., LLC bank term loan FRN 4.651s, 2017</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>496,516</TD>	<TD vAlign=bottom align=right>409,626</TD></TR>
	<TR height=18><TD colspan=6></TD><TD><HR SIZE=2 noShade align=right Width="70%"></TD></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=5><FONT size=+0><B></B></FONT></TD>
										<TD align=right><FONT size=+0><B>485,095</B></FONT></TD></TR>

	<TR height=18><TD colspan=6></TD><TD><HR SIZE=2 noShade align=right Width="70%"></TD></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=5><FONT size=+0><B>Total senior loans (cost $7,349,687)</B></FONT></TD>
										<TD align=right><FONT size=+0><B>$7,303,868</B></FONT></TD></TR>
					<TR><TD><BR></TD></TR>
	<TR height=48></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=6><FONT size=+0><B>PREFERRED STOCKS (0.1%)<sup><B><I>(a)</I></B></sup></B></FONT></TD></TR>

	<TR height=6></TR><TR vAlign=top align=left><TD></TD>	<TD vAlign=top align=left><B></B></TD>	<TD vAlign=top align=left><B></B></TD>	<TD vAlign=top align=left><B></B></TD>	<TD vAlign=bottom align=right><B></B></TD>	<TD vAlign=bottom align=right><B>Shares</B></TD>	<TD vAlign=bottom align=right><B>Value</B></TD><TR height=2><TD></TD><TD colspan=6><HR SIZE=2 noShade></TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Ally Financial, Inc. 144A 7.00% cum. pfd.</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>353</TD>	<TD vAlign=bottom align=right>$353,894</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>M/I Homes, Inc. Ser. A, $2.438 pfd.</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>4,100</TD>	<TD vAlign=bottom align=right>105,087</TD></TR>
	<TR height=18><TD colspan=6></TD><TD><HR SIZE=2 noShade align=right Width="70%"></TD></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=5><FONT size=+0><B>Total preferred stocks (cost $302,913)</B></FONT></TD>
										<TD align=right><FONT size=+0><B>$458,981</B></FONT></TD></TR>
					<TR><TD><BR></TD></TR>
	<TR height=48></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=6><FONT size=+0><B>PURCHASED SWAP OPTIONS OUTSTANDING (0.1%)<sup><B><I>(a)</I></B></sup></B></FONT></TD></TR>

	<TR height=6></TR><TR vAlign=top align=left><TD></TD>	<TD vAlign=top align=left><B>Counterparty</B></TD>	<TD vAlign=top align=left><B></B></TD>	<TD vAlign=top align=left><B></B></TD>	<TD vAlign=bottom align=right><B></B></TD>	<TD vAlign=bottom align=right><B></B></TD>	<TD vAlign=bottom align=right><B></B></TD>
	<TR height=6></TR><TR vAlign=top align=left><TD></TD>	<TD vAlign=top align=left><B>Fixed right % to receive or (pay)/</B></TD>	<TD vAlign=top align=left><B></B></TD>	<TD vAlign=top align=left><B>Expiration</B></TD>	<TD vAlign=bottom align=right><B></B></TD>	<TD vAlign=bottom align=right><B>Contract</B></TD>	<TD vAlign=bottom align=right><B></B></TD>
	<TR height=6></TR><TR vAlign=top align=left><TD></TD>	<TD vAlign=top align=left><B>Floating rate index/Maturity date</B></TD>	<TD vAlign=top align=left><B></B></TD>	<TD vAlign=top align=left><B>date/strike</B></TD>	<TD vAlign=bottom align=right><B></B></TD>	<TD vAlign=bottom align=right><B>amount</B></TD>	<TD vAlign=bottom align=right><B>Value</B></TD><TR height=2><TD></TD><TD colspan=6><HR SIZE=2 noShade></TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left><b>Bank of America N.A.</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right></TD></TR>
	<TR height=7><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; 2.8425/3 month USD-LIBOR-BBA/Sep-24</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>Sep-14/2.8425</TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>$16,180,200</TD>	<TD vAlign=bottom align=right>$299,819</TD></TR>
	<TR height=18><TD colspan=6></TD><TD><HR SIZE=2 noShade align=right Width="70%"></TD></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=5><FONT size=+0><B>Total purchased swap options outstanding (cost $195,780)</B></FONT></TD>
										<TD align=right><FONT size=+0><B>$299,819</B></FONT></TD></TR>
					<TR><TD><BR></TD></TR>
	<TR height=48></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=6><FONT size=+0><B>PURCHASED OPTIONS OUTSTANDING (0.6%)<sup><B><I>(a)</I></B></sup></B></FONT></TD></TR>

	<TR height=6></TR><TR vAlign=top align=left><TD></TD>	<TD vAlign=top align=left><B></B></TD>	<TD vAlign=top align=left><B></B></TD>	<TD vAlign=top align=left><B>Expiration</B></TD>	<TD vAlign=bottom align=right><B></B></TD>	<TD vAlign=bottom align=right><B>Contract</B></TD>	<TD vAlign=bottom align=right><B></B></TD>
	<TR height=6></TR><TR vAlign=top align=left><TD></TD>	<TD vAlign=top align=left><B></B></TD>	<TD vAlign=top align=left><B></B></TD>	<TD vAlign=top align=left><B>date/strike price</B></TD>	<TD vAlign=bottom align=right><B></B></TD>	<TD vAlign=bottom align=right><B>amount</B></TD>	<TD vAlign=bottom align=right><B>Value</B></TD><TR height=2><TD></TD><TD colspan=6><HR SIZE=2 noShade></TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Federal National Mortgage Association 30 yr 3.5s TBA commitments (Call)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>Aug-14/$99.55</TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>$24,000,000</TD>	<TD vAlign=bottom align=right>$747,264</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>Sep-14/102.50</TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>19,000,000</TD>	<TD vAlign=bottom align=right>157,320</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>Sep-14/102.31</TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>19,000,000</TD>	<TD vAlign=bottom align=right>157,320</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>Sep-14/102.22</TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>9,000,000</TD>	<TD vAlign=bottom align=right>69,111</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>Sep-14/101.31</TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>13,000,000</TD>	<TD vAlign=bottom align=right>57,044</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>Sep-14/102.50</TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>20,000,000</TD>	<TD vAlign=bottom align=right>163,200</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>Sep-14/102.31</TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>20,000,000</TD>	<TD vAlign=bottom align=right>163,200</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>Sep-14/102.50</TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>20,000,000</TD>	<TD vAlign=bottom align=right>162,600</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>Sep-14/102.31</TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>20,000,000</TD>	<TD vAlign=bottom align=right>162,600</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>Aug-14/102.44</TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>9,000,000</TD>	<TD vAlign=bottom align=right>44,667</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>Aug-14/102.25</TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>9,000,000</TD>	<TD vAlign=bottom align=right>38,052</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>Aug-14/102.09</TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>9,000,000</TD>	<TD vAlign=bottom align=right>33,156</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>Aug-14/102.56</TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>6,000,000</TD>	<TD vAlign=bottom align=right>33,000</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>Aug-14/101.34</TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>13,000,000</TD>	<TD vAlign=bottom align=right>21,437</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>Aug-14/101.88</TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>7,000,000</TD>	<TD vAlign=bottom align=right>21,112</TD></TR>
	<TR height=18><TD colspan=6></TD><TD><HR SIZE=2 noShade align=right Width="70%"></TD></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=5><FONT size=+0><B>Total purchased options outstanding (cost $2,218,125)</B></FONT></TD>
										<TD align=right><FONT size=+0><B>$2,031,083</B></FONT></TD></TR>
					<TR><TD><BR></TD></TR>
	<TR height=48></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=6><FONT size=+0><B>CONVERTIBLE BONDS AND NOTES (0.1%)<sup><B><I>(a)</I></B></sup></B></FONT></TD></TR>

	<TR height=6></TR><TR vAlign=top align=left><TD></TD>	<TD vAlign=top align=left><B></B></TD>	<TD vAlign=top align=left><B></B></TD>	<TD vAlign=top align=left><B></B></TD>	<TD vAlign=bottom align=right><B></B></TD>	<TD vAlign=bottom align=right><B>Principal amount</B></TD>	<TD vAlign=bottom align=right><B>Value</B></TD><TR height=2><TD></TD><TD colspan=6><HR SIZE=2 noShade></TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>iStar Financial, Inc. cv. sr. unsec. unsub. notes 3s, 2016<sup><B><I>(R)</I></B></sup></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>$100,000</TD>	<TD vAlign=bottom align=right>$141,688</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>XM Satellite Radio, Inc. 144A cv. company guaranty sr. unsec. sub. notes 7s, 2014</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>55,000</TD>	<TD vAlign=bottom align=right>104,466</TD></TR>
	<TR height=18><TD colspan=6></TD><TD><HR SIZE=2 noShade align=right Width="70%"></TD></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=5><FONT size=+0><B>Total convertible bonds and notes (cost $209,165)</B></FONT></TD>
										<TD align=right><FONT size=+0><B>$246,154</B></FONT></TD></TR>
					<TR><TD><BR></TD></TR>
	<TR height=48></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=6><FONT size=+0><B>CONVERTIBLE PREFERRED STOCKS (0.0%)<sup><B><I>(a)</I></B></sup></B></FONT></TD></TR>

	<TR height=6></TR><TR vAlign=top align=left><TD></TD>	<TD vAlign=top align=left><B></B></TD>	<TD vAlign=top align=left><B></B></TD>	<TD vAlign=top align=left><B></B></TD>	<TD vAlign=bottom align=right><B></B></TD>	<TD vAlign=bottom align=right><B>Shares</B></TD>	<TD vAlign=bottom align=right><B>Value</B></TD><TR height=2><TD></TD><TD colspan=6><HR SIZE=2 noShade></TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>United Technologies Corp. $3.75 cv. pfd.</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>2,100</TD>	<TD vAlign=bottom align=right>$136,899</TD></TR>
	<TR height=18><TD colspan=6></TD><TD><HR SIZE=2 noShade align=right Width="70%"></TD></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=5><FONT size=+0><B>Total convertible preferred stocks (cost $105,000)</B></FONT></TD>
										<TD align=right><FONT size=+0><B>$136,899</B></FONT></TD></TR>
					<TR><TD><BR></TD></TR>
	<TR height=48></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=6><FONT size=+0><B>COMMON STOCKS (0.0%)<sup><B><I>(a)</I></B></sup></B></FONT></TD></TR>

	<TR height=6></TR><TR vAlign=top align=left><TD></TD>	<TD vAlign=top align=left><B></B></TD>	<TD vAlign=top align=left><B></B></TD>	<TD vAlign=top align=left><B></B></TD>	<TD vAlign=bottom align=right><B></B></TD>	<TD vAlign=bottom align=right><B>Shares</B></TD>	<TD vAlign=bottom align=right><B>Value</B></TD><TR height=2><TD></TD><TD colspan=6><HR SIZE=2 noShade></TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Lone Pine Resources Canada, Ltd. (Canada)<sup><B><I>(F)</I></B></sup><sup><B><I>(NON)</I></B></sup></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>9,978</TD>	<TD vAlign=bottom align=right>$998</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Lone Pine Resources, Inc. Class A (Canada)<sup><B><I>(F)</I></B></sup><sup><B><I>(NON)</I></B></sup></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>9,978</TD>	<TD vAlign=bottom align=right>998</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Tribune Co. Class 1C<sup><B><I>(F)</I></B></sup><sup><B><I>(NON)</I></B></sup></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>40,066</TD>	<TD vAlign=bottom align=right>10,017</TD></TR>
	<TR height=18><TD colspan=6></TD><TD><HR SIZE=2 noShade align=right Width="70%"></TD></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=5><FONT size=+0><B>Total common stocks (cost $65,186)</B></FONT></TD>
										<TD align=right><FONT size=+0><B>$12,013</B></FONT></TD></TR>
					<TR><TD><BR></TD></TR>
	<TR height=48></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=6><FONT size=+0><B>WARRANTS (0.0%)<sup><B><I>(a)</I></B></sup><sup><B><I>(NON)</I></B></sup></B></FONT></TD></TR>

	<TR height=6></TR><TR vAlign=top align=left><TD></TD>	<TD vAlign=top align=left><B></B></TD>	<TD vAlign=top align=left><B></B></TD>	<TD vAlign=top align=left><B>Expiration date</B></TD>	<TD vAlign=bottom align=right><B>Strike Price</B></TD>	<TD vAlign=bottom align=right><B>Warrants</B></TD>	<TD vAlign=bottom align=right><B>Value</B></TD><TR height=2><TD></TD><TD colspan=6><HR SIZE=2 noShade></TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Charter Communications, Inc. Class A</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>11/30/14</TD>	<TD vAlign=bottom align=right>$46.86</TD>	<TD vAlign=bottom align=right>20</TD>	<TD vAlign=bottom align=right>$2,260</TD></TR>
	<TR height=18><TD colspan=6></TD><TD><HR SIZE=2 noShade align=right Width="70%"></TD></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=5><FONT size=+0><B>Total warrants (cost $60)</B></FONT></TD>
										<TD align=right><FONT size=+0><B>$2,260</B></FONT></TD></TR>
					<TR><TD><BR></TD></TR>
	<TR height=48></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=6><FONT size=+0><B>SHORT-TERM INVESTMENTS (4.4%)<sup><B><I>(a)</I></B></sup></B></FONT></TD></TR>

	<TR height=6></TR><TR vAlign=top align=left><TD></TD>	<TD vAlign=top align=left><B></B></TD>	<TD vAlign=top align=left><B></B></TD>	<TD vAlign=top align=left><B></B></TD>	<TD vAlign=bottom align=right><B></B></TD>	<TD vAlign=bottom align=right><B>Principal amount/shares</B></TD>	<TD vAlign=bottom align=right><B>Value</B></TD><TR height=2><TD></TD><TD colspan=6><HR SIZE=2 noShade></TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>Putnam Short Term Investment Fund 0.07%<sup><B><I>(AFF)</I></B></sup></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right>Shares</TD>	<TD vAlign=bottom align=right>4,291,506</TD>	<TD vAlign=bottom align=right>$4,291,506</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>U.S. Treasury Bills with an effective yield of 0.11%, August 21, 2014<sup><B><I>(SEG)</I></B></sup>,<sup><B><I>(SEGSF)</I></B></sup>, (SEFCCS)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>$1,777,000</TD>	<TD vAlign=bottom align=right>1,776,730</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>U.S. Treasury Bills with effective yields ranging from 0.10% to 0.11%, July 24, 2014<sup><B><I>(SEG)</I></B></sup><sup><B><I>(SEGSF)(SEGCCS)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>4,362,000</TD>	<TD vAlign=bottom align=right>4,361,692</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>U.S. Treasury Bills with an effective yield of 0.05%, November 13, 2014<sup><B><I>(SEG)</I></B></sup>,<sup><B><I>(SEGSF)</I></B></sup></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>152,000</TD>	<TD vAlign=bottom align=right>151,971</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>U.S. Treasury Bills with an effective yield of 0.05%, November 20, 2014<sup><B><I>(SEG)</I></B></sup>,<sup><B><I>(SEGSF)</I></B></sup>, (SEFCCS)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>3,968,000</TD>	<TD vAlign=bottom align=right>3,967,218</TD></TR>
	<TR height=15><TD></TD><TR><TD></TD>	<TD vAlign=top align=left>U.S. Treasury Bills with an effective yield of 0.06%, October 23, 2014<sup><B><I>(SEGSF)</I></B></sup>, (SEFCCS)</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>240,000</TD>	<TD vAlign=bottom align=right>239,971</TD></TR>
	<TR height=18><TD colspan=6></TD><TD><HR SIZE=2 noShade align=right Width="70%"></TD></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=5><FONT size=+0><B>Total short-term investments (cost $14,789,130)</B></FONT></TD>
										<TD align=right><FONT size=+0><B>$14,789,088</B></FONT></TD></TR>
					<TR><TD><BR></TD></TR>
	<TR height=48></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=6><FONT size=+0><B>TOTAL INVESTMENTS</B></FONT></TD></TR>

	<TR height=18><TD colspan=6></TD><TD><HR SIZE=2 noShade align=right Width="70%"></TD></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=5><FONT size=+0><B>Total investments (cost $381,291,290)<sup><B><I>(b)</I></B></sup></B></FONT></TD>
										<TD align=right><FONT size=+0><B>$404,509,578</B></FONT></TD></TR>
					<TR><TD><BR></TD></TR></TABLE>

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	<TR vAlign=top align=left><TD></TD>	<TD colspan=6><FONT size=+1><B>FORWARD CURRENCY CONTRACTS at 6/30/14 (aggregate face value $119,767,481) (Unaudited)</B></FONT></TD></TR>
					<TR><TD><BR><BR></TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD><B></B></TD>	<TD><B></B></TD>	<TD><B></B></TD>	<TD align=left><B></B></TD>	<TD><B></B></TD>	<TD align=right><B></B></TD>	<TD align=right><B></B></TD>	<TD align=right><B>Unrealized</B></TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD><B></B></TD>	<TD><B></B></TD>	<TD><B></B></TD>	<TD align=left><B>Contract</B></TD>	<TD><B>Delivery</B></TD>	<TD align=right><B></B></TD>	<TD align=right><B>Aggregate</B></TD>	<TD align=right><B>appreciation/</B></TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD><B></B></TD>	<TD><B>Counterparty</B></TD>	<TD><B>Currency</B></TD>	<TD align=left><B>type</B></TD>	<TD><B>date</B></TD>	<TD align=right><B>Value</B></TD>	<TD align=right><B>face value</B></TD>	<TD align=right><B>(depreciation)</B></TD></TR><TR><TD></TD><TD colspan=7><HR weight=1 noshade></TD></TR>
	<TR height=9></TR><TR vAlign=bottom align=left>	<TD></TD><TD colspan=7><B>Bank of America N.A.</B></TD>						</TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Australian Dollar</TD>	<TD align=left>Buy</TD>	<TD>7/17/14</TD>	<TD align=right>$38,619</TD>	<TD align=right>$37,620</TD>	<TD align=right>$999</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Australian Dollar</TD>	<TD align=left>Sell</TD>	<TD>7/17/14</TD>	<TD align=right>38,619</TD>	<TD align=right>37,964</TD>	<TD align=right>(655)</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Canadian Dollar</TD>	<TD align=left>Buy</TD>	<TD>7/17/14</TD>	<TD align=right>858,317</TD>	<TD align=right>841,829</TD>	<TD align=right>16,488</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Canadian Dollar</TD>	<TD align=left>Sell</TD>	<TD>7/17/14</TD>	<TD align=right>860,940</TD>	<TD align=right>828,865</TD>	<TD align=right>(32,075)</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Chilean Peso</TD>	<TD align=left>Sell</TD>	<TD>7/17/14</TD>	<TD align=right>418,409</TD>	<TD align=right>416,741</TD>	<TD align=right>(1,668)</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Colombian Peso</TD>	<TD align=left>Buy</TD>	<TD>7/17/14</TD>	<TD align=right>919,429</TD>	<TD align=right>874,504</TD>	<TD align=right>44,925</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Colombian Peso</TD>	<TD align=left>Sell</TD>	<TD>7/17/14</TD>	<TD align=right>919,429</TD>	<TD align=right>887,850</TD>	<TD align=right>(31,579)</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Singapore Dollar</TD>	<TD align=left>Sell</TD>	<TD>8/20/14</TD>	<TD align=right>289,201</TD>	<TD align=right>287,064</TD>	<TD align=right>(2,137)</TD></TR>
	<TR height=9></TR><TR vAlign=bottom align=left>	<TD></TD><TD colspan=7><B>Barclays Bank PLC</B></TD>						</TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Australian Dollar</TD>	<TD align=left>Buy</TD>	<TD>7/17/14</TD>	<TD align=right>117,837</TD>	<TD align=right>109,214</TD>	<TD align=right>8,623</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>British Pound</TD>	<TD align=left>Buy</TD>	<TD>9/17/14</TD>	<TD align=right>107,066</TD>	<TD align=right>106,365</TD>	<TD align=right>701</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Canadian Dollar</TD>	<TD align=left>Sell</TD>	<TD>7/17/14</TD>	<TD align=right>2,576,823</TD>	<TD align=right>2,500,873</TD>	<TD align=right>(75,950)</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Euro</TD>	<TD align=left>Sell</TD>	<TD>9/17/14</TD>	<TD align=right>2,824,586</TD>	<TD align=right>2,796,935</TD>	<TD align=right>(27,651)</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Japanese Yen</TD>	<TD align=left>Sell</TD>	<TD>8/20/14</TD>	<TD align=right>513,670</TD>	<TD align=right>506,380</TD>	<TD align=right>(7,290)</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Mexican Peso</TD>	<TD align=left>Buy</TD>	<TD>7/17/14</TD>	<TD align=right>843,180</TD>	<TD align=right>833,348</TD>	<TD align=right>9,832</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Mexican Peso</TD>	<TD align=left>Sell</TD>	<TD>7/17/14</TD>	<TD align=right>843,180</TD>	<TD align=right>841,233</TD>	<TD align=right>(1,947)</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>New Zealand Dollar</TD>	<TD align=left>Buy</TD>	<TD>7/17/14</TD>	<TD align=right>9,968</TD>	<TD align=right>11,447</TD>	<TD align=right>(1,479)</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Norwegian Krone</TD>	<TD align=left>Buy</TD>	<TD>9/17/14</TD>	<TD align=right>1,603,418</TD>	<TD align=right>1,637,588</TD>	<TD align=right>(34,170)</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Polish Zloty</TD>	<TD align=left>Buy</TD>	<TD>9/17/14</TD>	<TD align=right>360,094</TD>	<TD align=right>360,657</TD>	<TD align=right>(563)</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Singapore Dollar</TD>	<TD align=left>Sell</TD>	<TD>8/20/14</TD>	<TD align=right>278,534</TD>	<TD align=right>276,665</TD>	<TD align=right>(1,869)</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>South African Rand</TD>	<TD align=left>Sell</TD>	<TD>7/17/14</TD>	<TD align=right>510,997</TD>	<TD align=right>494,675</TD>	<TD align=right>(16,322)</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>South Korean Won</TD>	<TD align=left>Buy</TD>	<TD>8/20/14</TD>	<TD align=right>1,907,824</TD>	<TD align=right>1,874,976</TD>	<TD align=right>32,848</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Swedish Krona</TD>	<TD align=left>Sell</TD>	<TD>9/17/14</TD>	<TD align=right>846,685</TD>	<TD align=right>845,280</TD>	<TD align=right>(1,405)</TD></TR>
	<TR height=9></TR><TR vAlign=bottom align=left>	<TD></TD><TD colspan=7><B>Citibank, N.A.</B></TD>						</TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Australian Dollar</TD>	<TD align=left>Sell</TD>	<TD>7/17/14</TD>	<TD align=right>847,650</TD>	<TD align=right>846,030</TD>	<TD align=right>(1,620)</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Brazilian Real</TD>	<TD align=left>Buy</TD>	<TD>7/2/14</TD>	<TD align=right>1,708,441</TD>	<TD align=right>1,671,517</TD>	<TD align=right>36,924</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Brazilian Real</TD>	<TD align=left>Sell</TD>	<TD>7/2/14</TD>	<TD align=right>1,708,441</TD>	<TD align=right>1,662,071</TD>	<TD align=right>(46,370)</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Brazilian Real</TD>	<TD align=left>Buy</TD>	<TD>10/2/14</TD>	<TD align=right>1,020,968</TD>	<TD align=right>1,019,282</TD>	<TD align=right>1,686</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Chilean Peso</TD>	<TD align=left>Sell</TD>	<TD>7/17/14</TD>	<TD align=right>507,040</TD>	<TD align=right>504,656</TD>	<TD align=right>(2,384)</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Euro</TD>	<TD align=left>Sell</TD>	<TD>9/17/14</TD>	<TD align=right>2,864,170</TD>	<TD align=right>2,848,346</TD>	<TD align=right>(15,824)</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Japanese Yen</TD>	<TD align=left>Sell</TD>	<TD>8/20/14</TD>	<TD align=right>866,123</TD>	<TD align=right>853,919</TD>	<TD align=right>(12,204)</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Mexican Peso</TD>	<TD align=left>Buy</TD>	<TD>7/17/14</TD>	<TD align=right>353,997</TD>	<TD align=right>348,240</TD>	<TD align=right>5,757</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>New Zealand Dollar</TD>	<TD align=left>Buy</TD>	<TD>7/17/14</TD>	<TD align=right>882,751</TD>	<TD align=right>855,673</TD>	<TD align=right>27,078</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Norwegian Krone</TD>	<TD align=left>Buy</TD>	<TD>9/17/14</TD>	<TD align=right>1,679,217</TD>	<TD align=right>1,695,704</TD>	<TD align=right>(16,487)</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Thai Baht</TD>	<TD align=left>Buy</TD>	<TD>8/20/14</TD>	<TD align=right>509,090</TD>	<TD align=right>510,353</TD>	<TD align=right>(1,263)</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Thai Baht</TD>	<TD align=left>Sell</TD>	<TD>8/20/14</TD>	<TD align=right>509,090</TD>	<TD align=right>508,181</TD>	<TD align=right>(909)</TD></TR>
	<TR height=9></TR><TR vAlign=bottom align=left>	<TD></TD><TD colspan=7><B>Credit Suisse International</B></TD>						</TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Australian Dollar</TD>	<TD align=left>Sell</TD>	<TD>7/17/14</TD>	<TD align=right>856,033</TD>	<TD align=right>848,009</TD>	<TD align=right>(8,024)</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Canadian Dollar</TD>	<TD align=left>Sell</TD>	<TD>7/17/14</TD>	<TD align=right>57,989</TD>	<TD align=right>50,502</TD>	<TD align=right>(7,487)</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Euro</TD>	<TD align=left>Sell</TD>	<TD>9/17/14</TD>	<TD align=right>3,936,915</TD>	<TD align=right>3,914,239</TD>	<TD align=right>(22,676)</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Indian Rupee</TD>	<TD align=left>Buy</TD>	<TD>8/20/14</TD>	<TD align=right>1,350,410</TD>	<TD align=right>1,359,379</TD>	<TD align=right>(8,969)</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Japanese Yen</TD>	<TD align=left>Sell</TD>	<TD>8/20/14</TD>	<TD align=right>856,222</TD>	<TD align=right>851,296</TD>	<TD align=right>(4,926)</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Mexican Peso</TD>	<TD align=left>Buy</TD>	<TD>7/17/14</TD>	<TD align=right>432,951</TD>	<TD align=right>423,498</TD>	<TD align=right>9,453</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>New Zealand Dollar</TD>	<TD align=left>Buy</TD>	<TD>7/17/14</TD>	<TD align=right>1,691,707</TD>	<TD align=right>1,680,740</TD>	<TD align=right>10,967</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Norwegian Krone</TD>	<TD align=left>Buy</TD>	<TD>9/17/14</TD>	<TD align=right>848,802</TD>	<TD align=right>865,117</TD>	<TD align=right>(16,315)</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Singapore Dollar</TD>	<TD align=left>Sell</TD>	<TD>8/20/14</TD>	<TD align=right>443,265</TD>	<TD align=right>440,236</TD>	<TD align=right>(3,029)</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>South Korean Won</TD>	<TD align=left>Buy</TD>	<TD>8/20/14</TD>	<TD align=right>543,592</TD>	<TD align=right>534,218</TD>	<TD align=right>9,374</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Swedish Krona</TD>	<TD align=left>Sell</TD>	<TD>9/17/14</TD>	<TD align=right>785,938</TD>	<TD align=right>777,275</TD>	<TD align=right>(8,663)</TD></TR>
	<TR height=9></TR><TR vAlign=bottom align=left>	<TD></TD><TD colspan=7><B>Deutsche Bank AG</B></TD>						</TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Australian Dollar</TD>	<TD align=left>Sell</TD>	<TD>7/17/14</TD>	<TD align=right>832,390</TD>	<TD align=right>824,624</TD>	<TD align=right>(7,766)</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Canadian Dollar</TD>	<TD align=left>Sell</TD>	<TD>7/17/14</TD>	<TD align=right>847,637</TD>	<TD align=right>816,665</TD>	<TD align=right>(30,972)</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Czech Koruna</TD>	<TD align=left>Buy</TD>	<TD>9/17/14</TD>	<TD align=right>516,143</TD>	<TD align=right>513,642</TD>	<TD align=right>2,501</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Czech Koruna</TD>	<TD align=left>Sell</TD>	<TD>9/17/14</TD>	<TD align=right>516,143</TD>	<TD align=right>511,471</TD>	<TD align=right>(4,672)</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Euro</TD>	<TD align=left>Sell</TD>	<TD>9/17/14</TD>	<TD align=right>2,058,378</TD>	<TD align=right>2,047,359</TD>	<TD align=right>(11,019)</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Japanese Yen</TD>	<TD align=left>Sell</TD>	<TD>8/20/14</TD>	<TD align=right>1,267,584</TD>	<TD align=right>1,249,399</TD>	<TD align=right>(18,185)</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>New Zealand Dollar</TD>	<TD align=left>Buy</TD>	<TD>7/17/14</TD>	<TD align=right>1,718,986</TD>	<TD align=right>1,676,729</TD>	<TD align=right>42,257</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Norwegian Krone</TD>	<TD align=left>Buy</TD>	<TD>9/17/14</TD>	<TD align=right>818,648</TD>	<TD align=right>837,122</TD>	<TD align=right>(18,474)</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Polish Zloty</TD>	<TD align=left>Buy</TD>	<TD>9/17/14</TD>	<TD align=right>503,273</TD>	<TD align=right>500,795</TD>	<TD align=right>2,478</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Swedish Krona</TD>	<TD align=left>Sell</TD>	<TD>9/17/14</TD>	<TD align=right>1,711,704</TD>	<TD align=right>1,698,800</TD>	<TD align=right>(12,904)</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Swiss Franc</TD>	<TD align=left>Sell</TD>	<TD>9/17/14</TD>	<TD align=right>446,503</TD>	<TD align=right>439,910</TD>	<TD align=right>(6,593)</TD></TR>
	<TR height=9></TR><TR vAlign=bottom align=left>	<TD></TD><TD colspan=7><B>Goldman Sachs International</B></TD>						</TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Australian Dollar</TD>	<TD align=left>Sell</TD>	<TD>7/17/14</TD>	<TD align=right>5,651</TD>	<TD align=right>7,947</TD>	<TD align=right>2,296</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Canadian Dollar</TD>	<TD align=left>Buy</TD>	<TD>7/17/14</TD>	<TD align=right>878,458</TD>	<TD align=right>848,782</TD>	<TD align=right>29,676</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Canadian Dollar</TD>	<TD align=left>Sell</TD>	<TD>7/17/14</TD>	<TD align=right>878,458</TD>	<TD align=right>847,981</TD>	<TD align=right>(30,477)</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Euro</TD>	<TD align=left>Sell</TD>	<TD>9/17/14</TD>	<TD align=right>2,977,991</TD>	<TD align=right>2,956,775</TD>	<TD align=right>(21,216)</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Japanese Yen</TD>	<TD align=left>Sell</TD>	<TD>8/20/14</TD>	<TD align=right>855,469</TD>	<TD align=right>843,286</TD>	<TD align=right>(12,183)</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Norwegian Krone</TD>	<TD align=left>Buy</TD>	<TD>9/17/14</TD>	<TD align=right>828,417</TD>	<TD align=right>846,559</TD>	<TD align=right>(18,142)</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Swedish Krona</TD>	<TD align=left>Sell</TD>	<TD>9/17/14</TD>	<TD align=right>1,706,620</TD>	<TD align=right>1,710,400</TD>	<TD align=right>3,780</TD></TR>
	<TR height=9></TR><TR vAlign=bottom align=left>	<TD></TD><TD colspan=7><B>HSBC Bank USA, National Association</B></TD>						</TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Australian Dollar</TD>	<TD align=left>Sell</TD>	<TD>7/17/14</TD>	<TD align=right>795,749</TD>	<TD align=right>779,439</TD>	<TD align=right>(16,310)</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>British Pound</TD>	<TD align=left>Buy</TD>	<TD>9/17/14</TD>	<TD align=right>189,675</TD>	<TD align=right>188,475</TD>	<TD align=right>1,200</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>British Pound</TD>	<TD align=left>Sell</TD>	<TD>9/17/14</TD>	<TD align=right>189,675</TD>	<TD align=right>185,697</TD>	<TD align=right>(3,978)</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Canadian Dollar</TD>	<TD align=left>Buy</TD>	<TD>7/17/14</TD>	<TD align=right>431,500</TD>	<TD align=right>424,481</TD>	<TD align=right>7,019</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Canadian Dollar</TD>	<TD align=left>Sell</TD>	<TD>7/17/14</TD>	<TD align=right>431,500</TD>	<TD align=right>415,986</TD>	<TD align=right>(15,514)</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Euro</TD>	<TD align=left>Sell</TD>	<TD>9/17/14</TD>	<TD align=right>2,358,478</TD>	<TD align=right>2,343,353</TD>	<TD align=right>(15,125)</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Indonesian Rupiah</TD>	<TD align=left>Buy</TD>	<TD>8/20/14</TD>	<TD align=right>994,667</TD>	<TD align=right>1,019,525</TD>	<TD align=right>(24,858)</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Indonesian Rupiah</TD>	<TD align=left>Sell</TD>	<TD>8/20/14</TD>	<TD align=right>994,667</TD>	<TD align=right>1,006,798</TD>	<TD align=right>12,131</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Japanese Yen</TD>	<TD align=left>Sell</TD>	<TD>8/20/14</TD>	<TD align=right>42,545</TD>	<TD align=right>41,940</TD>	<TD align=right>(605)</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Swedish Krona</TD>	<TD align=left>Sell</TD>	<TD>9/17/14</TD>	<TD align=right>884,431</TD>	<TD align=right>888,387</TD>	<TD align=right>3,956</TD></TR>
	<TR height=9></TR><TR vAlign=bottom align=left>	<TD></TD><TD colspan=7><B>JPMorgan Chase Bank N.A.</B></TD>						</TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Australian Dollar</TD>	<TD align=left>Sell</TD>	<TD>7/17/14</TD>	<TD align=right>852,359</TD>	<TD align=right>834,279</TD>	<TD align=right>(18,080)</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Brazilian Real</TD>	<TD align=left>Buy</TD>	<TD>7/2/14</TD>	<TD align=right>851,052</TD>	<TD align=right>831,116</TD>	<TD align=right>19,936</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Brazilian Real</TD>	<TD align=left>Sell</TD>	<TD>7/2/14</TD>	<TD align=right>851,052</TD>	<TD align=right>849,514</TD>	<TD align=right>(1,538)</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Brazilian Real</TD>	<TD align=left>Sell</TD>	<TD>10/2/14</TD>	<TD align=right>1,808</TD>	<TD align=right>7,617</TD>	<TD align=right>5,809</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>British Pound</TD>	<TD align=left>Buy</TD>	<TD>9/17/14</TD>	<TD align=right>1,156,693</TD>	<TD align=right>1,134,726</TD>	<TD align=right>21,967</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Canadian Dollar</TD>	<TD align=left>Sell</TD>	<TD>7/17/14</TD>	<TD align=right>36,910</TD>	<TD align=right>24,849</TD>	<TD align=right>(12,061)</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Euro</TD>	<TD align=left>Sell</TD>	<TD>9/17/14</TD>	<TD align=right>2,613,653</TD>	<TD align=right>2,596,888</TD>	<TD align=right>(16,765)</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Hungarian Forint</TD>	<TD align=left>Sell</TD>	<TD>9/17/14</TD>	<TD align=right>293,028</TD>	<TD align=right>296,319</TD>	<TD align=right>3,291</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Indian Rupee</TD>	<TD align=left>Buy</TD>	<TD>8/20/14</TD>	<TD align=right>1,341,539</TD>	<TD align=right>1,348,410</TD>	<TD align=right>(6,871)</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Japanese Yen</TD>	<TD align=left>Sell</TD>	<TD>8/20/14</TD>	<TD align=right>435,430</TD>	<TD align=right>425,966</TD>	<TD align=right>(9,464)</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Mexican Peso</TD>	<TD align=left>Buy</TD>	<TD>7/17/14</TD>	<TD align=right>450,022</TD>	<TD align=right>443,091</TD>	<TD align=right>6,931</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>New Taiwan Dollar</TD>	<TD align=left>Sell</TD>	<TD>8/20/14</TD>	<TD align=right>1,031,871</TD>	<TD align=right>1,025,446</TD>	<TD align=right>(6,425)</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>New Zealand Dollar</TD>	<TD align=left>Buy</TD>	<TD>7/17/14</TD>	<TD align=right>869,898</TD>	<TD align=right>834,929</TD>	<TD align=right>34,969</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Norwegian Krone</TD>	<TD align=left>Buy</TD>	<TD>9/17/14</TD>	<TD align=right>1,639,635</TD>	<TD align=right>1,680,567</TD>	<TD align=right>(40,932)</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Russian Ruble</TD>	<TD align=left>Sell</TD>	<TD>9/17/14</TD>	<TD align=right>292,918</TD>	<TD align=right>283,119</TD>	<TD align=right>(9,799)</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Swedish Krona</TD>	<TD align=left>Sell</TD>	<TD>9/17/14</TD>	<TD align=right>1,674,916</TD>	<TD align=right>1,672,478</TD>	<TD align=right>(2,438)</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Thai Baht</TD>	<TD align=left>Buy</TD>	<TD>8/20/14</TD>	<TD align=right>1,780</TD>	<TD align=right>1,783</TD>	<TD align=right>(3)</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Thai Baht</TD>	<TD align=left>Sell</TD>	<TD>8/20/14</TD>	<TD align=right>1,780</TD>	<TD align=right>1,782</TD>	<TD align=right>2</TD></TR>
	<TR height=9></TR><TR vAlign=bottom align=left>	<TD></TD><TD colspan=7><B>State Street Bank and Trust Co.</B></TD>						</TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Australian Dollar</TD>	<TD align=left>Buy</TD>	<TD>7/17/14</TD>	<TD align=right>859,047</TD>	<TD align=right>853,313</TD>	<TD align=right>5,735</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Australian Dollar</TD>	<TD align=left>Sell</TD>	<TD>7/17/14</TD>	<TD align=right>862,721</TD>	<TD align=right>844,341</TD>	<TD align=right>(18,380)</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Brazilian Real</TD>	<TD align=left>Buy</TD>	<TD>7/2/14</TD>	<TD align=right>5,034,567</TD>	<TD align=right>4,996,477</TD>	<TD align=right>38,090</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Brazilian Real</TD>	<TD align=left>Sell</TD>	<TD>7/2/14</TD>	<TD align=right>3,380,990</TD>	<TD align=right>3,387,052</TD>	<TD align=right>6,062</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>British Pound</TD>	<TD align=left>Buy</TD>	<TD>9/17/14</TD>	<TD align=right>117,499</TD>	<TD align=right>115,315</TD>	<TD align=right>2,184</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Canadian Dollar</TD>	<TD align=left>Sell</TD>	<TD>7/17/14</TD>	<TD align=right>10,587</TD>	<TD align=right>3,462</TD>	<TD align=right>(7,125)</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Chilean Peso</TD>	<TD align=left>Buy</TD>	<TD>7/17/14</TD>	<TD align=right>853,510</TD>	<TD align=right>859,068</TD>	<TD align=right>(5,557)</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Chilean Peso</TD>	<TD align=left>Sell</TD>	<TD>7/17/14</TD>	<TD align=right>862,836</TD>	<TD align=right>835,946</TD>	<TD align=right>(26,890)</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Euro</TD>	<TD align=left>Sell</TD>	<TD>9/17/14</TD>	<TD align=right>3,344,522</TD>	<TD align=right>3,324,584</TD>	<TD align=right>(19,938)</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Japanese Yen</TD>	<TD align=left>Sell</TD>	<TD>8/20/14</TD>	<TD align=right>1,411,413</TD>	<TD align=right>1,395,777</TD>	<TD align=right>(15,636)</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Mexican Peso</TD>	<TD align=left>Buy</TD>	<TD>7/17/14</TD>	<TD align=right>843,627</TD>	<TD align=right>832,634</TD>	<TD align=right>10,993</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Mexican Peso</TD>	<TD align=left>Sell</TD>	<TD>7/17/14</TD>	<TD align=right>843,627</TD>	<TD align=right>845,531</TD>	<TD align=right>1,904</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>New Taiwan Dollar</TD>	<TD align=left>Sell</TD>	<TD>8/20/14</TD>	<TD align=right>515,813</TD>	<TD align=right>513,627</TD>	<TD align=right>(2,186)</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>New Zealand Dollar</TD>	<TD align=left>Buy</TD>	<TD>7/17/14</TD>	<TD align=right>877,767</TD>	<TD align=right>850,049</TD>	<TD align=right>27,718</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Norwegian Krone</TD>	<TD align=left>Buy</TD>	<TD>9/17/14</TD>	<TD align=right>1,650,933</TD>	<TD align=right>1,681,136</TD>	<TD align=right>(30,203)</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Singapore Dollar</TD>	<TD align=left>Sell</TD>	<TD>8/20/14</TD>	<TD align=right>640,877</TD>	<TD align=right>636,540</TD>	<TD align=right>(4,337)</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Swedish Krona</TD>	<TD align=left>Sell</TD>	<TD>9/17/14</TD>	<TD align=right>838,610</TD>	<TD align=right>828,925</TD>	<TD align=right>(9,685)</TD></TR>
	<TR height=9></TR><TR vAlign=bottom align=left>	<TD></TD><TD colspan=7><B>UBS AG</B></TD>						</TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Canadian Dollar</TD>	<TD align=left>Sell</TD>	<TD>7/17/14</TD>	<TD align=right>558,814</TD>	<TD align=right>533,349</TD>	<TD align=right>(25,465)</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Euro</TD>	<TD align=left>Sell</TD>	<TD>9/17/14</TD>	<TD align=right>1,600,352</TD>	<TD align=right>1,591,729</TD>	<TD align=right>(8,623)</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Japanese Yen</TD>	<TD align=left>Sell</TD>	<TD>8/20/14</TD>	<TD align=right>844,019</TD>	<TD align=right>837,953</TD>	<TD align=right>(6,066)</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Mexican Peso</TD>	<TD align=left>Buy</TD>	<TD>7/17/14</TD>	<TD align=right>187,701</TD>	<TD align=right>184,487</TD>	<TD align=right>3,214</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Mexican Peso</TD>	<TD align=left>Sell</TD>	<TD>7/17/14</TD>	<TD align=right>187,701</TD>	<TD align=right>186,825</TD>	<TD align=right>(876)</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Singapore Dollar</TD>	<TD align=left>Sell</TD>	<TD>8/20/14</TD>	<TD align=right>131,608</TD>	<TD align=right>131,261</TD>	<TD align=right>(347)</TD></TR>
	<TR height=9></TR><TR vAlign=bottom align=left>	<TD></TD><TD colspan=7><B>WestPac Banking Corp.</B></TD>						</TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Australian Dollar</TD>	<TD align=left>Buy</TD>	<TD>7/17/14</TD>	<TD align=right>897,573</TD>	<TD align=right>874,076</TD>	<TD align=right>23,497</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Australian Dollar</TD>	<TD align=left>Sell</TD>	<TD>7/17/14</TD>	<TD align=right>897,573</TD>	<TD align=right>884,895</TD>	<TD align=right>(12,678)</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>British Pound</TD>	<TD align=left>Buy</TD>	<TD>9/17/14</TD>	<TD align=right>875,515</TD>	<TD align=right>870,034</TD>	<TD align=right>5,481</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>British Pound</TD>	<TD align=left>Sell</TD>	<TD>9/17/14</TD>	<TD align=right>875,515</TD>	<TD align=right>857,031</TD>	<TD align=right>(18,484)</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Canadian Dollar</TD>	<TD align=left>Buy</TD>	<TD>7/17/14</TD>	<TD align=right>871,994</TD>	<TD align=right>846,621</TD>	<TD align=right>25,373</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Canadian Dollar</TD>	<TD align=left>Sell</TD>	<TD>7/17/14</TD>	<TD align=right>871,994</TD>	<TD align=right>840,635</TD>	<TD align=right>(31,359)</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Euro</TD>	<TD align=left>Sell</TD>	<TD>9/17/14</TD>	<TD align=right>2,542,839</TD>	<TD align=right>2,527,640</TD>	<TD align=right>(15,199)</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>Japanese Yen</TD>	<TD align=left>Sell</TD>	<TD>8/20/14</TD>	<TD align=right>861,686</TD>	<TD align=right>854,656</TD>	<TD align=right>(7,030)</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>New Zealand Dollar</TD>	<TD align=left>Buy</TD>	<TD>7/17/14</TD>	<TD align=right>869,723</TD>	<TD align=right>858,143</TD>	<TD align=right>11,580</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD></TD>	<TD>New Zealand Dollar</TD>	<TD align=left>Sell</TD>	<TD>7/17/14</TD>	<TD align=right>869,723</TD>	<TD align=right>842,610</TD>	<TD align=right>(27,113)</TD></TR>

<TR><TD colSpan=7></TD><TD>
<HR SIZE=2 noShade align=right Width="70%">
</TD></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=6><FONT size=+0><B>Total</B></FONT></TD>						<TD align=right><FONT size=+0><B>$(522,772)</B></FONT></TD></TABLE>

<BR><BR><BR><BR><BR>
<HR noshade align="center" width="100%" size=2>
<BR><BR><BR><BR><BR><BR><BR>





<TABLE style="WIDTH: 80%" border=0 cellSpacing=0  cellPadding=1><TR>
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	<TR vAlign=top align=left><TD></TD>	<TD colspan=6><FONT size=+1><B>FUTURES CONTRACTS OUTSTANDING at 6/30/14 (Unaudited)</B></FONT></TD></TR>
					<TR><TD><BR><BR></TD></TR>
	<TR vAlign=bottom align=left><TD><B></B></TD>	<TD><B></B></TD>	<TD align=right><B></B></TD>	<TD align=right><B></B></TD>	<TD><B>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</B></TD>	<TD align=right><B>Unrealized</B></TD></TR>
	<TR vAlign=bottom align=left><TD><B></B></TD>	<TD><B></B></TD>	<TD align=right><B>Number of</B></TD>	<TD align=right><B></B></TD>	<TD><B>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Expiration</B></TD>	<TD align=right><B>appreciation/</B></TD></TR>
	<TR vAlign=bottom align=left><TD><B></B></TD>	<TD><B></B></TD>	<TD align=right><B>contracts</B></TD>	<TD align=right><B>Value</B></TD>	<TD><B>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;date</B></TD>	<TD align=right><B>(depreciation)</B></TD></TR>	<TR><TD></TD><TD colSpan=6>
<HR SIZE=2 noShade>
</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD>Australian Government Treasury Bond 10 yr (Long)</TD>	<TD align=right>3</TD>	<TD align=right>$340,798</TD>	<TD>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Sep-14</TD>	<TD align=right>$6,009</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD>Euro-Bobl 5 yr (Long)</TD>	<TD align=right>42</TD>	<TD align=right>7,368,835</TD>	<TD>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Sep-14</TD>	<TD align=right>46,451</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD>Euro-Bund 10 yr (Short)</TD>	<TD align=right>59</TD>	<TD align=right>11,876,749</TD>	<TD>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Sep-14</TD>	<TD align=right>(174,689)</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD>Euro-Buxl 30 yr (Short)</TD>	<TD align=right>10</TD>	<TD align=right>1,843,900</TD>	<TD>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Sep-14</TD>	<TD align=right>(41,932)</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD>Euro-Dollar 90 day (Short)</TD>	<TD align=right>378</TD>	<TD align=right>93,829,050</TD>	<TD>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Sep-15</TD>	<TD align=right>(37,820)</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD>Japanese Government Bond 10 yr (Short)</TD>	<TD align=right>10</TD>	<TD align=right>14,377,375</TD>	<TD>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Sep-14</TD>	<TD align=right>(58,284)</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD>Japanese Government Bond 10 yr Mini (Long)</TD>	<TD align=right>4</TD>	<TD align=right>575,056</TD>	<TD>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Sep-14</TD>	<TD align=right>2,274</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD>U.S. Treasury Bond 30 yr (Short)</TD>	<TD align=right>241</TD>	<TD align=right>33,062,188</TD>	<TD>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Sep-14</TD>	<TD align=right>(160,568)</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD>U.S. Treasury Note 5 yr (Long)</TD>	<TD align=right>110</TD>	<TD align=right>13,140,703</TD>	<TD>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Sep-14</TD>	<TD align=right>(16,537)</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD>U.S. Treasury Note 10 yr (Short)</TD>	<TD align=right>230</TD>	<TD align=right>28,789,531</TD>	<TD>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Sep-14</TD>	<TD align=right>(11,218)</TD></TR>

<TR><TD colSpan=5></TD><TD>
<HR SIZE=2 noShade align=right Width="70%">
</TD></TR><TR vAlign=top align=left><TD></TD>	<TD><FONT size=+0><B>Total</B></FONT></TD>	<TD><FONT size=+0><B></B></FONT></TD>	<TD><FONT size=+0><B></B></FONT></TD>	<TD><FONT size=+0><B></B></FONT></TD>	<TD align=right><FONT size=+0><B>$(446,314)</B></FONT></TD></TABLE>

<BR><BR><BR><BR><BR>
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<TABLE style="WIDTH: 80%" border=0 cellSpacing=0  cellPadding=1><TR>
     <TD width="5%"></TD>
     <TD width="50%"></TD>
     <TD width="15%"></TD>
     <TD width="2%"></TD>
     <TD width="12%"></TD>
     <TD width="12%"></TD>
</TR>

	<TR vAlign=top align=left><TD></TD>	<TD colspan=6><FONT size=+1><B>WRITTEN SWAP OPTIONS OUTSTANDING at 6/30/14 (premiums $1,841,118) (Unaudited)</B></FONT></TD></TR>
					<TR><TD><BR><BR></TD></TR>
	<TR vAlign=bottom align=left><TD><B></B></TD>	<TD><B>Counterparty</B></TD>	<TD align=right><B></B></TD>	<TD align=right><B></B></TD>	<TD><B>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</B></TD>	<TD align=right><B></B></TD></TR>
	<TR vAlign=bottom align=left><TD><B></B></TD>	<TD><B>Fixed Obligation % to receive or (pay)/</B></TD>	<TD align=left><B>Expiration</B></TD>	<TD align=right><B></B></TD>	<TD align=right><B>Contract</B></TD>	<TD align=right><B></B></TD></TR>
	<TR vAlign=bottom align=left><TD><B></B></TD>	<TD><B>Floating rate index/Maturity date</B></TD>	<TD align=left><B>date/strike</B></TD>	<TD align=right><B></B></TD>	<TD align=right><B>amount</B></TD>	<TD align=right><B>Value</B></TD></TR>	<TR><TD></TD><TD colSpan=6>
<HR SIZE=2 noShade>
</TD></TR>
	<TR vAlign=top align=left><TD></TD>	<TD colspan=6><B>Bank of America N.A.</B></FONT></TD></TR>
					<TR><TD></TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD>(2.6425)/3 month USD-LIBOR-BBA/Sep-24</TD>	<TD align=left>Sep-14/2.6425</TD>	<TD align=right></TD>	<TD align=right>$16,180,200</TD>	<TD align=right>$123,617</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD>(2.7425)/3 month USD-LIBOR-BBA/Sep-24</TD>	<TD align=left>Sep-14/2.7425</TD>	<TD align=right></TD>	<TD align=right>16,180,200</TD>	<TD align=right>201,282</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD>(2.60)/3 month USD-LIBOR-BBA/Jan-25</TD>	<TD align=left>Jan-15/2.60</TD>	<TD align=right></TD>	<TD align=right>25,732,400</TD>	<TD align=right>236,995</TD></TR>
	<TR vAlign=top align=left><TD></TD>	<TD colspan=6><B><br>JPMorgan Chase Bank N.A.</B></FONT></TD></TR>
					<TR><TD></TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD>(2.515)/3 month USD-LIBOR-BBA/Aug-24</TD>	<TD align=left>Aug-14/2.515</TD>	<TD align=right></TD>	<TD align=right>23,399,800</TD>	<TD align=right>73,709</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD>(2.60)/3 month USD-LIBOR-BBA/Feb-25</TD>	<TD align=left>Feb-15/2.60</TD>	<TD align=right></TD>	<TD align=right>12,866,200</TD>	<TD align=right>120,042</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD>(6.00 Floor)/3 month USD-LIBOR-BBA/Mar-18</TD>	<TD align=left>Mar-18/6.00</TD>	<TD align=right></TD>	<TD align=right>6,568,000</TD>	<TD align=right>1,178,962</TD></TR>

<TR><TD colSpan=5></TD><TD>
<HR SIZE=2 noShade align=right Width="70%">
</TD></TR><TR vAlign=top align=left><TD></TD>	<TD><FONT size=+0><B>Total</B></FONT></TD>	<TD><FONT size=+0><B></B></FONT></TD>	<TD><FONT size=+0><B></B></FONT></TD>	<TD><FONT size=+0><B></B></FONT></TD>	<TD align=right><FONT size=+0><B>$1,934,607</B></FONT></TD></TABLE>

<BR><BR><BR><BR><BR>
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<TABLE style="WIDTH: 80%" border=0 cellSpacing=0  cellPadding=1><TR>
     <TD width="5%"></TD>
     <TD width="50%"></TD>
     <TD width="15%"></TD>
     <TD width="2%"></TD>
     <TD width="12%"></TD>
     <TD width="12%"></TD>
</TR>

	<TR vAlign=top align=left><TD></TD>	<TD colspan=6><FONT size=+1><B>WRITTEN OPTIONS OUTSTANDING at 6/30/14 (premiums $2,050,781) (Unaudited)</B></FONT></TD></TR>
					<TR><TD><BR><BR></TD></TR>
	<TR vAlign=bottom align=left><TD><B></B></TD>	<TD><B></B></TD>	<TD align=left><B>Expiration</B></TD>	<TD align=right><B></B></TD>	<TD align=right><B>Contract</B></TD>	<TD align=right><B></B></TD></TR>
	<TR vAlign=bottom align=left><TD><B></B></TD>	<TD><B></B></TD>	<TD align=left><B>date/strike price</B></TD>	<TD align=right><B></B></TD>	<TD align=right><B>amount</B></TD>	<TD align=right><B>Value</B></TD></TR>	<TR><TD></TD><TD colSpan=6>
<HR SIZE=2 noShade>
</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD>Federal National Mortgage Association 30 yr 3.5s TBA commitments (Call)</TD>	<TD align=left>Aug-14/$100.55</TD>	<TD align=right></TD>	<td align=right>$24,000,000</TD>	<TD align=right>$523,272</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD>Federal National Mortgage Association 30 yr 3.5s TBA commitments (Call)</TD>	<TD align=left>Aug-14/101.55</TD>	<TD align=right></TD>	<td align=right>24,000,000</TD>	<TD align=right>317,304</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD>Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put)</TD>	<TD align=left>Sep-14/101.75</TD>	<TD align=right></TD>	<td align=right>19,000,000</TD>	<TD align=right>91,960</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD>Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put)</TD>	<TD align=left>Sep-14/101.56</TD>	<TD align=right></TD>	<td align=right>19,000,000</TD>	<TD align=right>91,960</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD>Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put)</TD>	<TD align=left>Sep-14/101.00</TD>	<TD align=right></TD>	<td align=right>19,000,000</TD>	<TD align=right>50,540</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD>Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put)</TD>	<TD align=left>Sep-14/100.81</TD>	<TD align=right></TD>	<td align=right>19,000,000</TD>	<TD align=right>50,540</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD>Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put)</TD>	<TD align=left>Sep-14/101.22</TD>	<TD align=right></TD>	<td align=right>9,000,000</TD>	<TD align=right>34,290</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD>Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put)</TD>	<TD align=left>Sep-14/100.31</TD>	<TD align=right></TD>	<td align=right>13,000,000</TD>	<TD align=right>26,091</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD>Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put)</TD>	<TD align=left>Sep-14/100.22</TD>	<TD align=right></TD>	<td align=right>9,000,000</TD>	<TD align=right>18,216</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD>Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put)</TD>	<TD align=left>Sep-14/99.31</TD>	<TD align=right></TD>	<td align=right>13,000,000</TD>	<TD align=right>11,141</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD>Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put)</TD>	<TD align=left>Sep-14/101.75</TD>	<TD align=right></TD>	<td align=right>20,000,000</TD>	<TD align=right>94,600</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD>Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put)</TD>	<TD align=left>Sep-14/101.56</TD>	<TD align=right></TD>	<td align=right>20,000,000</TD>	<TD align=right>94,600</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD>Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put)</TD>	<TD align=left>Sep-14/101.00</TD>	<TD align=right></TD>	<td align=right>20,000,000</TD>	<TD align=right>51,600</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD>Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put)</TD>	<TD align=left>Sep-14/100.81</TD>	<TD align=right></TD>	<td align=right>20,000,000</TD>	<TD align=right>51,600</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD>Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put)</TD>	<TD align=left>Sep-14/101.75</TD>	<TD align=right></TD>	<td align=right>20,000,000</TD>	<TD align=right>92,200</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD>Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put)</TD>	<TD align=left>Sep-14/101.56</TD>	<TD align=right></TD>	<td align=right>20,000,000</TD>	<TD align=right>92,200</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD>Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put)</TD>	<TD align=left>Sep-14/101.00</TD>	<TD align=right></TD>	<td align=right>20,000,000</TD>	<TD align=right>50,800</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD>Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put)</TD>	<TD align=left>Sep-14/100.81</TD>	<TD align=right></TD>	<td align=right>20,000,000</TD>	<TD align=right>50,800</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD>Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put)</TD>	<TD align=left>Aug-14/101.44</TD>	<TD align=right></TD>	<td align=right>9,000,000</TD>	<TD align=right>16,362</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD>Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put)</TD>	<TD align=left>Aug-14/101.25</TD>	<TD align=right></TD>	<td align=right>9,000,000</TD>	<TD align=right>13,320</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD>Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put)</TD>	<TD align=left>Aug-14/101.56</TD>	<TD align=right></TD>	<td align=right>6,000,000</TD>	<TD align=right>12,498</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD>Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put)</TD>	<TD align=left>Aug-14/101.09</TD>	<TD align=right></TD>	<td align=right>9,000,000</TD>	<TD align=right>10,476</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD>Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put)</TD>	<TD align=left>Aug-14/100.34</TD>	<TD align=right></TD>	<td align=right>13,000,000</TD>	<TD align=right>7,254</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD>Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put)</TD>	<TD align=left>Aug-14/100.88</TD>	<TD align=right></TD>	<td align=right>7,000,000</TD>	<TD align=right>7,245</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD>Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put)</TD>	<TD align=left>Aug-14/100.44</TD>	<TD align=right></TD>	<td align=right>9,000,000</TD>	<TD align=right>5,580</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD>Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put)</TD>	<TD align=left>Aug-14/100.25</TD>	<TD align=right></TD>	<td align=right>9,000,000</TD>	<TD align=right>4,464</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD>Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put)</TD>	<TD align=left>Aug-14/100.56</TD>	<TD align=right></TD>	<td align=right>6,000,000</TD>	<TD align=right>4,344</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD>Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put)</TD>	<TD align=left>Aug-14/100.09</TD>	<TD align=right></TD>	<td align=right>9,000,000</TD>	<TD align=right>3,690</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD>Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put)</TD>	<TD align=left>Aug-14/99.88</TD>	<TD align=right></TD>	<td align=right>7,000,000</TD>	<TD align=right>2,177</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD>Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put)</TD>	<TD align=left>Aug-14/99.34</TD>	<TD align=right></TD>	<td align=right>13,000,000</TD>	<TD align=right>1,976</TD></TR>

<TR><TD colSpan=5></TD><TD>
<HR SIZE=2 noShade align=right Width="70%">
</TD></TR><TR vAlign=top align=left><TD></TD>	<TD><FONT size=+0><B>Total</B></FONT></TD>	<TD><FONT size=+0><B></B></FONT></TD>	<TD><FONT size=+0><B></B></FONT></TD>	<TD><FONT size=+0><B></B></FONT></TD>	<TD align=right><FONT size=+0><B>$1,883,100</B></FONT></TD></TABLE>

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		<TABLE style="WIDTH: 80%" border=0 cellSpacing=3  cellPadding=0><TR>
		     <TD width="5%"></TD>
		     <TD width="40%"></TD>
		     <TD width="12%"></TD>
		     <TD width="2%"></TD>
		     <TD width="15%"></TD>
		     <TD width="12%"></TD>
		</TR>

			<TR vAlign=top align=left><TD></TD>	<TD colspan=6><BR><FONT><B>FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 6/30/14 (Unaudited)</B></FONT></TD></TR>
							<TR><TD></TD></TR>
	<TR vAlign=bottom align=left><TD><B></B></TD>	<TD><B>Counterparty</B></TD>	<TD><B></B></TD>	<TD align=right><B></B></TD>	<TD align=right><B>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</B></TD>	<TD align=right><B>Premium</B></td><td align=right><b>Unrealized</TR>
	<TR vAlign=bottom align=left><TD><B></B></TD>	<TD><B>Fixed right or obligation % to receive or (pay)/</B></TD>	<TD><B>Expiration</B></TD>	<TD align=right><B></B></TD>	<TD align=right><B>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Contract</B></TD>	<TD align=right><B>receivable/</B></td><td align=right><b>appreciation/</TR>
	<TR vAlign=bottom align=left><TD><B></B></TD>	<TD><B>Floating rate index/Maturity date</B></TD>	<TD><B>date/strike</B></TD>	<TD align=right><B></B></TD>	<TD align=right><B>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;amount</B></TD>	<TD align=right><B>(payable)</B></td><td align=right><b>(depreciation)</TR>	<TR><TD></TD><TD colSpan=6>
		<HR SIZE=2 noShade>
		</TD></TR>
	<TR vAlign=top align=left><TD></TD>	<TD colspan=6><BR><FONT><B>Citibank, N.A.</B></FONT></TD></TR>
							<TR><TD></TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; (3.60)/3 month USD-LIBOR-BBA/Aug-44 (Purchased)</TD>	<TD vAlign=top align=left>Aug-14/3.60</TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>$4,498,000</TD>	<TD vAlign=bottom align=right>$(44,980)</td><td align=right>$(40,976)</TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; (3.20)/3 month USD-LIBOR-BBA/Aug-44 (Written)</TD>	<TD vAlign=top align=left>Aug-14/3.20</TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>4,498,000</TD>	<TD vAlign=bottom align=right>43,293</td><td align=right>22,040</TR>
	<TR vAlign=top align=left><TD></TD>	<TD colspan=6><BR><FONT><B>Goldman Sachs International</B></FONT></TD></TR>
							<TR><TD></TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; (1.56)/3 month USD-LIBOR-BBA/Oct-17 (Purchased)</TD>	<TD vAlign=top align=left>Oct-14/1.56</TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>82,515,000</TD>	<TD vAlign=bottom align=right>(499,215)</td><td align=right>(382,870)</TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; 1.03/6 month EUR-EURIBOR-Reuters/Oct-17 (Written)</TD>	<TD vAlign=top align=left>Oct-14/1.03</TD>	<TD vAlign=bottom align=right>EUR</TD>	<TD vAlign=bottom align=right>66,012,000</TD>	<TD vAlign=bottom align=right>226,421</td><td align=right>308,231</TR>
	<TR vAlign=top align=left><TD></TD>	<TD colspan=6><BR><FONT><B>JPMorgan Chase Bank N.A.</B></FONT></TD></TR>
							<TR><TD></TD></TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; (3.6275)/3 month USD-LIBOR-BBA/Aug-44 (Purchased)</TD>	<TD vAlign=top align=left>Aug-14/3.6275</TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>$4,498,000</TD>	<TD vAlign=bottom align=right>(47,229)</td><td align=right>(43,271)</TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; (1.115)/3 month USD-LIBOR-BBA/Oct-16 (Purchased)</TD>	<TD vAlign=top align=left>Oct-14/1.115</TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>33,006,000</TD>	<TD vAlign=bottom align=right>(99,843)</td><td align=right>(80,865)</TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; 0.862/6 month EUR-EURIBOR-Reuters/Oct-16 (Written)</TD>	<TD vAlign=top align=left>Oct-14/0.862</TD>	<TD vAlign=bottom align=right>EUR</TD>	<TD vAlign=bottom align=right>24,754,000</TD>	<TD vAlign=bottom align=right>42,750</td><td align=right>57,284</TR>
	<TR><TD></TD>	<TD vAlign=top align=left>&nbsp;&nbsp;&nbsp;&nbsp; (3.2275)/3 month USD-LIBOR-BBA/Aug-44 (Written)</TD>	<TD vAlign=top align=left>Aug-14/3.2275</TD>	<TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=right>$4,498,000</TD>	<TD vAlign=bottom align=right>44,755</td><td align=right>14,214</TR>

		<TR><TD colSpan=5></TD><TD>
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		<HR SIZE=2 noShade align=right Width="70%">
		</TD></TR><TR vAlign=top align=left><TD></TD>	<TD><FONT size=+0><B>Total</B></FONT></TD>	<TD><FONT size=+0><B></B></FONT></TD>	<TD><FONT size=+0><B></B></FONT></TD>	<TD><FONT size=+0><B></B></FONT></TD>	<TD align=right><FONT size=+0><B>$(334,048)</B></FONT></td><td align=right><b>$(146,213)</TABLE>

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<TABLE style="WIDTH: 80%" border=0 cellSpacing=0  cellPadding=1><TR>
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	<TR vAlign=top align=left><TD></TD>	<TD colspan=6><FONT size=+1><B>TBA SALE COMMITMENTS OUTSTANDING at 6/30/14 (proceeds receivable $11,826,719) (Unaudited)</B></FONT></TD></TR>
					<TR><TD><BR><BR></TD></TR>
	<TR vAlign=bottom align=left><TD><B></B></TD>	<TD><B></B></TD>	<TD align=right><B></B></TD>	<TD align=right><B>Principal</B></TD>	<TD><B>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Settlement</B></TD>	<TD align=right><B></B></TD></TR>
	<TR vAlign=bottom align=left><TD><B></B></TD>	<TD><B>Agency</B></TD>	<TD align=right><B></B></TD>	<TD align=right><B>amount</B></TD>	<TD><B>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;date</B></TD>	<TD align=right><B>Value</B></TD></TR>	<TR><TD></TD><TD colSpan=6>
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</TD></TR>
	<TR height=6></TR>
	<TR vAlign=bottom align=left><TD></TD>	<TD>Federal National Mortgage Association, 4 1/2s, July 1, 2044</TD>	<TD align=right></TD>	<TD align=right>$11,000,000</TD>	<TD>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7/14/14</TD>	<TD align=right>$11,914,375</TD></TR>

<TR><TD colSpan=5></TD><TD>
<HR SIZE=2 noShade align=right Width="70%">
</TD></TR><TR vAlign=top align=left><TD></TD>	<TD><FONT size=+0><B>Total</B></FONT></TD>	<TD><FONT size=+0><B></B></FONT></TD>	<TD><FONT size=+0><B></B></FONT></TD>	<TD><FONT size=+0><B></B></FONT></TD>	<TD align=right><FONT size=+0><B>$11,914,375</B></FONT></TD></TABLE>

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	<TR height=15></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=8><FONT size=+1><B>OTC INTEREST RATE SWAP CONTRACTS OUTSTANDING at 6/30/14 (Unaudited)</B></FONT></TD></TR>
													<TR height=15></TR><TR vAlign=top align=left><TD></TD>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left colspan=3><B></B></TD>			<TD vAlign=bottom align=right><B>Upfront&nbsp;&nbsp;&nbsp;&nbsp;</B></TD>	<TD vAlign=bottom align=left><B></B></TD>	<TD vAlign=bottom align=left><B></B></TD>	<TD vAlign=bottom align=left><B>Payments</B></TD>	<TD vAlign=bottom align=left><B>Payments</B></TD>	<TD vAlign=bottom align=right><B>Unrealized</B></TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left colspan=3><B>Swap counterparty/</B></TD>			<TD vAlign=bottom align=right><B>premium&nbsp;&nbsp;&nbsp;&nbsp;</B></TD>	<TD vAlign=bottom align=left><B>Termination</B></TD>	<TD vAlign=bottom align=left><B></B></TD>	<TD vAlign=bottom align=left><B>made by</B></TD>	<TD vAlign=bottom align=left><B>received by</B></TD>	<TD vAlign=bottom align=right><B>appreciation/</B></TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left colspan=3><B>Notional amount</B></TD>			<TD vAlign=bottom align=right><B>received (paid)&nbsp;&nbsp;&nbsp;&nbsp;</B></TD>	<TD vAlign=bottom align=left><B>date</B></TD>	<TD vAlign=bottom align=left><B></B></TD>	<TD vAlign=bottom align=left><B>fund per annum</B></TD>	<TD vAlign=bottom align=left><B>fund per annum</B></TD>	<TD vAlign=bottom align=right><B>(depreciation)</B></TD></TR><TR><TD></TD><TD colspan=9>
<HR SIZE=2 noShade align=right Width="100%">
</TD></TR>
	<TR height=6></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=8><B>Bank of America N.A.</B></TD></TR>

	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left>CAD</TD>	<TD vAlign=top align=right>7,020,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>$&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>6/23/24</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>2.7425%</TD>	<TD vAlign=bottom align=left>3 month CAD-BA-CDOR</TD>	<TD vAlign=bottom align=right>$(45,666)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left>MYR</TD>	<TD vAlign=top align=right>9,720,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>3/19/19</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>4.0275%</TD>	<TD vAlign=bottom align=left>3 month MYR-KLIBOR-BNM</TD>	<TD vAlign=bottom align=right>3,195</TD></TR>
	<TR height=6></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=8><B>Citibank, N.A.</B></TD></TR>

	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left>NZD</TD>	<TD vAlign=top align=right>3,911,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>5/20/17</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>3 month NZD-BBR-FRA</TD>	<TD vAlign=bottom align=left>4.125%</TD>	<TD vAlign=bottom align=right>(18,786)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left>NZD</TD>	<TD vAlign=top align=right>6,040,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>5/21/17</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>3 month NZD-BBR-FRA</TD>	<TD vAlign=bottom align=left>4.115%</TD>	<TD vAlign=bottom align=right>(30,373)</TD></TR>
	<TR height=6></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=8><B>Credit Suisse International</B></TD></TR>

	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left>NZD</TD>	<TD vAlign=top align=right>5,011,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>6/24/17</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>4.33%</TD>	<TD vAlign=bottom align=left>3 month NZD-BBR-FRA</TD>	<TD vAlign=bottom align=right>4,791</TD></TR>
	<TR height=6></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=8><B>Deutsche Bank AG</B></TD></TR>

	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left>BRL</TD>	<TD vAlign=top align=right>14,073,818</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/2/17</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>BZDIOVRA</TD>	<TD vAlign=bottom align=left>-</TD>	<TD vAlign=bottom align=right>34,333</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left>BRL</TD>	<TD vAlign=top align=right>13,996,888</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/2/17</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>BZDIOVRA</TD>	<TD vAlign=bottom align=left>-</TD>	<TD vAlign=bottom align=right>23,629</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left>MYR</TD>	<TD vAlign=top align=right>9,720,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>3/19/19</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>4.035%</TD>	<TD vAlign=bottom align=left>3 month MYR-KLIBOR-BNM</TD>	<TD vAlign=bottom align=right>2,213</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left>PLN</TD>	<TD vAlign=top align=right>9,968,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>3/17/24</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>4.1072%</TD>	<TD vAlign=bottom align=left>6 month PLN-WIBOR-WIBO</TD>	<TD vAlign=bottom align=right>(221,065)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left>PLN</TD>	<TD vAlign=top align=right>4,970,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>3/18/24</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>4.12875%</TD>	<TD vAlign=bottom align=left>6 month PLN-WIBOR-WIBO</TD>	<TD vAlign=bottom align=right>(113,199)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left>PLN</TD>	<TD vAlign=top align=right>4,165,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>3/27/24</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>4.045%</TD>	<TD vAlign=bottom align=left>6 month PLN-WIBOR-WIBO</TD>	<TD vAlign=bottom align=right>(84,575)</TD></TR>
	<TR height=6></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=8><B>Goldman Sachs International</B></TD></TR>

	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left>CAD</TD>	<TD vAlign=top align=right>2,722,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>5/30/23</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>2.534%</TD>	<TD vAlign=bottom align=left>3 month CAD-BA-CDOR</TD>	<TD vAlign=bottom align=right>(291)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left>EUR</TD>	<TD vAlign=top align=right>43,654,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>8/30/14</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>1 year EUR-EONIA-OIS-COMPOUND</TD>	<TD vAlign=bottom align=left>0.11%</TD>	<TD vAlign=bottom align=right>(18,104)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left>EUR</TD>	<TD vAlign=top align=right>43,654,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>8/30/14</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>0.309%</TD>	<TD vAlign=bottom align=left>3 month EUR-EURIBOR-REUTERS</TD>	<TD vAlign=bottom align=right>(138,622)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left>EUR</TD>	<TD vAlign=top align=right>43,654,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>8/31/14</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>1 year EUR-EONIA-OIS-COMPOUND</TD>	<TD vAlign=bottom align=left>0.11%</TD>	<TD vAlign=bottom align=right>(17,958)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left>EUR</TD>	<TD vAlign=top align=right>43,654,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>8/31/14</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>0.314%</TD>	<TD vAlign=bottom align=left>3 month EUR-EURIBOR-REUTERS</TD>	<TD vAlign=bottom align=right>(141,682)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left>EUR</TD>	<TD vAlign=top align=right>43,654,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>9/3/14</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>1 year EUR-EONIA-OIS-COMPOUND</TD>	<TD vAlign=bottom align=left>0.086%</TD>	<TD vAlign=bottom align=right>(31,920)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left>EUR</TD>	<TD vAlign=top align=right>43,654,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>9/3/14</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>0.283%</TD>	<TD vAlign=bottom align=left>3 month EUR-EURIBOR-REUTERS</TD>	<TD vAlign=bottom align=right>(123,661)</TD></TR>
	<TR height=6></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=8><B>JPMorgan Chase Bank N.A.</B></TD></TR>

	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left>CAD</TD>	<TD vAlign=top align=right>2,353,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>2/6/24</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>3 month CAD-BA-CDOR</TD>	<TD vAlign=bottom align=left>2.855%</TD>	<TD vAlign=bottom align=right>57,337</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left>HUF</TD>	<TD vAlign=top align=right>150,000,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>2/4/19</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>4.79%</TD>	<TD vAlign=bottom align=left>6 month HUF-BUBOR-REUTERS</TD>	<TD vAlign=bottom align=right>(63,006)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left>HUF</TD>	<TD vAlign=top align=right>300,000,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>2/5/19</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>4.7275%</TD>	<TD vAlign=bottom align=left>6 month HUF-BUBOR-REUTERS</TD>	<TD vAlign=bottom align=right>(121,920)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left>HUF</TD>	<TD vAlign=top align=right>416,000,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>2/11/19</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>4.41%</TD>	<TD vAlign=bottom align=left>6 month HUF-BUBOR-REUTERS</TD>	<TD vAlign=bottom align=right>(141,095)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left>HUF</TD>	<TD vAlign=top align=right>581,000,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>6/16/16</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>6 month HUF-BUBOR-REUTERS</TD>	<TD vAlign=bottom align=left>2.50%</TD>	<TD vAlign=bottom align=right>3,438</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left>HUF</TD>	<TD vAlign=top align=right>962,000,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>6/13/16</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>6 month HUF-BUBOR-REUTERS</TD>	<TD vAlign=bottom align=left>2.56%</TD>	<TD vAlign=bottom align=right>10,431</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left>HUF</TD>	<TD vAlign=top align=right>381,800,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>6/17/16</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>6 month HUF-BUBOR-REUTERS</TD>	<TD vAlign=bottom align=left>2.5%</TD>	<TD vAlign=bottom align=right>2,242</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left>JPY</TD>	<TD vAlign=top align=right>2,402,400,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>2/19/15</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>6 month JPY-LIBOR-BBA</TD>	<TD vAlign=bottom align=left>0.705%</TD>	<TD vAlign=bottom align=right>123,237</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left>JPY</TD>	<TD vAlign=top align=right>511,900,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>2/19/20</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>6 month JPY-LIBOR-BBA</TD>	<TD vAlign=bottom align=left>1.3975%</TD>	<TD vAlign=bottom align=right>330,165</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left>MXN</TD>	<TD vAlign=top align=right>77,940,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>5/9/24</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>1 month MXN-TIIE-BANXICO</TD>	<TD vAlign=bottom align=left>6.295%</TD>	<TD vAlign=bottom align=right>118,928</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left>MXN</TD>	<TD vAlign=top align=right>26,620,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>5/3/24</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>1 month MXN-TIIE-BANXICO</TD>	<TD vAlign=bottom align=left>6.25%</TD>	<TD vAlign=bottom align=right>34,269</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left>MXN</TD>	<TD vAlign=top align=right>25,980,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>5/9/24</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>1 month MXN-TIIE-BANXICO</TD>	<TD vAlign=bottom align=left>6.29%</TD>	<TD vAlign=bottom align=right>38,820</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left>NZD</TD>	<TD vAlign=top align=right>1,208,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>5/20/17</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>3 month NZD-BBR-FRA</TD>	<TD vAlign=bottom align=left>4.145%</TD>	<TD vAlign=bottom align=right>(5,207)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left>NZD</TD>	<TD vAlign=top align=right>6,148,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>6/26/17</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>4.365%</TD>	<TD vAlign=bottom align=left>3 month NZD-BBR-FRA</TD>	<TD vAlign=bottom align=right>1,233</TD></TR>
	<TR><TD colspan=9></TD><TD>
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</TD></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=3><B>Total</B></TD><TD align=right><b>$&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</td><TD vAlign=bottom align=right colspan=6><b>$(528,869)</B></TD></TR></TABLE>

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	<TR height=15></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=8><FONT size=+1><B>CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 6/30/14 (Unaudited)</B></FONT></TD></TR>
														<TR height=15></TR><TR vAlign=top align=left><TD></TD>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left colspan=3><B></B></TD>			<TD vAlign=bottom align=right><B>Upfront&nbsp;&nbsp;&nbsp;&nbsp;</B></TD>	<TD vAlign=bottom align=left><B></B></TD>	<TD vAlign=bottom align=left><B></B></TD>	<TD vAlign=bottom align=left><B>Payments</B></TD>	<TD vAlign=bottom align=left><B>Payments</B></TD>	<TD vAlign=bottom align=right><B>Unrealized</B></TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left colspan=3><B></B></TD>			<TD vAlign=bottom align=right><B>premium&nbsp;&nbsp;&nbsp;&nbsp;</B></TD>	<TD vAlign=bottom align=left><B>Termination</B></TD>	<TD vAlign=bottom align=left><B></B></TD>	<TD vAlign=bottom align=left><B>made by</B></TD>	<TD vAlign=bottom align=left><B>received by</B></TD>	<TD vAlign=bottom align=right><B>appreciation/</B></TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left colspan=3><B>Notional amount</B></TD>			<TD vAlign=bottom align=right><B>received (paid)&nbsp;&nbsp;&nbsp;&nbsp;</B></TD>	<TD vAlign=bottom align=left><B>date</B></TD>	<TD vAlign=bottom align=left><B></B></TD>	<TD vAlign=bottom align=left><B>fund per annum</B></TD>	<TD vAlign=bottom align=left><B>fund per annum</B></TD>	<TD vAlign=bottom align=right><B>(depreciation)</B></TD></TR>


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<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>$148,980,000</TD>	<TD vAlign=top align=left><sup><B><I>(E)</I></B></sup></TD>	<TD vAlign=top align=right>$724,751 &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>9/17/16</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>3 month USD-LIBOR-BBA</TD>	<TD vAlign=bottom align=left>1.00%</TD>	<TD vAlign=bottom align=right>$(145,591)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>70,458,000</TD>	<TD vAlign=top align=left><sup><B><I>(E)</I></B></sup></TD>	<TD vAlign=top align=right>1,048,175 &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>9/17/19</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>3 month USD-LIBOR-BBA</TD>	<TD vAlign=bottom align=left>2.25%</TD>	<TD vAlign=bottom align=right>(428,695)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>3,383,000</TD>	<TD vAlign=top align=left><sup><B><I>(E)</I></B></sup></TD>	<TD vAlign=top align=right>(140,797)&nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>9/17/24</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>3 month USD-LIBOR-BBA</TD>	<TD vAlign=bottom align=left>3.25%</TD>	<TD vAlign=bottom align=right>29,861</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>2,854,000</TD>	<TD vAlign=top align=left><sup><B><I>(E)</I></B></sup></TD>	<TD vAlign=top align=right>(311,038)&nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>9/17/44</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>3 month USD-LIBOR-BBA</TD>	<TD vAlign=bottom align=left>4.00%</TD>	<TD vAlign=bottom align=right>63,786</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>72,470,000</TD>	<TD vAlign=top align=left><sup><B><I>(E)</I></B></sup></TD>	<TD vAlign=top align=right>233,407 &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>6/17/17</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>3 month USD-LIBOR-BBA</TD>	<TD vAlign=bottom align=left>1.617%</TD>	<TD vAlign=bottom align=right>(185,471)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>19,185,000</TD>	<TD vAlign=top align=left><sup><B><I>(E)</I></B></sup></TD>	<TD vAlign=top align=right>7,818 &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>6/15/19</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>3 month USD-LIBOR-BBA</TD>	<TD vAlign=bottom align=left>2.64%</TD>	<TD vAlign=bottom align=right>(100,616)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>12,900,000</TD>	<TD vAlign=top align=left><sup><B><I>(E)</I></B></sup></TD>	<TD vAlign=top align=right>(130)&nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>6/19/24</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>3.812%</TD>	<TD vAlign=bottom align=left>3 month USD-LIBOR-BBA</TD>	<TD vAlign=bottom align=right>(80,046)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>29,472,000</TD>	<TD vAlign=top align=left><sup><B><I>(E)</I></B></sup></TD>	<TD vAlign=top align=right>(164)&nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>6/17/17</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>1.331%</TD>	<TD vAlign=bottom align=left>3 month USD-LIBOR-BBA</TD>	<TD vAlign=bottom align=right>(3,671)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>33,890,000</TD>	<TD vAlign=top align=left><sup><B><I>(E)</I></B></sup></TD>	<TD vAlign=top align=right>316,808 &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>9/17/19</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>3 month USD-LIBOR-BBA</TD>	<TD vAlign=bottom align=left>2.15%</TD>	<TD vAlign=bottom align=right>(229,329)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>21,415,000</TD>	<TD vAlign=top align=left><sup><B><I>(E)</I></B></sup></TD>	<TD vAlign=top align=right>(62,184)&nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>9/17/16</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>3 month USD-LIBOR-BBA</TD>	<TD vAlign=bottom align=left>0.90%</TD>	<TD vAlign=bottom align=right>20,200</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left>EUR</TD>	<TD vAlign=top align=right>4,050,000</TD>	<TD vAlign=top align=left><sup><B><I>(E)</I></B></sup></TD>	<TD vAlign=top align=right>44,944 &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>9/17/16</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>6 month EUR-EURIBOR-REUTERS</TD>	<TD vAlign=bottom align=left>0.75%</TD>	<TD vAlign=bottom align=right>(1,617)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left>EUR</TD>	<TD vAlign=top align=right>624,000</TD>	<TD vAlign=top align=left><sup><B><I>(E)</I></B></sup></TD>	<TD vAlign=top align=right>33,787 &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>9/17/19</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>1.50%</TD>	<TD vAlign=bottom align=left>6 month EUR-EURIBOR-REUTERS</TD>	<TD vAlign=bottom align=right>246</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left>EUR</TD>	<TD vAlign=top align=right>3,979,000</TD>	<TD vAlign=top align=left><sup><B><I>(E)</I></B></sup></TD>	<TD vAlign=top align=right>347,512 &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>9/17/24</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>6 month EUR-EURIBOR-REUTERS</TD>	<TD vAlign=bottom align=left>2.25%</TD>	<TD vAlign=bottom align=right>(49,919)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left>EUR</TD>	<TD vAlign=top align=right>1,000</TD>	<TD vAlign=top align=left><sup><B><I>(E)</I></B></sup></TD>	<TD vAlign=top align=right>(143)&nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>9/17/44</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>6 month EUR-EURIBOR-REUTERS</TD>	<TD vAlign=bottom align=left>2.75%</TD>	<TD vAlign=bottom align=right>31</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left>EUR</TD>	<TD vAlign=top align=right>9,500,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>(171)&nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>6/17/24</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>6 month EUR-EURIBOR-REUTERS</TD>	<TD vAlign=bottom align=left>1.609%</TD>	<TD vAlign=bottom align=right>222,646</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left>EUR</TD>	<TD vAlign=top align=right>9,500,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>(93)&nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>6/17/24</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>6 month EUR-EURIBOR-REUTERS</TD>	<TD vAlign=bottom align=left>1.622%</TD>	<TD vAlign=bottom align=right>238,985</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left>EUR</TD>	<TD vAlign=top align=right>2,360,000</TD>	<TD vAlign=top align=left><sup><B><I>(E)</I></B></sup></TD>	<TD vAlign=top align=right>(272,046)&nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>9/17/34</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>6 month EUR-EURIBOR-REUTERS</TD>	<TD vAlign=bottom align=left>2.75%</TD>	<TD vAlign=bottom align=right>80,400</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left>GBP</TD>	<TD vAlign=top align=right>12,698,000</TD>	<TD vAlign=top align=left><sup><B><I>(E)</I></B></sup></TD>	<TD vAlign=top align=right>(26,519)&nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>9/17/16</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>6 month GBP-LIBOR-BBA</TD>	<TD vAlign=bottom align=left>1.50%</TD>	<TD vAlign=bottom align=right>(23,911)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left>GBP</TD>	<TD vAlign=top align=right>6,408,000</TD>	<TD vAlign=top align=left><sup><B><I>(E)</I></B></sup></TD>	<TD vAlign=top align=right>51,092 &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>9/17/19</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>6 month GBP-LIBOR-BBA</TD>	<TD vAlign=bottom align=left>2.25%</TD>	<TD vAlign=bottom align=right>39,237</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left>JPY</TD>	<TD vAlign=top align=right>32,455,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>(11)&nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>3/24/44</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>6 month JPY-LIBOR-BBA</TD>	<TD vAlign=bottom align=left>1.80%</TD>	<TD vAlign=bottom align=right>6,710</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left>JPY</TD>	<TD vAlign=top align=right>63,551,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>(21)&nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>3/24/44</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>6 month JPY-LIBOR-BBA</TD>	<TD vAlign=bottom align=left>1.79625%</TD>	<TD vAlign=bottom align=right>12,534</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left>JPY</TD>	<TD vAlign=top align=right>1,780,000,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>(70)&nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>3/14/19</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>6 month JPY-LIBOR-BBA</TD>	<TD vAlign=bottom align=left>0.3175%</TD>	<TD vAlign=bottom align=right>60,628</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left>JPY</TD>	<TD vAlign=top align=right>389,500,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>(68)&nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>3/14/44</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>6 month JPY-LIBOR-BBA</TD>	<TD vAlign=bottom align=left>1.795%</TD>	<TD vAlign=bottom align=right>(77,790)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left>JPY</TD>	<TD vAlign=top align=right>31,464,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>(6)&nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>3/24/44</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>6 month JPY-LIBOR-BBA</TD>	<TD vAlign=bottom align=left>1.80125%</TD>	<TD vAlign=bottom align=right>6,610</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>$11,699,900</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>(83,809)&nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>7/2/24</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>2.6025%</TD>	<TD vAlign=bottom align=left>3 month USD-LIBOR-BBA</TD>	<TD vAlign=bottom align=right>(71,686)</TD></TR>
	<TR><TD colspan=9></TD><TD>
	<HR SIZE=2 noShade align=right Width="80%">
	</TD></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=3><B>Total</B></td><td align=right><b>$1,911,024&nbsp;&nbsp;&nbsp;&nbsp;</td><TD vAlign=bottom align=right colspan=6><B>$(616,468)</B></TD></TR>
	<TR height=15></TR><TR vAlign=top align=right><TD><sup><B><I>(E)</I></B></sup>&nbsp;&nbsp;</TD>	<TD colspan=8 align=left>Extended effective date.</TD></TR>
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	<TR height=15></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=8><FONT size=+1><B>OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 6/30/14 (Unaudited)</B></FONT></TD></TR>
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	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left colspan=3><B></B></TD>			<TD vAlign=bottom align=right><B>Upfront&nbsp;&nbsp;&nbsp;&nbsp;</B></TD>	<TD vAlign=bottom align=left><B></B></TD>	<TD vAlign=bottom align=left><B>Payments</B></TD>	<TD vAlign=bottom align=left><B>Total return</B></TD>	<TD vAlign=bottom align=right><B>Unrealized</B></TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left colspan=3><B>Swap counterparty/</B></TD>			<TD vAlign=bottom align=right><B>premium&nbsp;&nbsp;&nbsp;&nbsp;</B></TD>	<TD vAlign=bottom align=left><B>Termination</B></TD>	<TD vAlign=bottom align=left><B>received (paid) by</B></TD>	<TD vAlign=bottom align=left><B>received by</B></TD>	<TD vAlign=bottom align=right><B>appreciation/</B></TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left colspan=3><B>Notional amount</B></TD>			<TD vAlign=bottom align=right><B>received (paid)&nbsp;&nbsp;&nbsp;&nbsp;</B></TD>	<TD vAlign=bottom align=left><B>date</B></TD>	<TD vAlign=bottom align=left><B>fund per annum</B></TD>	<TD vAlign=bottom align=left><B>or paid by fund</B></TD>	<TD vAlign=bottom align=right><B>(depreciation)</B></TD></TR><TR><TD></TD><TD colspan=8>
<HR SIZE=2 noShade align=right Width="100%">
</TD></TR>
	<TR height=6></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=8><B>Bank of America N.A.</B></TD></TR>

	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>$5,725,668</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>$&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/41</TD>	<TD vAlign=top align=left>(4.50%) 1 month USD-LIBOR</TD>	<TD vAlign=top align=left>Synthetic TRS Index 4.50% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>$827</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>1,556,420</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/41</TD>	<TD vAlign=top align=left>4.50% (1 month USD-LIBOR)</TD>	<TD vAlign=top align=left>Synthetic TRS Index 4.50% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>(225)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>2,923,000</TD>	<TD vAlign=top align=left><sup><B><I>(E)</I></B></sup></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>6/24/24</TD>	<TD vAlign=top align=left>(2.865%)</TD>	<TD vAlign=top align=left>USA Non Revised Consumer Price Index- Urban (CPI-U)</TD>	<TD vAlign=bottom align=right>(2,514)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>3,801,000</TD>	<TD vAlign=top align=left><sup><B><I>(E)</I></B></sup></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>6/24/24</TD>	<TD vAlign=top align=left>(2.865%)</TD>	<TD vAlign=top align=left>USA Non Revised Consumer Price Index- Urban (CPI-U)</TD>	<TD vAlign=bottom align=right>(3,267)</TD></TR>
	<TR height=6></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=8><B>Barclays Bank PLC</B></TD></TR>

	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>318,624</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/40</TD>	<TD vAlign=top align=left>5.00% (1 month USD-LIBOR)</TD>	<TD vAlign=top align=left>Synthetic MBX Index 5.00% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>2,903</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>530,171</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/42</TD>	<TD vAlign=top align=left>4.00% (1 month USD-LIBOR)</TD>	<TD vAlign=top align=left>Synthetic TRS Index 4.00% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>(300)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>577,718</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/40</TD>	<TD vAlign=top align=left>5.00% (1 month USD-LIBOR)</TD>	<TD vAlign=top align=left>Synthetic MBX Index 5.00% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>5,264</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>521,831</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/41</TD>	<TD vAlign=top align=left>5.00% (1 month USD-LIBOR)</TD>	<TD vAlign=top align=left>Synthetic MBX Index 5.00% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>4,918</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>7,321,057</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/41</TD>	<TD vAlign=top align=left>4.00% (1 month USD-LIBOR)</TD>	<TD vAlign=top align=left>Synthetic TRS Index 4.00% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>(4,134)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>1,673,950</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/38</TD>	<TD vAlign=top align=left>(6.50%) 1 month USD-LIBOR</TD>	<TD vAlign=top align=left>Synthetic MBX Index 6.50% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>(9,774)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>218,778</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/40</TD>	<TD vAlign=top align=left>4.00% (1 month USD-LIBOR)</TD>	<TD vAlign=top align=left>Synthetic MBX Index 4.00% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>2,426</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>450,242</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/41</TD>	<TD vAlign=top align=left>5.00% (1 month USD-LIBOR)</TD>	<TD vAlign=top align=left>Synthetic MBX Index 5.00% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>4,243</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>2,701,454</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/41</TD>	<TD vAlign=top align=left>5.00% (1 month USD-LIBOR)</TD>	<TD vAlign=top align=left>Synthetic MBX Index 5.00% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>25,460</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>626,432</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/39</TD>	<TD vAlign=top align=left>6.00% (1 month USD-LIBOR)</TD>	<TD vAlign=top align=left>Synthetic TRS Index 6.00% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>(670)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>1,461,940</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/38</TD>	<TD vAlign=top align=left>(6.50%) 1 month USD-LIBOR</TD>	<TD vAlign=top align=left>Synthetic MBX Index 6.50% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>(8,536)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>1,717,224</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/41</TD>	<TD vAlign=top align=left>5.00% (1 month USD-LIBOR)</TD>	<TD vAlign=top align=left>Synthetic MBX Index 5.00% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>16,184</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>520,329</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/40</TD>	<TD vAlign=top align=left>4.00% (1 month USD-LIBOR)</TD>	<TD vAlign=top align=left>Synthetic MBX Index 4.00% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>5,770</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>67,584</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/38</TD>	<TD vAlign=top align=left>6.50% (1 month USD-LIBOR)</TD>	<TD vAlign=top align=left>Synthetic TRS Index 6.50% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>(44)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>231,875</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/41</TD>	<TD vAlign=top align=left>5.00% (1 month USD-LIBOR)</TD>	<TD vAlign=top align=left>Synthetic MBX Index 5.00% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>2,185</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>292,248</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/41</TD>	<TD vAlign=top align=left>5.00% (1 month USD-LIBOR)</TD>	<TD vAlign=top align=left>Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools</TD>	<TD vAlign=bottom align=right>2,389</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>1,350,727</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/41</TD>	<TD vAlign=top align=left>5.00% (1 month USD-LIBOR)</TD>	<TD vAlign=top align=left>Synthetic MBX Index 5.00% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>12,730</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>1,219,935</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/38</TD>	<TD vAlign=top align=left>(6.50%) 1 month USD-LIBOR</TD>	<TD vAlign=top align=left>Synthetic MBX Index 6.50% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>(7,123)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>1,298,388</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/40</TD>	<TD vAlign=top align=left>4.00% (1 month USD-LIBOR)</TD>	<TD vAlign=top align=left>Synthetic MBX Index 4.00% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>14,398</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>246,756</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/40</TD>	<TD vAlign=top align=left>5.00% (1 month USD-LIBOR)</TD>	<TD vAlign=top align=left>Synthetic MBX Index 5.00% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>2,249</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>1,912,533</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/40</TD>	<TD vAlign=top align=left>4.50% (1 month USD-LIBOR)</TD>	<TD vAlign=top align=left>Synthetic MBX Index 4.50% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>17,824</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>7,401,535</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/41</TD>	<TD vAlign=top align=left>5.00% (1 month USD-LIBOR)</TD>	<TD vAlign=top align=left>Synthetic MBX Index 5.00% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>69,757</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>1,615,920</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/41</TD>	<TD vAlign=top align=left>5.00% (1 month USD-LIBOR)</TD>	<TD vAlign=top align=left>Synthetic MBX Index 5.00% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>15,230</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>279,143</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/40</TD>	<TD vAlign=top align=left>5.00% (1 month USD-LIBOR)</TD>	<TD vAlign=top align=left>Synthetic MBX Index 5.00% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>2,544</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>904,979</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/40</TD>	<TD vAlign=top align=left>5.00% (1 month USD-LIBOR)</TD>	<TD vAlign=top align=left>Synthetic MBX Index 5.00% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>8,246</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>656,063</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/40</TD>	<TD vAlign=top align=left>5.00% (1 month USD-LIBOR)</TD>	<TD vAlign=top align=left>Synthetic MBX Index 5.00% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>5,978</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>1,236,247</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/41</TD>	<TD vAlign=top align=left>(4.50%) 1 month USD-LIBOR</TD>	<TD vAlign=top align=left>Synthetic TRS Index 4.50% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>178</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>3,699,336</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/38</TD>	<TD vAlign=top align=left>(6.50%) 1 month USD-LIBOR</TD>	<TD vAlign=top align=left>Synthetic MBX Index 6.50% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>(21,600)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>702,728</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/39</TD>	<TD vAlign=top align=left>(6.00%) 1 month USD-LIBOR</TD>	<TD vAlign=top align=left>Synthetic MBX Index 6.00% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>(4,029)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>3,532,194</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/41</TD>	<TD vAlign=top align=left>(4.50%) 1 month USD-LIBOR</TD>	<TD vAlign=top align=left>Synthetic TRS Index 4.50% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>510</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>565,222</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/39</TD>	<TD vAlign=top align=left>(5.50%) 1 month USD-LIBOR</TD>	<TD vAlign=top align=left>Synthetic MBX Index 5.50% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>(4,416)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>282,658</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/39</TD>	<TD vAlign=top align=left>(5.50%) 1 month USD-LIBOR</TD>	<TD vAlign=top align=left>Synthetic MBX Index 5.50% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>(2,208)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>282,658</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/39</TD>	<TD vAlign=top align=left>(5.50%) 1 month USD-LIBOR</TD>	<TD vAlign=top align=left>Synthetic MBX Index 5.50% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>(2,208)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>567,195</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/39</TD>	<TD vAlign=top align=left>(5.50%) 1 month USD-LIBOR</TD>	<TD vAlign=top align=left>Synthetic MBX Index 5.50% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>(4,432)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>1,473,129</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/39</TD>	<TD vAlign=top align=left>(5.50%) 1 month USD-LIBOR</TD>	<TD vAlign=top align=left>Synthetic MBX Index 5.50% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>(11,510)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>567,195</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/39</TD>	<TD vAlign=top align=left>(5.50%) 1 month USD-LIBOR</TD>	<TD vAlign=top align=left>Synthetic MBX Index 5.50% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>(4,432)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>329,999</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/41</TD>	<TD vAlign=top align=left>4.00% (1 month USD-LIBOR)</TD>	<TD vAlign=top align=left>Synthetic TRS Index 4.00% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>(186)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>839,418</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/41</TD>	<TD vAlign=top align=left>5.00% (1 month USD-LIBOR)</TD>	<TD vAlign=top align=left>Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools</TD>	<TD vAlign=bottom align=right>888</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>505,602</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/41</TD>	<TD vAlign=top align=left>5.00% (1 month USD-LIBOR)</TD>	<TD vAlign=top align=left>Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools</TD>	<TD vAlign=bottom align=right>535</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>509,674</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/41</TD>	<TD vAlign=top align=left>5.00% (1 month USD-LIBOR)</TD>	<TD vAlign=top align=left>Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools</TD>	<TD vAlign=bottom align=right>4,804</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>640,910</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/41</TD>	<TD vAlign=top align=left>5.00% (1 month USD-LIBOR)</TD>	<TD vAlign=top align=left>Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools</TD>	<TD vAlign=bottom align=right>678</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>1,175,311</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/38</TD>	<TD vAlign=top align=left>(6.50%) 1 month USD-LIBOR</TD>	<TD vAlign=top align=left>Synthetic MBX Index 6.50% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>(6,863)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>1,012,647</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/38</TD>	<TD vAlign=top align=left>6.50% (1 month USD-LIBOR)</TD>	<TD vAlign=top align=left>Synthetic TRS Index 6.50% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>(658)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>145,259</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/38</TD>	<TD vAlign=top align=left>6.50% (1 month USD-LIBOR)</TD>	<TD vAlign=top align=left>Synthetic TRS Index 6.50% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>(94)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>1,132,417</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/39</TD>	<TD vAlign=top align=left>(5.50%) 1 month USD-LIBOR</TD>	<TD vAlign=top align=left>Synthetic MBX Index 5.50% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>(8,848)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>153,221</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/38</TD>	<TD vAlign=top align=left>(6.50%) 1 month USD-LIBOR</TD>	<TD vAlign=top align=left>Synthetic MBX Index 6.50% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>(895)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>2,288,582</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/41</TD>	<TD vAlign=top align=left>(5.00%) 1 month USD-LIBOR</TD>	<TD vAlign=top align=left>Synthetic TRS Index 5.00% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>(8,141)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>4,150,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>3/20/24</TD>	<TD vAlign=top align=left>(2.505%)</TD>	<TD vAlign=top align=left>USA Non Revised Consumer Price Index- Urban (CPI-U)</TD>	<TD vAlign=bottom align=right>34,993</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>20,003,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>3/20/16</TD>	<TD vAlign=top align=left>1.795%</TD>	<TD vAlign=top align=left>USA Non Revised Consumer Price Index- Urban (CPI-U)</TD>	<TD vAlign=bottom align=right>(195,929)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>3,440,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>3/21/24</TD>	<TD vAlign=top align=left>(2.505%)</TD>	<TD vAlign=top align=left>USA Non Revised Consumer Price Index- Urban (CPI-U)</TD>	<TD vAlign=bottom align=right>29,051</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>3,169,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>6/24/16</TD>	<TD vAlign=top align=left>(2.24%)</TD>	<TD vAlign=top align=left>USA Non Revised Consumer Price Index- Urban (CPI-U)</TD>	<TD vAlign=bottom align=right>(1,965)</TD></TR>
	<TR height=6></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=8><B>Citibank, N.A.</B></TD></TR>

	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>1,050,416</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/41</TD>	<TD vAlign=top align=left>5.00% (1 month USD-LIBOR)</TD>	<TD vAlign=top align=left>Synthetic MBX Index 5.00% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>9,900</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>2,251,212</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/41</TD>	<TD vAlign=top align=left>5.00% (1 month USD-LIBOR)</TD>	<TD vAlign=top align=left>Synthetic MBX Index 5.00% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>21,217</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>1,965,308</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/41</TD>	<TD vAlign=top align=left>5.00% (1 month USD-LIBOR)</TD>	<TD vAlign=top align=left>Synthetic MBX Index 5.00% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>18,522</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>1,695,930</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/41</TD>	<TD vAlign=top align=left>(4.50%) 1 month USD-LIBOR</TD>	<TD vAlign=top align=left>Synthetic TRS Index 4.50% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>245</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>2,200,059</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/41</TD>	<TD vAlign=top align=left>(4.50%) 1 month USD-LIBOR</TD>	<TD vAlign=top align=left>Synthetic TRS Index 4.50% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>318</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>20,115,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>3/27/16</TD>	<TD vAlign=top align=left>1.7475%</TD>	<TD vAlign=top align=left>USA Non Revised Consumer Price Index- Urban (CPI-U)</TD>	<TD vAlign=bottom align=right>(212,817)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>4,173,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>3/27/24</TD>	<TD vAlign=top align=left>(2.4825%)</TD>	<TD vAlign=top align=left>USA Non Revised Consumer Price Index- Urban (CPI-U)</TD>	<TD vAlign=bottom align=right>44,785</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left>EUR</TD>	<TD vAlign=top align=right>8,270,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>2/21/19</TD>	<TD vAlign=top align=left>(1.235%)</TD>	<TD vAlign=top align=left>Eurostat Eurozone HICP excluding tobacco</TD>	<TD vAlign=bottom align=right>(51,525)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left>EUR</TD>	<TD vAlign=top align=right>4,310,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>2/21/24</TD>	<TD vAlign=top align=left>1.69%</TD>	<TD vAlign=top align=left>Eurostat Eurozone HICP excluding tobacco</TD>	<TD vAlign=bottom align=right>51,227</TD></TR>
	<TR height=6></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=8><B>Credit Suisse International</B></TD></TR>

	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>$900,485</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/41</TD>	<TD vAlign=top align=left>5.00% (1 month USD-LIBOR)</TD>	<TD vAlign=top align=left>Synthetic MBX Index 5.00% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>8,487</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>740,645</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/38</TD>	<TD vAlign=top align=left>(6.50%) 1 month USD-LIBOR</TD>	<TD vAlign=top align=left>Synthetic MBX Index 6.50% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>(4,325)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>1,935,854</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/41</TD>	<TD vAlign=top align=left>(4.50%) 1 month USD-LIBOR</TD>	<TD vAlign=top align=left>Synthetic TRS Index 4.50% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>280</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>1,856,840</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/41</TD>	<TD vAlign=top align=left>(4.50%) 1 month USD-LIBOR</TD>	<TD vAlign=top align=left>Synthetic TRS Index 4.50% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>268</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>3,250,705</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/41</TD>	<TD vAlign=top align=left>(4.50%) 1 month USD-LIBOR</TD>	<TD vAlign=top align=left>Synthetic TRS Index 4.50% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>469</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>1,544,897</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/41</TD>	<TD vAlign=top align=left>(4.50%) 1 month USD-LIBOR</TD>	<TD vAlign=top align=left>Synthetic TRS Index 4.50% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>223</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>1,412,461</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/41</TD>	<TD vAlign=top align=left>5.00% (1 month USD-LIBOR)</TD>	<TD vAlign=top align=left>Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools</TD>	<TD vAlign=bottom align=right>1,494</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>1,427,268</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/41</TD>	<TD vAlign=top align=left>(5.00%) 1 month USD-LIBOR</TD>	<TD vAlign=top align=left>Synthetic TRS Index 5.00% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>(5,077)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>1,582,152</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/41</TD>	<TD vAlign=top align=left>(5.00%) 1 month USD-LIBOR</TD>	<TD vAlign=top align=left>Synthetic TRS Index 5.00% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>(5,628)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>1,469,723</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/41</TD>	<TD vAlign=top align=left>5.00% (1 month USD-LIBOR)</TD>	<TD vAlign=top align=left>Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools</TD>	<TD vAlign=bottom align=right>1,555</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>1,316,496</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/41</TD>	<TD vAlign=top align=left>4.50% (1 month USD-LIBOR)</TD>	<TD vAlign=top align=left>Synthetic TRS Index 4.50% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>(190)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>3,218,402</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>6,537 &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/41</TD>	<TD vAlign=top align=left>(4.00%) 1 month USD-LIBOR</TD>	<TD vAlign=top align=left>Synthetic TRS Index 4.00% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>12,606</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left>EUR</TD>	<TD vAlign=top align=right>2,380,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>3/27/19</TD>	<TD vAlign=top align=left>(1.1913%)</TD>	<TD vAlign=top align=left>Eurostat Eurozone HICP excluding tobacco</TD>	<TD vAlign=bottom align=right>(8,832)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left>EUR</TD>	<TD vAlign=top align=right>8,270,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>2/20/19</TD>	<TD vAlign=top align=left>(1.2225%)</TD>	<TD vAlign=top align=left>Eurostat Eurozone HICP excluding tobacco</TD>	<TD vAlign=bottom align=right>(44,164)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left>EUR</TD>	<TD vAlign=top align=right>4,310,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>2/20/24</TD>	<TD vAlign=top align=left>1.68%</TD>	<TD vAlign=top align=left>Eurostat Eurozone HICP excluding tobacco</TD>	<TD vAlign=bottom align=right>45,089</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left>EUR</TD>	<TD vAlign=top align=right>2,380,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>3/24/19</TD>	<TD vAlign=top align=left>(1.1925%)</TD>	<TD vAlign=top align=left>Eurostat Eurozone HICP excluding tobacco</TD>	<TD vAlign=bottom align=right>(9,027)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left>GBP</TD>	<TD vAlign=top align=right>2,015,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>3/20/19</TD>	<TD vAlign=top align=left>3.05%</TD>	<TD vAlign=top align=left>GBP Non-revised UK Retail Price Index</TD>	<TD vAlign=bottom align=right>9,176</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left>GBP</TD>	<TD vAlign=top align=right>2,015,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>3/25/19</TD>	<TD vAlign=top align=left>3.0413%</TD>	<TD vAlign=top align=left>GBP Non-revised UK Retail Price Index</TD>	<TD vAlign=bottom align=right>7,628</TD></TR>
	<TR height=6></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=8><B>Deutsche Bank AG</B></TD></TR>

	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>$740,645</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/38</TD>	<TD vAlign=top align=left>(6.50%) 1 month USD-LIBOR</TD>	<TD vAlign=top align=left>Synthetic MBX Index 6.50% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>(4,325)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>7,875,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>6/27/16</TD>	<TD vAlign=top align=left>(2.25%)</TD>	<TD vAlign=top align=left>USA Non Revised Consumer Price Index- Urban (CPI-U)</TD>	<TD vAlign=bottom align=right>(6,064)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>2,137,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>7/1/16</TD>	<TD vAlign=top align=left>(2.23%)</TD>	<TD vAlign=top align=left>USA Non Revised Consumer Price Index- Urban (CPI-U)</TD>	<TD vAlign=bottom align=right>(620)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>26,937,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>6/25/16</TD>	<TD vAlign=top align=left>(2.24%)</TD>	<TD vAlign=top align=left>USA Non Revised Consumer Price Index- Urban (CPI-U)</TD>	<TD vAlign=bottom align=right>(13,846)</TD></TR>
	<TR height=6></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=8><B>Goldman Sachs International</B></TD></TR>

	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>864,690</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/39</TD>	<TD vAlign=top align=left>6.00% (1 month USD-LIBOR)</TD>	<TD vAlign=top align=left>Synthetic TRS Index 6.00% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>(925)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>334,123</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/38</TD>	<TD vAlign=top align=left>6.50% (1 month USD-LIBOR)</TD>	<TD vAlign=top align=left>Synthetic TRS Index 6.50% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>(217)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>1,316,073</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/42</TD>	<TD vAlign=top align=left>4.00% (1 month USD-LIBOR)</TD>	<TD vAlign=top align=left>Synthetic TRS Index 4.00% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>(744)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>1,316,073</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/42</TD>	<TD vAlign=top align=left>4.00% (1 month USD-LIBOR)</TD>	<TD vAlign=top align=left>Synthetic TRS Index 4.00% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>(744)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>3,882,409</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/41</TD>	<TD vAlign=top align=left>4.50% (1 month USD-LIBOR)</TD>	<TD vAlign=top align=left>Synthetic TRS Index 4.50% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>(561)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>3,560,178</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/41</TD>	<TD vAlign=top align=left>4.50% (1 month USD-LIBOR)</TD>	<TD vAlign=top align=left>Synthetic TRS Index 4.50% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>(514)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>508,916</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/38</TD>	<TD vAlign=top align=left>(6.50%) 1 month USD-LIBOR</TD>	<TD vAlign=top align=left>Synthetic MBX Index 6.50% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>(2,972)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>191,179</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/38</TD>	<TD vAlign=top align=left>(6.50%) 1 month USD-LIBOR</TD>	<TD vAlign=top align=left>Synthetic MBX Index 6.50% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>(1,116)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>6,628,573</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/41</TD>	<TD vAlign=top align=left>4.50% (1 month USD-LIBOR)</TD>	<TD vAlign=top align=left>Synthetic TRS Index 4.50% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>(957)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>1,669,592</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/41</TD>	<TD vAlign=top align=left>4.50% (1 month USD-LIBOR)</TD>	<TD vAlign=top align=left>Synthetic TRS Index 4.50% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>(241)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>46,657</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/39</TD>	<TD vAlign=top align=left>6.00% (1 month USD-LIBOR)</TD>	<TD vAlign=top align=left>Synthetic TRS Index 6.00% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>(50)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>397,735</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/39</TD>	<TD vAlign=top align=left>6.00% (1 month USD-LIBOR)</TD>	<TD vAlign=top align=left>Synthetic TRS Index 6.00% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>(425)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>919,259</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/40</TD>	<TD vAlign=top align=left>4.00% (1 month USD-LIBOR)</TD>	<TD vAlign=top align=left>Synthetic TRS Index 4.00% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>(1,954)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>418,099</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/39</TD>	<TD vAlign=top align=left>6.00% (1 month USD-LIBOR)</TD>	<TD vAlign=top align=left>Synthetic TRS Index 6.00% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>(447)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>836,199</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/39</TD>	<TD vAlign=top align=left>6.00% (1 month USD-LIBOR)</TD>	<TD vAlign=top align=left>Synthetic TRS Index 6.00% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>(894)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>25,089</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/38</TD>	<TD vAlign=top align=left>6.50% (1 month USD-LIBOR)</TD>	<TD vAlign=top align=left>Synthetic TRS Index 6.50% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>(16)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>3,358,333</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/41</TD>	<TD vAlign=top align=left>4.00% (1 month USD-LIBOR)</TD>	<TD vAlign=top align=left>Synthetic TRS Index 4.00% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>(1,896)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>359,213</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/38</TD>	<TD vAlign=top align=left>(6.50%) 1 month USD-LIBOR</TD>	<TD vAlign=top align=left>Synthetic MBX Index 6.50% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>(2,097)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>697,132</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/38</TD>	<TD vAlign=top align=left>(6.50%) 1 month USD-LIBOR</TD>	<TD vAlign=top align=left>Synthetic MBX Index 6.50% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>(4,070)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>430,963</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/38</TD>	<TD vAlign=top align=left>(6.50%) 1 month USD-LIBOR</TD>	<TD vAlign=top align=left>Synthetic MBX Index 6.50% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>(2,516)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>33,144</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/38</TD>	<TD vAlign=top align=left>(6.50%) 1 month USD-LIBOR</TD>	<TD vAlign=top align=left>Synthetic MBX Index 6.50% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>(194)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>88,322</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/38</TD>	<TD vAlign=top align=left>(6.50%) 1 month USD-LIBOR</TD>	<TD vAlign=top align=left>Synthetic MBX Index 6.50% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>(516)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>3,070,458</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/42</TD>	<TD vAlign=top align=left>4.00% (1 month USD-LIBOR)</TD>	<TD vAlign=top align=left>Synthetic TRS Index 4.00% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>(1,735)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>2,376,607</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/41</TD>	<TD vAlign=top align=left>4.50% (1 month USD-LIBOR)</TD>	<TD vAlign=top align=left>Synthetic TRS Index 4.50% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>(343)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>2,674,672</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/42</TD>	<TD vAlign=top align=left>4.00% (1 month USD-LIBOR)</TD>	<TD vAlign=top align=left>Synthetic TRS Index 4.00% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>(1,512)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>712,365</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/41</TD>	<TD vAlign=top align=left>4.50% (1 month USD-LIBOR)</TD>	<TD vAlign=top align=left>Synthetic TRS Index 4.50% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>(103)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>6,724,000</TD>	<TD vAlign=top align=left><sup><B><I>(E)</I></B></sup></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>6/19/24</TD>	<TD vAlign=top align=left>(2.83%)</TD>	<TD vAlign=top align=left>USA Non Revised Consumer Price Index- Urban (CPI-U)</TD>	<TD vAlign=bottom align=right>(1,883)</TD></TR>
	<TR height=6></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=8><B>JPMorgan Chase Bank N.A.</B></TD></TR>

	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>4,099,008</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/41</TD>	<TD vAlign=top align=left>4.00% (1 month USD-LIBOR)</TD>	<TD vAlign=top align=left>Synthetic TRS Index 4.00% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>(2,314)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>2,592,251</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/41</TD>	<TD vAlign=top align=left>4.50% (1 month USD-LIBOR)</TD>	<TD vAlign=top align=left>Synthetic TRS Index 4.50% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>(374)</TD></TR>
	<TR><TD vAlign=top align=left></TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>2,344,178</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=right>&#8212; &nbsp;&nbsp;&nbsp;&nbsp;</TD>	<TD vAlign=top align=left>1/12/41</TD>	<TD vAlign=top align=left>4.00% (1 month USD-LIBOR)</TD>	<TD vAlign=top align=left>Synthetic TRS Index 4.00% 30 year Fannie Mae pools</TD>	<TD vAlign=bottom align=right>(1,324)</TD></TR>
	<TR><TD colspan=8></TD><TD>
<HR SIZE=2 noShade align=right Width="80%">
</TD></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=3><B>Total</B></td><td align=right><b>$6,537 &nbsp;&nbsp;&nbsp;&nbsp; 				<TD vAlign=bottom align=right colspan=6><B>$(188,444)</B></TD></TR>
	<TR height=15></TR><TR vAlign=top align=right><TD><sup><B><I>(E)</I></B></sup>&nbsp;&nbsp;</TD>	<TD colspan=8 align=left>Extended effective date.</TD></TR>
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	<TR height=15></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=8><FONT size=+1><B>OTC CREDIT DEFAULT CONTRACTS OUTSTANDING at 6/30/14 (Unaudited)</B></FONT></TD></TR>
													<TR height=15></TR><TR vAlign=top align=left><TD></TD>
	<TR><TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=left ><B></B></TD>	<TD vAlign=bottom align=left><B></B></TD>	<TD vAlign=bottom align=right><B>Upfront</B></TD>	<TD vAlign=bottom align=right><B></B></TD>	<TD vAlign=bottom align=right><B></B></TD>	<TD vAlign=bottom align=left><B></B></TD>	<TD vAlign=bottom align=left><B></B></TD>	<TD vAlign=bottom align=left><B>Payments</B></TD>	<TD vAlign=bottom align=right><B></B></TD></TR>
	<TR><TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=left ><B></B></TD>	<TD vAlign=bottom align=left><B></B></TD>	<TD vAlign=bottom align=right><B>premium</B></TD>	<TD vAlign=bottom align=right><B></B></TD>	<TD vAlign=bottom align=right><B></B></TD>	<TD vAlign=bottom align=left><B></B></TD>	<TD vAlign=bottom align=left><B>Termi-</B></TD>	<TD vAlign=bottom align=left><B>received</B></TD>	<TD vAlign=bottom align=right><B>Unrealized</B></TD></TR>
	<TR><TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=left ><B>Swap counterparty/</B></TD>	<TD vAlign=bottom align=left><B></B></TD>	<TD vAlign=bottom align=right><B>received</B></TD>	<TD vAlign=bottom align=right><B></B></TD>	<TD vAlign=bottom align=right><B>Notional</B></TD>	<TD vAlign=bottom align=left><B></B></TD>	<TD vAlign=bottom align=left><B>nation</B></TD>	<TD vAlign=bottom align=left><B>(paid) by fund</B></TD>	<TD vAlign=bottom align=right><B>appreciation/</B></TD></TR>
	<TR><TD vAlign=bottom align=right></TD>	<TD vAlign=bottom align=left ><B>Referenced debt*</B></TD>	<TD vAlign=bottom align=left><B>Rating***</B></TD>	<TD vAlign=bottom align=right><B>(paid)**</B></TD>	<TD vAlign=bottom align=right><B></B></TD>	<TD vAlign=bottom align=right><B>amount</B></TD>	<TD vAlign=bottom align=left><B></B></TD>	<TD vAlign=bottom align=left><B>date</B></TD>	<TD vAlign=bottom align=left><B>per annum</B></TD>	<TD vAlign=bottom align=right><B>(depreciation)</B></TD></TR><TR><TD></TD><TD colspan=9>
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</TD></TR>
	<TR height=6></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=8><B>Bank of America N.A.</B></TD></TR>

	<TR><TD vAlign=top align=right>&nbsp;</TD>	<TD vAlign=top align=left>CMBX NA BBB- Index</TD>	<TD vAlign=top align=left>BBB-/P</TD>	<TD vAlign=top align=right>$16,587</TD>	<TD vAlign=top align=right></TD>	<TD vAlign=top align=right>$291,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>5/11/63</TD>	<TD vAlign=bottom align=left>300 bp</TD>	<TD vAlign=bottom align=right>$22,087</TD></TR>
	<TR><TD vAlign=top align=right>&nbsp;</TD>	<TD vAlign=top align=left>CMBX NA BBB- Index</TD>	<TD vAlign=top align=left>BBB-/P</TD>	<TD vAlign=top align=right>17,409</TD>	<TD vAlign=top align=right></TD>	<TD vAlign=top align=right>282,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>5/11/63</TD>	<TD vAlign=bottom align=left>300 bp</TD>	<TD vAlign=bottom align=right>22,739</TD></TR>
	<TR><TD vAlign=top align=right>&nbsp;</TD>	<TD vAlign=top align=left>CMBX NA BBB- Index</TD>	<TD vAlign=top align=left>BBB-/P</TD>	<TD vAlign=top align=right>8,497</TD>	<TD vAlign=top align=right></TD>	<TD vAlign=top align=right>141,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>5/11/63</TD>	<TD vAlign=bottom align=left>300 bp</TD>	<TD vAlign=bottom align=right>11,162</TD></TR>
	<TR><TD vAlign=top align=right>&nbsp;</TD>	<TD vAlign=top align=left>CMBX NA BBB- Index</TD>	<TD vAlign=top align=left>BBB-/P</TD>	<TD vAlign=top align=right>4,375</TD>	<TD vAlign=top align=right></TD>	<TD vAlign=top align=right>64,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>5/11/63</TD>	<TD vAlign=bottom align=left>300 bp</TD>	<TD vAlign=bottom align=right>5,584</TD></TR>
	<TR height=6></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=8><B>Barclays Bank PLC</B></TD></TR>

	<TR><TD vAlign=top align=right>&nbsp;</TD>	<TD vAlign=top align=left>CMBX NA BBB- Index</TD>	<TD vAlign=top align=left>BBB-/P</TD>	<TD vAlign=top align=right>33,591</TD>	<TD vAlign=top align=right></TD>	<TD vAlign=top align=right>303,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>5/11/63</TD>	<TD vAlign=bottom align=left>300 bp</TD>	<TD vAlign=bottom align=right>39,317</TD></TR>
	<TR height=6></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=8><B>Credit Suisse International</B></TD></TR>

	<TR><TD vAlign=top align=right>&nbsp;</TD>	<TD vAlign=top align=left>CMBX NA BBB- Index</TD>	<TD vAlign=top align=left>BBB-/P</TD>	<TD vAlign=top align=right>28,890</TD>	<TD vAlign=top align=right></TD>	<TD vAlign=top align=right>704,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>5/11/63</TD>	<TD vAlign=bottom align=left>300 bp</TD>	<TD vAlign=bottom align=right>42,196</TD></TR>
	<TR><TD vAlign=top align=right>&nbsp;</TD>	<TD vAlign=top align=left>CMBX NA BBB- Index</TD>	<TD vAlign=top align=left>BBB-/P</TD>	<TD vAlign=top align=right>31,881</TD>	<TD vAlign=top align=right></TD>	<TD vAlign=top align=right>416,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>5/11/63</TD>	<TD vAlign=bottom align=left>300 bp</TD>	<TD vAlign=bottom align=right>39,744</TD></TR>
	<TR><TD vAlign=top align=right>&nbsp;</TD>	<TD vAlign=top align=left>CMBX NA BBB- Index</TD>	<TD vAlign=top align=left>BBB-/P</TD>	<TD vAlign=top align=right>10,467</TD>	<TD vAlign=top align=right></TD>	<TD vAlign=top align=right>344,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>5/11/63</TD>	<TD vAlign=bottom align=left>300 bp</TD>	<TD vAlign=bottom align=right>16,969</TD></TR>
	<TR><TD vAlign=top align=right>&nbsp;</TD>	<TD vAlign=top align=left>CMBX NA BBB- Index</TD>	<TD vAlign=top align=left>BBB-/P</TD>	<TD vAlign=top align=right>6,043</TD>	<TD vAlign=top align=right></TD>	<TD vAlign=top align=right>343,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>5/11/63</TD>	<TD vAlign=bottom align=left>300 bp</TD>	<TD vAlign=bottom align=right>12,526</TD></TR>
	<TR><TD vAlign=top align=right>&nbsp;</TD>	<TD vAlign=top align=left>CMBX NA BBB- Index</TD>	<TD vAlign=top align=left>BBB-/P</TD>	<TD vAlign=top align=right>27,130</TD>	<TD vAlign=top align=right></TD>	<TD vAlign=top align=right>340,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>5/11/63</TD>	<TD vAlign=bottom align=left>300 bp</TD>	<TD vAlign=bottom align=right>33,556</TD></TR>
	<TR><TD vAlign=top align=right>&nbsp;</TD>	<TD vAlign=top align=left>CMBX NA BBB- Index</TD>	<TD vAlign=top align=left>BBB-/P</TD>	<TD vAlign=top align=right>26,325</TD>	<TD vAlign=top align=right></TD>	<TD vAlign=top align=right>340,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>5/11/63</TD>	<TD vAlign=bottom align=left>300 bp</TD>	<TD vAlign=bottom align=right>32,751</TD></TR>
	<TR><TD vAlign=top align=right>&nbsp;</TD>	<TD vAlign=top align=left>CMBX NA BBB- Index</TD>	<TD vAlign=top align=left>BBB-/P</TD>	<TD vAlign=top align=right>22,366</TD>	<TD vAlign=top align=right></TD>	<TD vAlign=top align=right>340,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>5/11/63</TD>	<TD vAlign=bottom align=left>300 bp</TD>	<TD vAlign=bottom align=right>28,792</TD></TR>
	<TR><TD vAlign=top align=right>&nbsp;</TD>	<TD vAlign=top align=left>CMBX NA BBB- Index</TD>	<TD vAlign=top align=left>BBB-/P</TD>	<TD vAlign=top align=right>37,060</TD>	<TD vAlign=top align=right></TD>	<TD vAlign=top align=right>328,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>5/11/63</TD>	<TD vAlign=bottom align=left>300 bp</TD>	<TD vAlign=bottom align=right>43,259</TD></TR>
	<TR><TD vAlign=top align=right>&nbsp;</TD>	<TD vAlign=top align=left>CMBX NA BBB- Index</TD>	<TD vAlign=top align=left>BBB-/P</TD>	<TD vAlign=top align=right>4,963</TD>	<TD vAlign=top align=right></TD>	<TD vAlign=top align=right>323,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>5/11/63</TD>	<TD vAlign=bottom align=left>300 bp</TD>	<TD vAlign=bottom align=right>11,067</TD></TR>
	<TR><TD vAlign=top align=right>&nbsp;</TD>	<TD vAlign=top align=left>CMBX NA BBB- Index</TD>	<TD vAlign=top align=left>BBB-/P</TD>	<TD vAlign=top align=right>20,979</TD>	<TD vAlign=top align=right></TD>	<TD vAlign=top align=right>288,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>5/11/63</TD>	<TD vAlign=bottom align=left>300 bp</TD>	<TD vAlign=bottom align=right>26,423</TD></TR>
	<TR><TD vAlign=top align=right>&nbsp;</TD>	<TD vAlign=top align=left>CMBX NA BBB- Index</TD>	<TD vAlign=top align=left>BBB-/P</TD>	<TD vAlign=top align=right>3,135</TD>	<TD vAlign=top align=right></TD>	<TD vAlign=top align=right>270,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>5/11/63</TD>	<TD vAlign=bottom align=left>300 bp</TD>	<TD vAlign=bottom align=right>8,238</TD></TR>
	<TR><TD vAlign=top align=right>&nbsp;</TD>	<TD vAlign=top align=left>CMBX NA BBB- Index</TD>	<TD vAlign=top align=left>BBB-/P</TD>	<TD vAlign=top align=right>20,934</TD>	<TD vAlign=top align=right></TD>	<TD vAlign=top align=right>263,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>5/11/63</TD>	<TD vAlign=bottom align=left>300 bp</TD>	<TD vAlign=bottom align=right>25,905</TD></TR>
	<TR><TD vAlign=top align=right>&nbsp;</TD>	<TD vAlign=top align=left>CMBX NA BBB- Index</TD>	<TD vAlign=top align=left>BBB-/P</TD>	<TD vAlign=top align=right>2,851</TD>	<TD vAlign=top align=right></TD>	<TD vAlign=top align=right>149,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>5/11/63</TD>	<TD vAlign=bottom align=left>300 bp</TD>	<TD vAlign=bottom align=right>5,667</TD></TR>
	<TR><TD vAlign=top align=right>&nbsp;</TD>	<TD vAlign=top align=left>CMBX NA BB Index</TD>	<TD vAlign=top align=left>&#8212;</TD>	<TD vAlign=top align=right>2,240</TD>	<TD vAlign=top align=right></TD>	<TD vAlign=top align=right>112,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>5/11/63</TD>	<TD vAlign=bottom align=left>(500 bp)</TD>	<TD vAlign=bottom align=right>(530)</TD></TR>
	<TR><TD vAlign=top align=right>&nbsp;</TD>	<TD vAlign=top align=left>CMBX NA BB Index</TD>	<TD vAlign=top align=left>&#8212;</TD>	<TD vAlign=top align=right>(914)</TD>	<TD vAlign=top align=right></TD>	<TD vAlign=top align=right>119,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>5/11/63</TD>	<TD vAlign=bottom align=left>(500 bp)</TD>	<TD vAlign=bottom align=right>(3,857)</TD></TR>
	<TR><TD vAlign=top align=right>&nbsp;</TD>	<TD vAlign=top align=left>CMBX NA BB Index</TD>	<TD vAlign=top align=left>&#8212;</TD>	<TD vAlign=top align=right>(1,140)</TD>	<TD vAlign=top align=right></TD>	<TD vAlign=top align=right>119,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>5/11/63</TD>	<TD vAlign=bottom align=left>(500 bp)</TD>	<TD vAlign=bottom align=right>(4,083)</TD></TR>
	<TR><TD vAlign=top align=right>&nbsp;</TD>	<TD vAlign=top align=left>CMBX NA BB Index</TD>	<TD vAlign=top align=left>&#8212;</TD>	<TD vAlign=top align=right>(1,095)</TD>	<TD vAlign=top align=right></TD>	<TD vAlign=top align=right>120,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>5/11/63</TD>	<TD vAlign=bottom align=left>(500 bp)</TD>	<TD vAlign=bottom align=right>(4,063)</TD></TR>
	<TR><TD vAlign=top align=right>&nbsp;</TD>	<TD vAlign=top align=left>CMBX NA BB Index</TD>	<TD vAlign=top align=left>&#8212;</TD>	<TD vAlign=top align=right>3,449</TD>	<TD vAlign=top align=right></TD>	<TD vAlign=top align=right>223,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>5/11/63</TD>	<TD vAlign=bottom align=left>(500 bp)</TD>	<TD vAlign=bottom align=right>(2,067)</TD></TR>
	<TR><TD vAlign=top align=right>&nbsp;</TD>	<TD vAlign=top align=left>CMBX NA BB Index</TD>	<TD vAlign=top align=left>&#8212;</TD>	<TD vAlign=top align=right>5,994</TD>	<TD vAlign=top align=right></TD>	<TD vAlign=top align=right>227,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>5/11/63</TD>	<TD vAlign=bottom align=left>(500 bp)</TD>	<TD vAlign=bottom align=right>380</TD></TR>
	<TR><TD vAlign=top align=right>&nbsp;</TD>	<TD vAlign=top align=left>CMBX NA BB Index</TD>	<TD vAlign=top align=left>&#8212;</TD>	<TD vAlign=top align=right>2,409</TD>	<TD vAlign=top align=right></TD>	<TD vAlign=top align=right>233,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>5/11/63</TD>	<TD vAlign=bottom align=left>(500 bp)</TD>	<TD vAlign=bottom align=right>(3,354)</TD></TR>
	<TR><TD vAlign=top align=right>&nbsp;</TD>	<TD vAlign=top align=left>CMBX NA BB Index</TD>	<TD vAlign=top align=left>&#8212;</TD>	<TD vAlign=top align=right>(4,646)</TD>	<TD vAlign=top align=right></TD>	<TD vAlign=top align=right>266,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>5/11/63</TD>	<TD vAlign=bottom align=left>(500 bp)</TD>	<TD vAlign=bottom align=right>(11,225)</TD></TR>
	<TR><TD vAlign=top align=right>&nbsp;</TD>	<TD vAlign=top align=left>CMBX NA BB Index</TD>	<TD vAlign=top align=left>&#8212;</TD>	<TD vAlign=top align=right>(1,881)</TD>	<TD vAlign=top align=right></TD>	<TD vAlign=top align=right>360,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>5/11/63</TD>	<TD vAlign=bottom align=left>(500 bp)</TD>	<TD vAlign=bottom align=right>(10,786)</TD></TR>
	<TR><TD vAlign=top align=right>&nbsp;</TD>	<TD vAlign=top align=left>CMBX NA BB Index</TD>	<TD vAlign=top align=left>&#8212;</TD>	<TD vAlign=top align=right>(5,120)</TD>	<TD vAlign=top align=right></TD>	<TD vAlign=top align=right>264,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>5/11/63</TD>	<TD vAlign=bottom align=left>(500 bp)</TD>	<TD vAlign=bottom align=right>(11,650)</TD></TR>
	<TR><TD vAlign=top align=right>&nbsp;</TD>	<TD vAlign=top align=left>CMBX NA BBB- Index</TD>	<TD vAlign=top align=left>BBB-/P</TD>	<TD vAlign=top align=right>(10,067)</TD>	<TD vAlign=top align=right></TD>	<TD vAlign=top align=right>520,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>5/11/63</TD>	<TD vAlign=bottom align=left>300 bp</TD>	<TD vAlign=bottom align=right>(239)</TD></TR>
	<TR><TD vAlign=top align=right>&nbsp;</TD>	<TD vAlign=top align=left>CMBX NA BBB- Index</TD>	<TD vAlign=top align=left>BBB-/P</TD>	<TD vAlign=top align=right>12,140</TD>	<TD vAlign=top align=right></TD>	<TD vAlign=top align=right>281,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>5/11/63</TD>	<TD vAlign=bottom align=left>300 bp</TD>	<TD vAlign=bottom align=right>17,451</TD></TR>
	<TR><TD vAlign=top align=right>&nbsp;</TD>	<TD vAlign=top align=left>CMBX NA BBB- Index</TD>	<TD vAlign=top align=left>BBB-/P</TD>	<TD vAlign=top align=right>6,401</TD>	<TD vAlign=top align=right></TD>	<TD vAlign=top align=right>269,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>5/11/63</TD>	<TD vAlign=bottom align=left>300 bp</TD>	<TD vAlign=bottom align=right>11,485</TD></TR>
	<TR><TD vAlign=top align=right>&nbsp;</TD>	<TD vAlign=top align=left>CMBX NA BBB- Index</TD>	<TD vAlign=top align=left>BBB-/P</TD>	<TD vAlign=top align=right>907</TD>	<TD vAlign=top align=right></TD>	<TD vAlign=top align=right>262,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>5/11/63</TD>	<TD vAlign=bottom align=left>300 bp</TD>	<TD vAlign=bottom align=right>5,859</TD></TR>
	<TR><TD vAlign=top align=right>&nbsp;</TD>	<TD vAlign=top align=left>CMBX NA BBB- Index</TD>	<TD vAlign=top align=left>BBB-/P</TD>	<TD vAlign=top align=right>(4,715)</TD>	<TD vAlign=top align=right></TD>	<TD vAlign=top align=right>261,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>5/11/63</TD>	<TD vAlign=bottom align=left>300 bp</TD>	<TD vAlign=bottom align=right>218</TD></TR>
	<TR><TD vAlign=top align=right>&nbsp;</TD>	<TD vAlign=top align=left>CMBX NA BBB- Index</TD>	<TD vAlign=top align=left>BBB-/P</TD>	<TD vAlign=top align=right>181</TD>	<TD vAlign=top align=right></TD>	<TD vAlign=top align=right>261,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>5/11/63</TD>	<TD vAlign=bottom align=left>300 bp</TD>	<TD vAlign=bottom align=right>5,114</TD></TR>
	<TR><TD vAlign=top align=right>&nbsp;</TD>	<TD vAlign=top align=left>CMBX NA BBB- Index</TD>	<TD vAlign=top align=left>BBB-/P</TD>	<TD vAlign=top align=right>10,720</TD>	<TD vAlign=top align=right></TD>	<TD vAlign=top align=right>224,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>5/11/63</TD>	<TD vAlign=bottom align=left>300 bp</TD>	<TD vAlign=bottom align=right>14,954</TD></TR>
	<TR><TD vAlign=top align=right>&nbsp;</TD>	<TD vAlign=top align=left>CMBX NA BBB- Index</TD>	<TD vAlign=top align=left>&#8212;</TD>	<TD vAlign=top align=right>(13,892)</TD>	<TD vAlign=top align=right></TD>	<TD vAlign=top align=right>296,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>1/17/47</TD>	<TD vAlign=bottom align=left>(300 bp)</TD>	<TD vAlign=bottom align=right>(14,306)</TD></TR>
	<TR><TD vAlign=top align=right>&nbsp;</TD>	<TD vAlign=top align=left>CMBX NA BBB- Index</TD>	<TD vAlign=top align=left>&#8212;</TD>	<TD vAlign=top align=right>(17,005)</TD>	<TD vAlign=top align=right></TD>	<TD vAlign=top align=right>301,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>1/17/47</TD>	<TD vAlign=bottom align=left>(300 bp)</TD>	<TD vAlign=bottom align=right>(17,426)</TD></TR>
	<TR height=6></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=8><B>Deutsche Bank AG</B></TD></TR>

	<TR><TD vAlign=top align=right>&nbsp;</TD>	<TD vAlign=top align=left>Republic of Argentina, 8.28%, 12/31/33</TD>	<TD vAlign=top align=left>CC/F</TD>	<TD vAlign=top align=right>82,444</TD>	<TD vAlign=top align=right></TD>	<TD vAlign=top align=right>705,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>3/20/17</TD>	<TD vAlign=bottom align=left>500 bp</TD>	<TD vAlign=bottom align=right>(140,612)</TD></TR>
	<TR height=6></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=8><B>Goldman Sachs International</B></TD></TR>

	<TR><TD vAlign=top align=right>&nbsp;</TD>	<TD vAlign=top align=left>CMBX NA BB Index</TD>	<TD vAlign=top align=left>&#8212;</TD>	<TD vAlign=top align=right>2,532</TD>	<TD vAlign=top align=right></TD>	<TD vAlign=top align=right>112,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>5/11/63</TD>	<TD vAlign=bottom align=left>(500 bp)</TD>	<TD vAlign=bottom align=right>(238)</TD></TR>
	<TR><TD vAlign=top align=right>&nbsp;</TD>	<TD vAlign=top align=left>CMBX NA BB Index</TD>	<TD vAlign=top align=left>&#8212;</TD>	<TD vAlign=top align=right>(1,143)</TD>	<TD vAlign=top align=right></TD>	<TD vAlign=top align=right>119,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>5/11/63</TD>	<TD vAlign=bottom align=left>(500 bp)</TD>	<TD vAlign=bottom align=right>(4,086)</TD></TR>
	<TR><TD vAlign=top align=right>&nbsp;</TD>	<TD vAlign=top align=left>CMBX NA BBB- Index</TD>	<TD vAlign=top align=left>BBB-/P</TD>	<TD vAlign=top align=right>(4,349)</TD>	<TD vAlign=top align=right></TD>	<TD vAlign=top align=right>261,000</TD>	<TD vAlign=top align=left></TD>	<TD vAlign=top align=left>5/11/63</TD>	<TD vAlign=bottom align=left>300 bp</TD>	<TD vAlign=bottom align=right>584</TD></TR>
	<TR><TD colspan=9></TD><TD>
<HR SIZE=2 noShade align=right Width="80%">
</TD></TR><TR vAlign=top align=left><TD></TD>	<TD colspan=2><B>Total</B></td><td align=right><b>$386,933<TD vAlign=bottom align=right colspan=6><B>$255,505</B></TD></TR>
				<TR height= 30><TD></TD></TR>
	<TR height=15></TR><TR vAlign=top align=right><TD>*&nbsp;&nbsp;</TD>	<TD colspan=9 align=left>Payments related to the referenced debt are made upon a credit default event.&nbsp;&nbsp;</TD></TR>
													<TR height=15></TR><TR vAlign=top align=left><TD></TD>
	<TR height=15></TR><TR vAlign=top align=right><TD>**&nbsp;&nbsp;</TD>	<TD colspan=9 align=left>Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.&nbsp;&nbsp;</TD></TR>
													<TR height=15></TR><TR vAlign=top align=left><TD></TD>
	<TR height=15></TR><TR vAlign=top align=right><TD>***&nbsp;&nbsp;</TD>	<TD colspan=9 align=left>Ratings are presented for credit default contracts in which the fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at June 30, 2014. Securities rated by Putnam are indicated by &#8220;/P.&#8221; Securities rated by Fitch are indicated by &#8220;/F.&#8221;&nbsp;&nbsp;</TD></TR>
													<TR height=15></TR><TR vAlign=top align=left><TD></TD></TABLE>

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<TR height=18></TR><TR><TD></TD><TD colspan=2><FONT size=+1><B><I>Key to holding's currency abbreviations</I></B></FONT></TD></TR>
	<TR vAlign=top><TD></TD><TD>BRL</TD>	<TD>Brazilian Real</TD></TR>
	<TR vAlign=top><TD></TD><TD>CAD</TD>	<TD>Canadian Dollar</TD></TR>
	<TR vAlign=top><TD></TD><TD>CHF</TD>	<TD>Swiss Franc</TD></TR>
	<TR vAlign=top><TD></TD><TD>CLP</TD>	<TD>Chilean Peso</TD></TR>
	<TR vAlign=top><TD></TD><TD>EUR</TD>	<TD>Euro</TD></TR>
	<TR vAlign=top><TD></TD><TD>GBP</TD>	<TD>British Pound</TD></TR>
	<TR vAlign=top><TD></TD><TD>HUF</TD>	<TD>Hungarian Forint</TD></TR>
	<TR vAlign=top><TD></TD><TD>JPY</TD>	<TD>Japanese Yen</TD></TR>
	<TR vAlign=top><TD></TD><TD>MXN</TD>	<TD>Mexican Peso</TD></TR>
	<TR vAlign=top><TD></TD><TD>MYR</TD>	<TD>Malaysian Ringgit</TD></TR>
	<TR vAlign=top><TD></TD><TD>NZD</TD>	<TD>New Zealand Dollar</TD></TR>
	<TR vAlign=top><TD></TD><TD>PLN</TD>	<TD>Polish Zloty</TD></TR>
	<TR vAlign=top><TD></TD><TD>RUB</TD>	<TD>Russian Ruble</TD></TR>
	<TR height=18></TR><TR><TD></TD><TD colspan=2><FONT size=+1><B><I>Key to holding's abbreviations</I></B></FONT></TD></TR>
	<TR vAlign=top><TD></TD><TD>EMTN</TD>	<TD>Euro Medium Term Notes</TD></TR>
	<TR vAlign=top><TD></TD><TD>FRB</TD>	<TD>Floating Rate Bonds:</B> the rate shown is the current interest rate at the close of the reporting period</TD></TR>
	<TR vAlign=top><TD></TD><TD>FRN</TD>	<TD>Floating Rate Notes:</B> the rate shown is the current interest rate at the close of the reporting period</TD></TR>
	<TR vAlign=top><TD></TD><TD>IFB</TD>	<TD>Inverse Floating Rate Bonds, which are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The rate shown is the current interest rate at the close of the reporting period.</TD></TR>
	<TR vAlign=top><TD></TD><TD>IO</TD>	<TD>Interest Only</TD></TR>
	<TR vAlign=top><TD></TD><TD>JSC</TD>	<TD>Joint Stock Company</TD></TR>
	<TR vAlign=top><TD></TD><TD>MTN</TD>	<TD>Medium Term Notes</TD></TR>
	<TR vAlign=top><TD></TD><TD>OAO</TD>	<TD>Open Joint Stock Company</TD></TR>
	<TR vAlign=top><TD></TD><TD>OJSC</TD>	<TD>Open Joint Stock Company</TD></TR>
	<TR vAlign=top><TD></TD><TD>PO</TD>	<TD>Principal Only</TD></TR>
	<TR vAlign=top><TD></TD><TD>REGS</TD>	<TD>Securities sold under Regulation S may not be offered, sold or delivered within the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.</TD></TR>
	<TR vAlign=top><TD></TD><TD>TBA</TD>	<TD>To Be Announced Commitments</TD></TR>					</TABLE>
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<TD width="13%"></TD></TR>
<TR height=60></TR><TR vAlign=top><TD align=right></TD>	<TD colspan=2><FONT size=+1><B>Notes to the fund's portfolio</B></FONT></TD></TR>
	<TR vAlign=top><TD align=right></TD>	<TD colspan=6>Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from January 1, 2014 through June 30, 2014 (the reporting period). Within the following notes to the portfolio, references to &#8220;ASC 820&#8221; represent Accounting Standards Codification 820&nbsp;<I>Fair Value Measurements and Disclosures</I>, references to &#8220;Putnam Management&#8221; represent Putnam Investment Management, LLC, the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC and references to &#8220;OTC&#8221;, if any, represent over-the-counter.</TD></TR>
	<TR vAlign=top><TD align=right><sup><B><I>(a)</I></B></sup></TD>	<TD colspan=6>Percentages indicated are based on net assets of $337,363,553.</TD></TR>
	<TR vAlign=top><TD align=right><sup><B><I>(b)</I></B></sup></TD>	<TD colspan=6>The aggregate identified cost on a tax basis is $387,476,426, resulting in gross unrealized appreciation and depreciation of $20,009,401 and $2,976,249, respectively, or net unrealized appreciation of $17,033,152.</TD></TR>
	<TR vAlign=top><TD align=right><sup><B><I>(NON)</I></B></sup></TD>	<TD colspan=6>Non-income-producing security.</TD></TR>
	<TR vAlign=top><TD align=right><sup><B><I>(STP)</I></B></sup></TD>	<TD colspan=6>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.</TD></TR>
	<TR vAlign=top><TD align=right><sup><B><I>(PIK)</I></B></sup></TD>	<TD colspan=6>Income may be received in cash or additional securities at the discretion of the issuer.</TD></TR>
	<TR vAlign=top><TD align=right><sup><B><I>(AFF)</I></B></sup></TD>	<TD colspan=6>Affiliated company. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. Transactions during the period with Putnam Short Term Investment Fund, which is under common ownership and control, were as follows:</TD></TR>
		<TR vAlign=bottom><TD></TD><TD><b>Name of affiliate</TD>	<TD align=right><b>Fair value at the beginning of the reporting period</TD>	<TD align=right><b>Purchase cost</TD>	<TD align=right><b>Sale proceeds</TD>	<TD align=right><b>Investment income</TD>	<TD align=right><b>Fair value at the end of the reporting period</TD></TR>

	<TD></td><TD colspan=6><HR weight=1 noshade></TD></TR>
		<TR vAlign=bottom><TD></TD><TD>Putnam Short Term Investment Fund *</TD>	<TD align=right>$8,442,892</TD>	<TD align=right>$104,899,654</TD>	<TD align=right>$109,051,040</TD>	<TD align=right>$5,547</TD>	<TD align=right>$4,291,506</TD></TR>
		<TD></td><TD colspan=6><HR weight=1 noshade></TD></TR>
<TR vAlign=top><TD align=right></TD>	<TD colspan=6>* Management fees charged to Putnam Short Term Investment Fund have been waived by Putnam Management.</TD></TR>
	<TR vAlign=top><TD align=right><sup><B><I>(SEG)</I></B></sup></TD>	<TD colspan=6>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.</TD></TR>
	<TR vAlign=top><TD align=right><sup><B><I>(SEGSF)</I></B></sup></TD>	<TD colspan=6>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.</TD></TR>
	<TR vAlign=top><TD align=right><sup><B><I>(SEGCCS)</TD>	<TD colspan=6>This security, in part or in entirety, was pledged and segregated with the custodian for collateral on the initial margin on certain centrally cleared derivative contracts at the close of the reporting period.</TD></TR>
	<TR vAlign=top><TD align=right><sup><B><I>(FWC)</I></B></sup></TD>	<TD colspan=6>Forward commitment, in part or in entirety.</TD></TR>
	<TR vAlign=top><TD align=right><sup><B><I>(c)</I></B></sup></TD>	<TD colspan=6>Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown. Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities.</TD></TR>
	<TR vAlign=top><TD align=right></TD>	<TD colspan=6>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.</TD></TR>
	<TR vAlign=top><TD align=right><sup><B><I>(F)</I></B></sup></TD>	<TD colspan=6>Security 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' valuation inputs.</TD></TR>
	<TR vAlign=top><TD align=right><sup><B><I>(R)</I></B></sup></TD>	<TD colspan=6>Real Estate Investment Trust.</TD></TR>
	<TR vAlign=top><TD align=right><sup><B><I>(U)</I></B></sup></TD>	<TD colspan=6>This security, in part or in entirety, represents an unfunded loan commitment. As of the close of the reporting period, the fund had unfunded loan commitments of $38,158, which could be extended at the option of the borrower, pursuant to the following loan agreements with the following borrower:</TD></TR>
		<TR vAlign=bottom><TD></TD><TD>Borrower</TD>	<TD align=right>Unfunded commitments</TD>	<TD align=right></TD>	<TD align=right></TD>	<TD align=right></TD>	<TD align=right></TD></TR>
		<TR vAlign=bottom><TD></TD><TD>WR Grace & Co.</TD>	<TD align=right>$38,158</TD>	<TD align=right></TD>	<TD align=right></TD>	<TD align=right></TD>	<TD align=right></TD></TR>
		<TR vAlign=bottom><TD></TD><TD><B>Totals</B></TD>	<TD align=right><B>$38,158</B></TD>	<TD align=right><B></B></TD>	<TD align=right><B></B></TD>	<TD align=right><B></B></TD>	<TD align=right><B></TD></TR>
	<TR vAlign=top><TD align=right></TD>	<TD colspan=6>At the close of the reporting period, the fund maintained liquid assets totaling $169,897,137 to cover certain derivatives contracts and delayed delivery securities.</TD></TR>
	<TR vAlign=top><TD align=right></TD>	<TD colspan=6>Debt obligations are considered secured unless otherwise indicated.</TD></TR>
	<TR vAlign=top><TD align=right></TD>	<TD colspan=6>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.</TD></TR>
	<TR vAlign=top><TD align=right></TD>	<TD colspan=6>The dates shown on debt obligations are the original maturity dates.</TD></TR>
		<TR><TD></TD><TD colspan=2><FONT size=+0><B>DIVERSIFICATION BY COUNTRY</B></FONT></TD></TR>	<TD></TD></TR>
		<TR><TD></TD><TD colspan=4>Distribution of investments by country of risk at the close of the reporting period, excluding collateral received, if any (as a percentage of Portfolio Value):</TD>	<TD align=right></TD></TR>
		<TR><TD></TD><TD>United States</TD>	<TD align=right>79.7%</TD></TR>
		<TR><TD></TD><TD>Greece</TD>	<TD align=right>3.5</TD></TR>
		<TR><TD></TD><TD>Russia</TD>	<TD align=right>3.1</TD></TR>
		<TR><TD></TD><TD>Argentina</TD>	<TD align=right>2.5</TD></TR>
		<TR><TD></TD><TD>Venezuela</TD>	<TD align=right>1.7</TD></TR>
		<TR><TD></TD><TD>United Kingdom</TD>	<TD align=right>1.3</TD></TR>
		<TR><TD></TD><TD>Luxembourg</TD>	<TD align=right>1.2</TD></TR>
		<TR><TD></TD><TD>Brazil</TD>	<TD align=right>1.0</TD></TR>
		<TR><TD></TD><TD>Canada</TD>	<TD align=right>0.9</TD></TR>
		<TR><TD></TD><TD>Mexico</TD>	<TD align=right>0.7</TD></TR>
		<TR><TD></TD><TD>Indonesia</TD>	<TD align=right>0.6</TD></TR>
		<TR><TD></TD><TD>Ukraine</TD>	<TD align=right>0.5</TD></TR>
		<TR><TD></TD><TD>Germany</TD>	<TD align=right>0.5</TD></TR>
		<TR><TD></TD><TD>Turkey</TD>	<TD align=right>0.5</TD></TR>
		<TR><TD></TD><TD>Other</TD>	<TD align=right>2.3</TD></TR>
		<TR height=3><TD></TD><TD></TD><TD><HR weight=2 width="75%" noshade align=right></TD><TR><TD></TD><TD><B>Total</B></TD>	<TD align=right><B>100.0%</B></TD ></TR><TR height=9></TR>
	<TR vAlign=top><TD align=right></TD>	<TD colspan=6><B>Security valuation:</B> 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 under ASC 820. If no sales are reported, as in the case of some securities that are traded OTC, a security is valued at its last reported bid price and is generally categorized as a Level 2 security.</TD></TR>
	<TR vAlign=top><TD align=right></TD>	<TD colspan=6>Investments in open-end investment companies (excluding exchange traded funds), if any, which can be classified as Level 1 or Level 2 securities, are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares.</TD></TR>
	<TR vAlign=top><TD align=right></TD>	<TD colspan=6>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 consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2. Short-term securities with remaining maturities of 60 days or less may be valued at amortized cost, which approximates fair value and are classified as Level 2 securities.</TD></TR>
	<TR vAlign=top><TD align=right></TD>	<TD colspan=6>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 would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. 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.</TD></TR>
	<TR vAlign=top><TD align=right></TD>	<TD colspan=6>To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures and recovery rates. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.</TD></TR>
	<TR vAlign=top><TD align=right></TD>	<TD colspan=6>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.</TD></TR>
	<TR vAlign=top><TD align=right></TD>	<TD colspan=6><B>Stripped securities:</B> 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 fair value of these securities is highly sensitive to changes in interest rates.</TD></TR>
	<TR vAlign=top><TD align=right></TD>	<TD colspan=6><B>Options contracts:</B> The fund used options contracts to isolate prepayment risk.</TD></TR>
	<TR vAlign=top><TD align=right></TD>	<TD colspan=6>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.</TD></TR>
	<TR vAlign=top><TD align=right></TD>	<TD colspan=6>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. OTC traded options are valued using prices supplied by dealers.</TD></TR>
	<TR vAlign=top><TD align=right></TD>	<TD colspan=6>Options on swaps are similar to options on securities except that the premium paid or received is to buy or grant the right to enter into a previously agreed upon interest rate or credit default contract. Forward premium swap options contracts include premiums that have extended settlement dates. The delayed settlement of the premiums is factored into the daily valuation of the option contracts. In the case of interest rate cap and floor contracts, in return for a premium, ongoing payments between two parties are based on interest rates exceeding a specified rate, in the case of a cap contract, or falling below a specified rate in the case of a floor contract.</TD></TR>
	<TR vAlign=top><TD align=right></TD>	<TD colspan=6>For the fund's average contract amount on options contracts, see the appropriate table at the end of these footnotes.</TD></TR>
	<TR vAlign=top><TD align=right></TD>	<TD colspan=6><B>Futures contracts:</B> The fund used futures contracts to manage exposure to market risk and to gain exposure to interest rates .</TD></TR>
	<TR vAlign=top><TD align=right></TD>	<TD colspan=6>The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange&#8217;s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. 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.</TD></TR>
	<TR vAlign=top><TD align=right></TD>	<TD colspan=6>Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as &#8220;variation margin&#8221;.</TD></TR>
	<TR vAlign=top><TD align=right></TD>	<TD colspan=6>For the fund's average number of futures contracts, see the appropriate table at the end of these footnotes.</TD></TR>
	<TR vAlign=top><TD align=right></TD>	<TD colspan=6><B>Forward currency contracts:</B> 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 were used to hedge foreign exchange risk and to gain exposure on currency.</TD></TR>
	<TR vAlign=top><TD align=right></TD>	<TD colspan=6>The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The fair value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in fair 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.</TD></TR>
	<TR vAlign=top><TD align=right></TD>	<TD colspan=6>For the fund's average contract amount on forward currency contracts, see the appropriate table at the end of these footnotes.</TD></TR>
	<TR vAlign=top><TD align=right></TD>	<TD colspan=6><B>Interest rate swap contracts:</B> The fund entered into OTC and/or centrally cleared 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.</TD></TR>
	<TR vAlign=top><TD align=right></TD>	<TD colspan=6>An OTC and centrally cleared interest rate swap can be purchased or sold with an upfront premium. For OTC interest rate swap contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. OTC and centrally cleared interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change is recorded as an unrealized gain or loss on OTC interest rate swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the reset date or the closing of the contract. Certain OTC and centrally cleared interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract.</TD></TR>
	<TR vAlign=top><TD align=right></TD>	<TD colspan=6>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, in the case of OTC interest rate contracts, or the central clearing agency or a clearing member defaults, in the case of centrally cleared interest rate swap contracts, on its respective obligation to perform under the contract. The fund&#8217;s maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC interest rate swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared interest rate swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared interest rate swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default.</TD></TR>
	<TR vAlign=top><TD align=right></TD>	<TD colspan=6>For the fund's average notional amount on interest rate swap contracts, see the appropriate table at the end of these footnotes.</TD></TR>
	<TR vAlign=top><TD align=right></TD>	<TD colspan=6><B>Total return swap contracts:</B> The fund entered into OTC 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 and to hedge inflation in specific regions or countries.</TD></TR>
	<TR vAlign=top><TD align=right></TD>	<TD colspan=6>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. OTC 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 OTC 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&#8217;s maximum risk of loss from counterparty risk is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the fund and the counterparty.</TD></TR>
	<TR vAlign=top><TD align=right></TD>	<TD colspan=6>For the fund's average notional amount on OTC total return swap contracts, see the appropriate table at the end of these footnotes.</TD></TR>
	<TR vAlign=top><TD align=right></TD>	<TD colspan=6><B>Credit default contracts:</B> The fund entered into OTC and/or centrally cleared credit default contracts to hedge credit risk, to hedge market risk and to gain exposure on individual names and/or baskets of securities.</TD></TR>
	<TR vAlign=top><TD align=right></TD>	<TD colspan=6>In OTC and centrally cleared credit default contracts, the protection buyer typically makes 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. For OTC credit default contracts, an upfront payment received by the fund is recorded as a liability on the fund&#8217;s books. An upfront payment made by the fund is recorded as an asset on the fund&#8217;s books. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and fair value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.</TD></TR>
	<TR vAlign=top><TD align=right></TD>	<TD colspan=6>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 OTC and centrally cleared credit default contracts which would mitigate its risk of loss. The fund&#8217;s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. 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.</TD></TR>
	<TR vAlign=top><TD align=right></TD>	<TD colspan=6>For the fund's average notional amount on credit default contracts, see the appropriate table at the end of these footnotes.</TD></TR>
	<TR vAlign=top><TD align=right></TD>	<TD colspan=6><B>Master agreements:</B> The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements, that govern OTC derivative and foreign exchange contracts, and Master Securities Forward Transaction Agreements, that govern transactions involving mortgage backed and other asset backed securities that may result in delayed delivery (Master Agreements) with certain counterparties entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties' 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's custodian and with respect to those amounts which can be sold or repledged, are presented in the fund's portfolio.</TD></TR>
	<TR vAlign=top><TD align=right></TD>	<TD colspan=6>Collateral pledged by the fund is segregated by the fund&#8217;s custodian and identified in the fund&#8217;s portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund&#8217;s net position with each counterparty.</TD></TR>
	<TR vAlign=top><TD align=right></TD>	<TD colspan=6>With respect to ISDA Master Agreements, termination events applicable to the fund may occur upon a decline in the fund&#8217;s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty&#8217;s long-term or short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund&#8217;s counterparties to elect early termination could impact the fund&#8217;s future derivative activity.</TD></TR>
	<TR vAlign=top><TD align=right></TD>	<TD colspan=6>At the close of the reporting period, the fund had a net liability position of $3,041,037 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $2,964,677 and may include amounts related to unsettled agreements.</TD></TR>
	<TR vAlign=top><TD align=right></TD>	<TD colspan=6><B>TBA commitments:</B> 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 and par amount, have been established, the actual securities have not been specified. 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.</TD></TR>
	<TR vAlign=top><TD align=right></TD>	<TD colspan=6>The fund may also enter into TBA sale commitments to hedge its portfolio positions or to sell mortgage-backed securities it owns under delayed delivery arrangements. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as &#8220;cover&#8221; for the transaction. 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.</TD></TR>
	<TR vAlign=top><TD align=right></TD>	<TD colspan=6>TBA commitments, which are accounted for as purchase and sale transactions, may be considered securities themselves, and involve a risk of loss due to changes in the value of the security prior to the settlement date as well as the risk that the counterparty to the transaction will not perform. Counterparty risk is mitigated by having a master agreement between the fund and the counterparty.</TD></TR>
	<TR vAlign=top><TD align=right></TD>	<TD colspan=6>Unsettled TBA commitments are valued at their fair value according to the procedures described under &#8220;Security valuation&#8221; above. The contract is marked to market daily and the change in fair value is recorded by the fund as an unrealized gain or loss. Based on market circumstances, Putnam Management will determine whether to take delivery of the underlying securities or to dispose of the TBA commitments prior to settlement.</TD></TR>					</TABLE>


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	<TR vAlign=top align=left><TD></TD>	<TD colspan=4>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 follows:</TD></TR>
	<TR vAlign=top align=left><TD></TD>	<TD colspan=4><B>Level 1:</B> Valuations based on quoted prices for identical securities in active markets.</TD></TR>
	<TR vAlign=top align=left><TD></TD>	<TD colspan=4><B>Level 2:</B> Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly.</TD></TR>

	<TR vAlign=top align=left><TD></TD>	<TD colspan=4><B>Level 3:</B> Valuations based on inputs that are unobservable and significant to the fair value measurement.</TD></TR>
	<TR vAlign=top align=left><TD></TD>	<TD colspan=4>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:</TD></TR>
	<TR><TD><BR></TD>			<TD></TD><TD></TD><TD align=right><B>Valuation inputs</B></TD>							</TR>
						<TR><TD></TD><TD colspan=4>
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	<TR><TD></TD>	<TD><B><B>Investments in securities:</B></B></TD>	<TD align=right><B>Level 1</B></TD>	<TD align=right><B>Level 2</B></TD>	<TD align=right><B>Level 3</B></TD>						</TR>
	<TR><TD></TD>	<TD><B><B>Common stocks*:</B></B></TD>	<TD align=right><B></B></TD>	<TD align=right><B></B></TD>	<TD align=right><B></B></TD>						</TR>
	<TR><TD></TD>	<TD>&nbsp;&nbsp;&nbsp;&nbsp;Consumer cyclicals</TD>	<TD align=right>&#8212;</TD>	<TD align=right>&#8212;</TD>	<TD align=right>10,017</TD>						</TR>
	<TR><TD></TD>	<TD>&nbsp;&nbsp;&nbsp;&nbsp;Energy</TD>	<TD align=right>&#8212;</TD>	<TD align=right>&#8212;</TD>	<TD align=right>1,996</TD>						</TR>
	<TR><TD></TD>	<TD><B>Total common stocks</B></TD>	<TD align=right><B>&#8212;</B></TD>	<TD align=right><B>&#8212;</B></TD>	<TD align=right><B>12,013</B></TD>						</TR>
	<TR><TD></TD>	<TD>Convertible bonds and notes</TD>	<TD align=right>$&#8212;</TD>	<TD align=right>$246,154</TD>	<TD align=right>$&#8212;</TD>						</TR>
	<TR><TD></TD>	<TD>Convertible preferred stocks</TD>	<TD align=right>136,899</TD>	<TD align=right>&#8212;</TD>	<TD align=right>&#8212;</TD>						</TR>
	<TR><TD></TD>	<TD>Corporate bonds and notes</TD>	<TD align=right>&#8212;</TD>	<TD align=right>109,465,193</TD>	<TD align=right>4</TD>						</TR>
	<TR><TD></TD>	<TD>Foreign government and agency bonds and notes</TD>	<TD align=right></TD>	<TD align=right>39,502,961</TD>	<TD align=right></TD>						</TR>
	<TR><TD></TD>	<TD>Mortgage-backed securities</TD>	<TD align=right>&#8212;</TD>	<TD align=right>163,031,956</TD>	<TD align=right>&#8212;</TD>						</TR>
	<TR><TD></TD>	<TD>Preferred stocks</TD>	<TD align=right>&#8212;</TD>	<TD align=right>458,981</TD>	<TD align=right>&#8212;</TD>						</TR>
	<TR><TD></TD>	<TD>Purchased options outstanding</TD>	<TD align=right>&#8212;</TD>	<TD align=right>2,031,083</TD>	<TD align=right>&#8212;</TD>						</TR>
	<TR><TD></TD>	<TD>Purchased swap options outstanding</TD>	<TD align=right>&#8212;</TD>	<TD align=right>299,819</TD>	<TD align=right>&#8212;</TD>						</TR>
	<TR><TD></TD>	<TD>Senior loans</TD>	<TD align=right>&#8212;</TD>	<TD align=right>7,303,868</TD>	<TD align=right>&#8212;</TD>						</TR>
	<TR><TD></TD>	<TD>U.S. government and agency mortgage obligations</TD>	<TD align=right>&#8212;</TD>	<TD align=right>67,229,299</TD>	<TD align=right>&#8212;</TD>						</TR>
	<TR><TD></TD>	<TD>Warrants</TD>	<TD align=right>&#8212;</TD>	<TD align=right>2,260</TD>	<TD align=right>&#8212;</TD>						</TR>
	<TR><TD></TD>	<TD>Short-term investments</TD>	<TD align=right>4,291,506</TD>	<TD align=right>10,497,582</TD>	<TD align=right>&#8212;</TD>						</TR>
	<TR><TD></TD><TD></TD>
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<TR><TD></TD>	<TD><B>Totals by level</B></TD>	<TD align=right><B>$4,428,405</B></TD>	<TD align=right><B>$400,069,156</B></TD>	<TD align=right><B>$12,017</B></TD>
						<TR><TD><BR><BR></TD></TR>
	<TR><TD><BR></TD>			<TD></TD><TD></TD><TD align=right><B>Valuation inputs</B></TD>							</TR>
						<TR><TD></TD><TD colspan=4>
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	<TR><TD></TD>	<TD><B><B>Other financial instruments:</B></B></TD>	<TD align=right><B>Level 1</B></TD>	<TD align=right><B>Level 2</B></TD>	<TD align=right><B>Level 3</B></TD>
						<TR><TD></TD></TR>
	<TR><TD></TD>	<TD>Forward currency contracts</TD>	<TD align=right>$&#8212;</TD>	<TD align=right>$(522,772)</TD>	<TD align=right>$&#8212;</TD>						</TR>
	<TR><TD></TD>	<TD>Futures contracts</TD>	<TD align=right>(446,314)</TD>	<TD align=right>&#8212;</TD>	<TD align=right>&#8212;</TD>						</TR>
	<TR><TD></TD>	<TD>Written options outstanding</TD>	<TD align=right>&#8212;</TD>	<TD align=right>(1,883,100)</TD>	<TD align=right>&#8212;</TD>						</TR>
	<TR><TD></TD>	<TD>Written swap options outstanding</TD>	<TD align=right>&#8212;</TD>	<TD align=right>(1,934,607)</TD>	<TD align=right>&#8212;</TD>						</TR>
	<TR><TD></TD>	<TD>Forward premium swap option contracts</TD>	<TD align=right>&#8212;</TD>	<TD align=right>(146,213)</TD>	<TD align=right>&#8212;</TD>						</TR>
	<TR><TD></TD>	<TD>TBA sale commitments</TD>	<TD align=right>&#8212;</TD>	<TD align=right>(11,914,375)</TD>	<TD align=right>&#8212;</TD>						</TR>
	<TR><TD></TD>	<TD>Interest rate swap contracts</TD>	<TD align=right>&#8212;</TD>	<TD align=right>(3,056,361)</TD>	<TD align=right>&#8212;</TD>						</TR>
	<TR><TD></TD>	<TD>Total return swap contracts</TD>	<TD align=right>&#8212;</TD>	<TD align=right>(194,981)</TD>	<TD align=right>&#8212;</TD>						</TR>
	<TR><TD></TD>	<TD>Credit default contracts</TD>	<TD align=right>&#8212;</TD>	<TD align=right>(131,428)</TD>	<TD align=right>&#8212;</TD>						</TR>
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<TR><TD></TD>	<TD><B>Totals by level</B></TD>	<TD align=right><B>$(446,314)</B></TD>	<TD align=right><B>$(19,783,837)</B></TD>	<TD align=right><B>$&#8212;</B></TD>
						<TR><TD><BR><BR></TD></TR>
	<TR vAlign=top align=left><TD></TD>	<TD colspan=4>* Common stock classifications are presented at the sector level, which may differ from the fund's portfolio presentation.</TD></TR>
	<TR vAlign=top align=left><TD></TD>	<TD colspan=4>At the start and close of the reporting period, Level 3 investments in securities were not considered a significant portion of the fund's portfolio.</TD></TR>
	<TR><TD></TD>	<TD><b><br>Fair Value of Derivative Instruments as of the close of the reporting period</TD>	<TD align=right></TD>	<TD align=right></TD>	<TD align=right></TD>						</TR>
	<TR><TD></TD>	<TD><B></B></TD>	<TD align=right><B>Asset derivatives</B></TD>	<TD align=right><B>Liability derivatives</B></TD>
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	<TD align=right><B></B></TD>						</TR>
	<TR><TD></TD>	<TD><b>Derivatives not accounted for as hedging instruments under ASC 815</TD>	<TD align=right><b>Fair value</TD>	<TD align=right><b>Fair value</TD>	<TD align=right></TD>						</TR>
	<TR><TD></TD>	<TD>Credit contracts</TD>	<TD align=right>$148,707</TD>	<TD align=right>$280,135</TD>							</TR>
	<TR><TD></TD>	<TD>Foreign exchange contracts</TD>	<TD align=right>577,684</TD>	<TD align=right>1,100,456</TD>							</TR>
	<TR><TD></TD>	<TD>Equity contracts</TD>	<TD align=right>2,260</TD>	<TD align=right>&#8212;</TD>							</TR>
	<TR><TD></TD>	<TD>Interest rate contracts</TD>	<TD align=right>5,639,482</TD>	<TD align=right>10,970,156</TD>							</TR>
	<TR><TD></TD><TD></TD>
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<TR><TD></TD>	<TD><B>Total</B></TD>	<TD align=right><B>$6,368,133</B></TD>	<TD align=right><B>$12,350,747</B></TD>	<TD align=right><B></B></TD>
						<TR><TD><BR><BR></TD></TR>
	<TR vAlign=top align=left><TD></TD>	<TD colspan=4>The volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was as follows based on an average of the holdings of that derivative at the end of each fiscal quarter in the reporting period:</TD></TR>
	<TR vAlign=top align=left><TD></TD>	<TD colspan=2>Purchased TBA commitment option contracts (contract amount)</td><td align=right>$96,300,000
	<TR vAlign=top align=left><TD></TD>	<TD colspan=2>Purchased swap option contracts (contract amount)</td><td align=right>$153,700,000</td></tr>
	<TR vAlign=top align=left><TD></TD>	<TD colspan=2>Written TBA commitment option contracts (contract amount) (Note 3)</td><td align=right>	$192,600,000</td></tr>
	<TR vAlign=top align=left><TD></TD>	<TD colspan=2>Written swap option contracts (contract amount)</td><td align=right>$210,800,000</td></tr>
	<TR vAlign=top align=left><TD></TD>	<TD colspan=2>Futures contracts (number of contracts)</td><td align=right>	800</td></tr>
	<TR vAlign=top align=left><TD></TD>	<TD colspan=2>Forward currency contracts (contract amount)</td><td align=right>$227,800,000	</td></tr>
	<TR vAlign=top align=left><TD></TD>	<TD colspan=2>OTC interest rate swap contracts (notional)</td><td align=right>$631,600,000</td></tr>
	<TR vAlign=top align=left><TD></TD>	<TD colspan=2>Centrally cleared interest rate swap contracts (notional)</td><td align=right>$1,215,500,000</td></tr>
	<TR vAlign=top align=left><TD></TD>	<TD colspan=2>OTC total return swap contracts (notional)</td><td align=right>$284,400,000</td></tr>
	<TR vAlign=top align=left><TD></TD>	<TD colspan=2>OTC credit default contracts (notional)</td><td align=right>$10,400,000</td></tr>
	<TR vAlign=top align=left><TD></TD>	<TD colspan=2>Centrally cleared credit default contracts (notional)</td><td align=right>$1,500,000</td></tr>
	<TR vAlign=top align=left><TD></TD>	<TD colspan=2>Warrants (number of warrants)</td><td align=right>20</td></tr>


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    <TD STYLE="vertical-align: bottom; text-align: right">&nbsp;</td>
    <TD COLSPAN="17" STYLE="font-size: 12pt; vertical-align: middle; text-align: left"><br>The following table summarizes any derivatives, repurchase agreements and reverse repurchase agreements, at the end of the reporting period, that are subject to an enforceable master netting agreement or similar agreement. For securities lending transactions, if applicable, see note &quot;(d)&quot; above, and for borrowing transactions associated with securities sold short, if applicable, see the &quot;Short sales of securities&quot; note above.</td></tr>
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    <TD STYLE="text-align: right; width: 1%">&nbsp;</td>
    <TD STYLE="width: 15%">&nbsp;</td>
    <TD STYLE="width: 1%">&nbsp;</td>
    <TD STYLE="font-weight: bold; text-align: right; width: 9%; vertical-align: bottom">Bank of America N.A.</td>
    <TD STYLE="font-weight: bold; text-align: right; width: 5%; vertical-align: bottom">Barclays Bank PLC</td>
    <TD STYLE="font-weight: bold; text-align: right; width: 6%; vertical-align: bottom">Barclays Capital Inc. (clearing broker)</td>
    <TD STYLE="font-weight: bold; text-align: right; width: 5%; vertical-align: bottom">Citibank, N.A.</td>
    <TD STYLE="font-weight: bold; text-align: right; width: 5%; vertical-align: bottom">Credit Suisse International</td>
    <TD STYLE="font-weight: bold; text-align: right; width: 6%; vertical-align: bottom">Deutsche Bank AG</td>
    <TD STYLE="font-weight: bold; text-align: right; width: 6%; vertical-align: bottom">Goldman Sachs International</td>
    <TD STYLE="font-weight: bold; text-align: right; width: 6%; vertical-align: bottom">HSBC Bank USA, National Association</td>
    <TD STYLE="font-weight: bold; text-align: right; width: 6%; vertical-align: bottom">JPMorgan Chase Bank N.A.</td>
    <TD STYLE="font-weight: bold; text-align: right; width: 6%; vertical-align: bottom"><br>Merrill Lynch, Pierce, Fenner &amp; Smith, Inc.</td>
    <TD STYLE="font-weight: bold; text-align: right; width: 6%; vertical-align: bottom">State Street Bank and Trust Co.</td>
    <TD STYLE="font-weight: bold; text-align: right; width: 6%; vertical-align: bottom">UBS AG</td>
    <TD STYLE="font-weight: bold; text-align: right; width: 6%; vertical-align: bottom">WestPac Banking Corp.</td>
    <TD STYLE="width: 1%; text-align: right; vertical-align: bottom">&nbsp;</td>
    <TD STYLE="font-weight: bold; width: 6%; text-align: right; vertical-align: bottom">Total</td></tr>
<tr style="vertical-align: bottom">
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td></tr>
<tr style="vertical-align: bottom">
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="font-weight: bold; text-align: left">Assets:</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td></tr>
<tr style="vertical-align: bottom">
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">OTC Interest rate swap contracts*#</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;$3,195</td>
    <TD STYLE="text-align: right">&nbsp;$&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;$&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;$&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;$4,791</td>
    <TD STYLE="text-align: right">&nbsp;$60,175</td>
    <TD STYLE="text-align: right">&nbsp;$&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;$&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;$720,100</td>
    <TD STYLE="text-align: right">&nbsp;$&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;$&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;$&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;$&mdash;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;788,261</td></tr>
<tr style="vertical-align: bottom">
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">Centrally cleared interest rate swap contracts&sect;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;805,547</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;805,547</td></tr>
<tr style="vertical-align: bottom">
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">OTC Total return swap contracts*#</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;827</td>
    <TD STYLE="text-align: right">&nbsp;292,335</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;146,214</td>
    <TD STYLE="text-align: right">&nbsp;80,738</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;520,114</td></tr>
<tr style="vertical-align: bottom">
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">OTC Credit default contracts*#</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;14,704</td>
    <TD STYLE="text-align: right">&nbsp;5,726</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;123,344</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;4,933</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;148,707</td></tr>
<tr style="vertical-align: bottom">
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">Futures contracts&sect;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;8,580</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;8,580</td></tr>
<tr style="vertical-align: bottom">
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">Forward currency contracts#</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;62,412</td>
    <TD STYLE="text-align: right">&nbsp;52,004</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;71,445</td>
    <TD STYLE="text-align: right">&nbsp;29,794</td>
    <TD STYLE="text-align: right">&nbsp;47,236</td>
    <TD STYLE="text-align: right">&nbsp;35,752</td>
    <TD STYLE="text-align: right">&nbsp;24,306</td>
    <TD STYLE="text-align: right">&nbsp;92,904</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;92,686</td>
    <TD STYLE="text-align: right">&nbsp;3,214</td>
    <TD STYLE="text-align: right">&nbsp;65,931</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;577,684</td></tr>
<tr style="vertical-align: bottom">
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">Forward premium swap option contracts#</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;22,040</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;308,231</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;71,498</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;401,769</td></tr>
<tr style="vertical-align: bottom">
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">Purchased swap options#</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;299,819</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;299,819</td></tr>
<tr style="vertical-align: bottom">
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">Purchased options#</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;2,031,083</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;2,031,083</td></tr>
<tr style="vertical-align: bottom">
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">Repurchase agreements</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td></tr>
<tr style="vertical-align: bottom">
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td></tr>
<tr style="vertical-align: bottom">
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="font-weight: bold; border-top: Black 1pt solid; text-align: left">Total Assets</td>
    <TD STYLE="border-top: Black 1pt solid; text-align: left"></td>
    <TD STYLE="font-weight: bold; border-top: Black 1pt solid; text-align: right">&nbsp;$380,957</td>
    <TD STYLE="font-weight: bold; border-top: Black 1pt solid; text-align: right">&nbsp;$350,065</td>
    <TD STYLE="font-weight: bold; border-top: Black 1pt solid; text-align: right">&nbsp;$805,547</td>
    <TD STYLE="font-weight: bold; border-top: Black 1pt solid; text-align: right">&nbsp;$239,699</td>
    <TD STYLE="font-weight: bold; border-top: Black 1pt solid; text-align: right">&nbsp;$238,667</td>
    <TD STYLE="font-weight: bold; border-top: Black 1pt solid; text-align: right">&nbsp;$107,411</td>
    <TD STYLE="font-weight: bold; border-top: Black 1pt solid; text-align: right">&nbsp;$348,916</td>
    <TD STYLE="font-weight: bold; border-top: Black 1pt solid; text-align: right">&nbsp;$24,306</td>
    <TD STYLE="font-weight: bold; border-top: Black 1pt solid; text-align: right">&nbsp;$2,915,585</td>
    <TD STYLE="font-weight: bold; border-top: Black 1pt solid; text-align: right">&nbsp;$8,580</td>
    <TD STYLE="font-weight: bold; border-top: Black 1pt solid; text-align: right">&nbsp;$92,686</td>
    <TD STYLE="font-weight: bold; border-top: Black 1pt solid; text-align: right">&nbsp;$3,214</td>
    <TD STYLE="font-weight: bold; border-top: Black 1pt solid; text-align: right">&nbsp;$65,931</td>
    <TD STYLE="border-top: Black 1pt solid; text-align: left"></td>
    <TD STYLE="font-weight: bold; border-top: Black 1pt solid; text-align: right">&nbsp;$5,581,564</td></tr>
<tr style="vertical-align: bottom">
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td></tr>
<tr style="vertical-align: bottom">
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="font-weight: bold; text-align: left">Liabilities:</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td></tr>
<tr style="vertical-align: bottom">
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">OTC Interest rate swap contracts*#</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;45,666</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;49,159</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;418,839</td>
    <TD STYLE="text-align: right">&nbsp;472,238</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;331,228</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;1,317,130</td></tr>
<tr style="vertical-align: bottom">
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">Centrally cleared interest rate swap contracts&sect;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;908,769</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;908,769</td></tr>
<tr style="vertical-align: bottom">
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">OTC Total return swap contracts*#</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;6,006</td>
    <TD STYLE="text-align: right">&nbsp;308,995</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;264,342</td>
    <TD STYLE="text-align: right">&nbsp;77,243</td>
    <TD STYLE="text-align: right">&nbsp;24,855</td>
    <TD STYLE="text-align: right">&nbsp;29,642</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;4,012</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;715,095</td></tr>
<tr style="vertical-align: bottom">
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">OTC Credit default contracts*#</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;51,366</td>
    <TD STYLE="text-align: right">&nbsp;223,056</td>
    <TD STYLE="text-align: right">&nbsp;5,713</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;280,135</td></tr>
<tr style="vertical-align: bottom">
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">Futures contracts&sect;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;97,261</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;97,261</td></tr>
<tr style="vertical-align: bottom">
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">Forward currency contracts#</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;68,114</td>
    <TD STYLE="text-align: right">&nbsp;168,646</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;97,061</td>
    <TD STYLE="text-align: right">&nbsp;80,089</td>
    <TD STYLE="text-align: right">&nbsp;110,585</td>
    <TD STYLE="text-align: right">&nbsp;82,018</td>
    <TD STYLE="text-align: right">&nbsp;76,390</td>
    <TD STYLE="text-align: right">&nbsp;124,376</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;139,937</td>
    <TD STYLE="text-align: right">&nbsp;41,377</td>
    <TD STYLE="text-align: right">&nbsp;111,863</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;1,100,456</td></tr>
<tr style="vertical-align: bottom">
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">Forward premium swap option contracts#</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;40,976</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;382,870</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;124,136</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;547,982</td></tr>
<tr style="vertical-align: bottom">
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">Written swap options#</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;561,894</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;1,372,713</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;1,934,607</td></tr>
<tr style="vertical-align: bottom">
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">Written options#</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;1,883,100</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: right">&nbsp;&mdash;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;1,883,100</td></tr>
<tr style="vertical-align: bottom">
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td></tr>
<tr style="vertical-align: bottom">
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="font-weight: bold; border-top: Black 1pt solid; text-align: left">Total Liabilities</td>
    <TD STYLE="border-top: Black 1pt solid; text-align: left"></td>
    <TD STYLE="font-weight: bold; border-top: Black 1pt solid; text-align: right">&nbsp;$681,680</td>
    <TD STYLE="font-weight: bold; border-top: Black 1pt solid; text-align: right">&nbsp;$477,641</td>
    <TD STYLE="font-weight: bold; border-top: Black 1pt solid; text-align: right">&nbsp;$908,769</td>
    <TD STYLE="font-weight: bold; border-top: Black 1pt solid; text-align: right">&nbsp;$451,538</td>
    <TD STYLE="font-weight: bold; border-top: Black 1pt solid; text-align: right">&nbsp;$208,698</td>
    <TD STYLE="font-weight: bold; border-top: Black 1pt solid; text-align: right">&nbsp;$777,335</td>
    <TD STYLE="font-weight: bold; border-top: Black 1pt solid; text-align: right">&nbsp;$972,481</td>
    <TD STYLE="font-weight: bold; border-top: Black 1pt solid; text-align: right">&nbsp;$76,390</td>
    <TD STYLE="font-weight: bold; border-top: Black 1pt solid; text-align: right">&nbsp;$3,839,565</td>
    <TD STYLE="font-weight: bold; border-top: Black 1pt solid; text-align: right">&nbsp;$97,261</td>
    <TD STYLE="font-weight: bold; border-top: Black 1pt solid; text-align: right">&nbsp;$139,937</td>
    <TD STYLE="font-weight: bold; border-top: Black 1pt solid; text-align: right">&nbsp;$41,377</td>
    <TD STYLE="font-weight: bold; border-top: Black 1pt solid; text-align: right">&nbsp;$111,863</td>
    <TD STYLE="border-top: Black 1pt solid; text-align: left"></td>
    <TD STYLE="font-weight: bold; border-top: Black 1pt solid; text-align: right">&nbsp;$8,784,535</td></tr>
<tr style="vertical-align: bottom">
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="font-weight: bold; text-align: right">&nbsp;</td>
    <TD STYLE="font-weight: bold; text-align: right">&nbsp;</td>
    <TD STYLE="font-weight: bold; text-align: right">&nbsp;</td>
    <TD STYLE="font-weight: bold; text-align: right">&nbsp;</td>
    <TD STYLE="font-weight: bold; text-align: right">&nbsp;</td>
    <TD STYLE="font-weight: bold; text-align: right">&nbsp;</td>
    <TD STYLE="font-weight: bold; text-align: right">&nbsp;</td>
    <TD STYLE="font-weight: bold; text-align: right">&nbsp;</td>
    <TD STYLE="font-weight: bold; text-align: right">&nbsp;</td>
    <TD STYLE="font-weight: bold; text-align: right">&nbsp;</td>
    <TD STYLE="font-weight: bold; text-align: right">&nbsp;</td>
    <TD STYLE="font-weight: bold; text-align: right">&nbsp;</td>
    <TD STYLE="font-weight: bold; text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td></tr>
<tr style="vertical-align: bottom">
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="font-weight: bold; text-align: left">Total Financial and Derivative Net Assets</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="font-weight: bold; text-align: right">&nbsp;$(300,723)</td>
    <TD STYLE="font-weight: bold; text-align: right">&nbsp;$(127,576)</td>
    <TD STYLE="font-weight: bold; text-align: right">&nbsp;$(103,222)</td>
    <TD STYLE="font-weight: bold; text-align: right">&nbsp;$(211,839)</td>
    <TD STYLE="font-weight: bold; text-align: right">&nbsp;$29,969</td>
    <TD STYLE="font-weight: bold; text-align: right">&nbsp;$(669,924)</td>
    <TD STYLE="font-weight: bold; text-align: right">&nbsp;$(623,565)</td>
    <TD STYLE="font-weight: bold; text-align: right">&nbsp;$(52,084)</td>
    <TD STYLE="font-weight: bold; text-align: right">&nbsp;$(923,980)</td>
    <TD STYLE="font-weight: bold; text-align: right">&nbsp;$(88,681)</td>
    <TD STYLE="font-weight: bold; text-align: right">&nbsp;$(47,252)</td>
    <TD STYLE="font-weight: bold; text-align: right">&nbsp;$(38,163)</td>
    <TD STYLE="font-weight: bold; text-align: right">&nbsp;$(45,932)</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="font-weight: bold; text-align: right">&nbsp;$(3,202,972)</td></tr>
<tr style="vertical-align: bottom">
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">Total collateral received (pledged)##&dagger;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="font-weight: bold; text-align: right">&nbsp;$(249,972)</td>
    <TD STYLE="font-weight: bold; text-align: right">&nbsp;$(127,576)</td>
    <TD STYLE="font-weight: bold; text-align: right">&nbsp;$&mdash;</td>
    <TD STYLE="font-weight: bold; text-align: right">&nbsp;$(211,839)</td>
    <TD STYLE="font-weight: bold; text-align: right">&nbsp;$&mdash;</td>
    <TD STYLE="font-weight: bold; text-align: right">&nbsp;$(664,960)</td>
    <TD STYLE="font-weight: bold; text-align: right">&nbsp;$(623,565)</td>
    <TD STYLE="font-weight: bold; text-align: right">&nbsp;$&mdash;</td>
    <TD STYLE="font-weight: bold; text-align: right">&nbsp;$(827,891)</td>
    <TD STYLE="font-weight: bold; text-align: right">&nbsp;$&mdash;</td>
    <TD STYLE="font-weight: bold; text-align: right">&nbsp;$&mdash;</td>
    <TD STYLE="font-weight: bold; text-align: right">&nbsp;$&mdash;</td>
    <TD STYLE="font-weight: bold; text-align: right">&nbsp;$&mdash;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="font-weight: bold; text-align: right">&nbsp;</td></tr>
<tr style="vertical-align: bottom">
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">Net amount</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="font-weight: bold; text-align: right">&nbsp;$(50,751)</td>
    <TD STYLE="font-weight: bold; text-align: right">&nbsp;$&mdash;</td>
    <TD STYLE="font-weight: bold; text-align: right">&nbsp;$(103,222)</td>
    <TD STYLE="font-weight: bold; text-align: right">&nbsp;$&mdash;</td>
    <TD STYLE="font-weight: bold; text-align: right">&nbsp;$29,969</td>
    <TD STYLE="font-weight: bold; text-align: right">&nbsp;$(4,964)</td>
    <TD STYLE="font-weight: bold; text-align: right">&nbsp;$&mdash;</td>
    <TD STYLE="font-weight: bold; text-align: right">&nbsp;$(52,084)</td>
    <TD STYLE="font-weight: bold; text-align: right">&nbsp;$(96,089)</td>
    <TD STYLE="font-weight: bold; text-align: right">&nbsp;$(88,681)</td>
    <TD STYLE="font-weight: bold; text-align: right">&nbsp;$(47,252)</td>
    <TD STYLE="font-weight: bold; text-align: right">&nbsp;$(38,163)</td>
    <TD STYLE="font-weight: bold; text-align: right">&nbsp;$(45,932)</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="font-weight: bold; text-align: right">&nbsp;</td></tr>
<tr style="vertical-align: bottom">
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</td>
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</td>
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</td>
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</td>
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</td>
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</td>
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</td>
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</td>
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</td>
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</td>
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</td>
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</td>
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td></tr>
<tr style="vertical-align: bottom">
    <TD STYLE="text-align: right">*</td>
    <TD COLSPAN="17" STYLE="text-align: left">Excludes premiums, if any.</td></tr>
<tr style="vertical-align: bottom">
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
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    <TD STYLE="font-family: Calibri, Helvetica, Sans-Serif; text-align: right">&dagger;</td>
    <TD COLSPAN="17" STYLE="text-align: left">&nbsp;Additional collateral may be required from certain brokers based on individual agreements.</td></tr>
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    <TD STYLE="font-family: Calibri, Helvetica, Sans-Serif; text-align: right">&nbsp;</td>
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    <TD STYLE="font-family: Calibri, Helvetica, Sans-Serif; text-align: right">#</td>
    <TD COLSPAN="17" STYLE="text-align: left">Covered by master netting agreement.</td></tr>
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    <TD STYLE="font-family: Calibri, Helvetica, Sans-Serif; text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
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    <TD STYLE="font-family: Courier New, Courier, Monospace">&nbsp;</td>
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    <TD STYLE="font-family: Courier New, Courier, Monospace">&nbsp;</td>
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    <TD STYLE="font-family: Calibri, Helvetica, Sans-Serif; text-align: right">##</td>
    <TD COLSPAN="17" STYLE="text-align: left">Any over-collateralization of total financial and derivative net assets is not shown. Collateral may include amounts related to unsettled agreements.</td></tr>
<tr style="vertical-align: bottom">
    <TD STYLE="font-family: Calibri, Helvetica, Sans-Serif; text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="font-family: Courier New, Courier, Monospace">&nbsp;</td>
    <TD STYLE="font-family: Courier New, Courier, Monospace">&nbsp;</td>
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<tr style="vertical-align: bottom">
    <TD STYLE="text-align: right">&sect;</td>
    <TD COLSPAN="17" STYLE="text-align: left">Includes current day's variation margin only, which is not collateralized.&nbsp;Cumulative appreciation/(depreciation) for futures contracts and centrally cleared swap contracts is represented in the tables listed after the fund's portfolio.&nbsp;</td></tr>












		<TR vAlign=top align=left><TD></TD>	<TD colspan=14><br><font size=3>For additional information regarding the fund please see the fund's most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission's Web site, www.sec.gov, or visit Putnam's Individual Investor Web site at www.putnaminvestments.com</TD></TR>									</TABLE>





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<tr><td></td><td><u>Item 2. Controls and Procedures:</u>
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<tr><td></td><td>(a) The registrant&#8217;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&#8217;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&#8217;s rules and forms.
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<tr><td></td><td>(b) Changes in internal control over financial reporting: Not applicable
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<tr><td></td><td><u>Item 3. Exhibits:</u>
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<tr><td></td><td>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.
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<tr><td></td><td><u>SIGNATURES</u>
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<tr><td></td><td>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.
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<tr><td></td><td><u>Putnam Master Intermediate Income Trust</u>
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<tr><td></td><td><u>/s/ Janet C. Smith</u><br>Janet C. Smith<br>Principal Accounting Officer<br>Date: August 27, 2014
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<tr><td></td><td>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.
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<tr><td></td><td><u>/s/ Jonathan S. Horwitz</u><br>Jonathan S. Horwitz<br>Principal Executive Officer<br>Date: August 27, 2014
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<tr><td></td><td><u>/s/ Steven D. Krichmar</u><br>Steven D. Krichmar<br>Principal Financial Officer<br>Date: August 27, 2014
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</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-Q 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 schedules of investments included in each report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;</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 registrants 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 this 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>/s/ Jonathan S. Horwitz</td></tr>
<tr><td></td><td>_____________________________</td></tr>
<tr><td></td><td><br>Date: August 26, 2014</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-Q 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 schedules of investments included in each report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;</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 registrants 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 this 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>/s/ Steven D. Krichmar</td></tr>
<tr><td></td><td>_______________________________</td></tr>
<tr><td></td><td><br>Date: August 26, 2014</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>NQ</b></font></td></tr>
<tr><td></td><td align=center><br>Period (s) ended June 30, 2014</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>

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