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<SEC-DOCUMENT>0000928816-06-001122.txt : 20060829
<SEC-HEADER>0000928816-06-001122.hdr.sgml : 20060829
<ACCEPTANCE-DATETIME>20060829151546
ACCESSION NUMBER:		0000928816-06-001122
CONFORMED SUBMISSION TYPE:	N-CSRS
PUBLIC DOCUMENT COUNT:		14
CONFORMED PERIOD OF REPORT:	20060630
FILED AS OF DATE:		20060829
DATE AS OF CHANGE:		20060829
EFFECTIVENESS DATE:		20060829

FILER:

	COMPANY DATA:	
		COMPANY CONFORMED NAME:			HANCOCK JOHN INVESTORS TRUST
		CENTRAL INDEX KEY:			0000759828
		IRS NUMBER:				000000000
		STATE OF INCORPORATION:			DE
		FISCAL YEAR END:			1231

	FILING VALUES:
		FORM TYPE:		N-CSRS
		SEC ACT:		1940 Act
		SEC FILE NUMBER:	811-04173
		FILM NUMBER:		061062298

	BUSINESS ADDRESS:	
		STREET 1:		C/O JOHN HANCOCK FUNDS
		STREET 2:		601 CONGRESS STREET
		CITY:			BOSTON
		STATE:			MA
		ZIP:			02210
		BUSINESS PHONE:		617-663-3000

	MAIL ADDRESS:	
		STREET 1:		C/O JOHN HANCOCK FUNDS
		STREET 2:		601 CONGRESS STREET
		CITY:			BOSTON
		STATE:			MA
		ZIP:			02210
</SEC-HEADER>
<DOCUMENT>
<TYPE>N-CSRS
<SEQUENCE>1
<FILENAME>a_investorstrust.htm
<DESCRIPTION>JOHN HANCOCK INVESTORS TRUST
<TEXT>
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<P align="left">
<FONT face="sans-serif">UNITED STATES </FONT><BR>
<FONT face="sans-serif">SECURITIES AND EXCHANGE COMMISSION </FONT><BR>
<FONT face="sans-serif">Washington, D.C. 20549</FONT><BR>
</P>
<P align="left">
<B><FONT face="sans-serif">FORM N-CSR</FONT></B><BR>
<B><FONT face="sans-serif">CERTIFIED SHAREHOLDER REPORT OF REGISTERED</FONT></B><BR>
<B><FONT face="sans-serif">MANAGEMENT INVESTMENT COMPANIES</FONT></B><BR>
</P>
<P align="left">
<FONT face="sans-serif">Investment Company Act file number </FONT><U><FONT face="sans-serif">811- 4173</FONT></U><BR>
</P>
<P align="left">
<U><FONT face="sans-serif">John Hancock Investors Trust</FONT></U><FONT face="sans-serif"> </FONT><BR>
<FONT face="sans-serif">(Exact name of registrant as specified in charter)</FONT><BR>
</P>
<P align="left">
<U><FONT face="sans-serif">601 Congress Street, Boston, Massachusetts 02210</FONT></U><FONT face="sans-serif"> </FONT><BR>
<FONT face="sans-serif">(Address of principal executive offices) (Zip code)</FONT><BR>
</P>
<P align="left">
<FONT face="sans-serif">Alfred P. Ouellette</FONT><BR>
<FONT face="sans-serif">Senior Attorney and Assistant Secretary </FONT><BR>
<FONT face="sans-serif">601 Congress Street</FONT><BR>
<U><FONT face="sans-serif">Boston, Massachusetts 02210</FONT></U><FONT face="sans-serif"> </FONT><BR>
<FONT face="sans-serif">(Name and address of agent for service)</FONT><BR>
</P>
<P align="left">
<FONT face="sans-serif">Registrant's telephone number, including area code: </FONT><U><FONT face="sans-serif">617-663-4324</FONT></U><FONT face="sans-serif"> </FONT><BR>
</P>
<P align="left">
<FONT face="sans-serif">Date of fiscal year end: December 31</FONT><BR>
</P>
<P align="left">
<FONT face="sans-serif">Date of reporting period: June 30, 2006</FONT><BR>
</P>
<P align="left">
<FONT size=2 face="sans-serif">ITEM 1. REPORT TO SHAREHOLDERS. </FONT></P>

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  <TR vAlign=bottom>
    <TD noWrap align=left width="100%"><B><FONT face=sans-serif color=#292526>Table of contents</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="100%">
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="100%"><FONT face=sans-serif color=#292526>Your fund at a
      glance</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="100%"><B><FONT face=sans-serif>page 1</FONT></B>&nbsp;
    </TD></TR>
  <TR>
    <TD width="100%">
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="100%"><FONT face=sans-serif color=#292526>Managers&#146;
      report</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="100%"><B><FONT face=sans-serif>page 2</FONT></B>&nbsp;
    </TD></TR>
  <TR>
    <TD width="100%">
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="100%"><FONT face=sans-serif color=#292526>Fund&#146;s
      investments</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="100%"><B><FONT face=sans-serif>page 6</FONT></B>&nbsp;
    </TD></TR>
  <TR>
    <TD width="100%">
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="100%"><FONT face=sans-serif color=#292526>Financial
      statements</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="100%"><B><FONT face=sans-serif>page
      20</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="100%">
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="100%"><FONT face=sans-serif color=#292526>For more
      information</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="100%"><B><FONT face=sans-serif>page
      37</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="100%">
      <HR noShade SIZE=1>
    </TD></TR></TABLE><BR>
<P align=left><B><FONT face=sans-serif>To Our Shareholders,</FONT></B></P>
<P align=left><FONT face=serif color=#292526>After producing modest returns in
2005, the stock market advanced smartly in the first four months of 2006.
Investors were encouraged by solid corporate earnings, a healthy economy and
stable inflation, which suggested the Federal Reserve could be coming close to
the end of its two-year campaign of raising interest rates. Those hopes were
dashed in May, however, when economic data suggested a resurgence of inflation
and more Fed rate hikes. The result was a significant increase in volatility and
a market pull-back that continued into June, erasing much of the earlier gains.
For the first six months of 2006, the market advanced slightly, returning 2.71%,
as measured by the Standard &amp; Poor&#146;s 500 Index. Inflation and rate hike
concerns also worked on the bond market, which, with the exception of
low-quality bonds, lost a bit of ground over the last six months. </FONT></P>
<P align=left><FONT face=serif color=#292526>With the financial markets&#146;
about-face and increased volatility, it is anyone&#146;s guess where the market will
end 2006, especially given the wild cards of interest rate moves and record-high
energy prices and their impact on the economy and corporate profits.</FONT></P>
<P align=left><FONT face=serif color=#292526>One thing we do know, however, is
that the stock market&#146;s pattern is one of extremes. Consider the last 10 years.
From 1995 through 1999, we saw double-digit returns in excess of 20% per year,
only to have 2000 through 2002 produce ever-increasing negative results,
followed by another 20%-plus up year in 2004 and a less than 5% advance in 2005.
Since 1926, the market, as measured by the Standard &amp; Poor&#146;s 500 Index, has
produced average annual results of 10.4% . However, that &#147;normal&#148; return is
rarely produced in any given year. In fact, calendar-year returns of 8% to 12%
have occurred only five times in the 80 years since 1926.</FONT></P>
<P align=left><FONT face=serif color=#292526>Although the past in no way
predicts the future, we have learned at least one lesson from history: Expect
highs and lows in the short term, but always invest for the long term. Equally
important: Work with your financial professional to maintain a diversified
portfolio, spread out among not only different asset classes &#151; stocks, bonds and
cash &#151; but also among various investment styles. It&#146;s the best way we know of to
benefit from, and weather, the market&#146;s extremes.</FONT></P>
<P align=left><FONT face=serif color=#292526>Sincerely,</FONT></P><IMG src="investorstrustx2x2.jpg" border=0> <BR>
<P align=left>
<TABLE>

  <TR>
    <TD noWrap><FONT face=serif color=#292526>Keith F.
      Hartstein,</FONT><BR><FONT face=serif color=#292526>President and Chief
      Executive Officer</FONT><BR></TD></TR></TABLE></P>
<P align=left><FONT face=sans-serif color=#292526>This commentary reflects the
CEO&#146;s views as of June 30, 2006. They are subject to change at any
time.</FONT></P>
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<P align=left>
<TABLE>

  <TR>
    <TD noWrap><B><FONT face=sans-serif>YOUR FUND</FONT></B><BR><B><FONT face=sans-serif>AT A GLANCE</FONT></B><BR></TD></TR></TABLE></P>
<P align=left>
<TABLE>

  <TR>
    <TD noWrap><B><FONT face=sans-serif>The Fund seeks
      a</FONT></B><BR><B><FONT face=sans-serif>high level of
      current</FONT></B><BR><B><FONT face=sans-serif>income
      consistent</FONT></B><BR><B><FONT face=sans-serif>with prudent
      invest-</FONT></B><BR><B><FONT face=sans-serif>ment risk
      by</FONT></B><BR><B><FONT face=sans-serif>investing in a
      diver-</FONT></B><BR><B><FONT face=sans-serif>sified portfolio
      of</FONT></B><BR><B><FONT face=sans-serif>debt securities.
    </FONT></B><BR></TD></TR></TABLE></P>
<P align=left>
<TABLE>

  <TR>
    <TD noWrap><B><FONT face=sans-serif>Over the last six
      months</FONT></B><BR><BR><FONT face=sans-serif>* </FONT><FONT face=sans-serif color=#292526>Rising interest rates, resulting from a
      robust economy and higher</FONT><BR><FONT face=sans-serif color=#292526>inflation, led to modestly negative returns in the bond
      market.</FONT><BR><BR><FONT face=sans-serif>* </FONT><FONT face=sans-serif color=#292526>Treasury and corporate bonds posted the largest declines,
      while high</FONT><BR><FONT face=sans-serif color=#292526>yield corporate
      bonds continued to produce positive results.</FONT><BR><BR><FONT face=sans-serif>* </FONT><FONT face=sans-serif color=#292526>The Fund
      increased its holdings of high yield corporate bonds and</FONT><BR><FONT face=sans-serif color=#292526>mortgage-backed securities, while becoming
      more selective among</FONT><BR><FONT face=sans-serif color=#292526>investment-grade corporate
bonds.</FONT><BR></TD></TR></TABLE></P>
<P align=left><IMG src="investorstrustx3x1.jpg" border=0> </P>
<P align=left><FONT face=sans-serif color=#292526>The total returns for the Fund
include the reinvestment of all distributions. The performance data contained
within this material represents past performance, which does not guarantee
future results.</FONT></P>
<P align=left><FONT face=sans-serif color=#292526>The yield at closing market
price is calculated by dividing the current annualized distribution per share by
the closing market price on the last day of the period.</FONT></P>
<TABLE cellSpacing=1 cellPadding=0 width="80%" border=0>

  <TR vAlign=bottom>
    <TD noWrap align=left width="99%" colSpan=2><B><FONT face=sans-serif>Top 10
      issuers</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD noWrap align=left width="17%" background="">&nbsp;
</TD>
    <TD noWrap align=left width="82%" background=""></TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="17%"><FONT face=sans-serif color=#292526>21.3%</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="82%"><FONT face=sans-serif color=#292526>Federal National
      Mortgage Association</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="17%"><FONT face=sans-serif color=#292526>6.6%</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="82%"><FONT face=sans-serif color=#292526>U.S. Treasury
      Bonds/Notes</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="17%"><FONT face=sans-serif color=#292526>4.3%</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="82%"><FONT face=sans-serif color=#292526>Countrywide Home
      Loans Servicing LP/</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="82%"><FONT face=sans-serif color=#292526>Countrywide
      Alternative Loan Trust</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="17%"><FONT face=sans-serif color=#292526>3.4%</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="82%"><FONT face=sans-serif color=#292526>Federal Home Loan
      Mortgage Corp.</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="17%"><FONT face=sans-serif color=#292526>3.1%</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="82%"><FONT face=sans-serif color=#292526>JPMorgan Chase
      &amp; Co.</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="17%"><FONT face=sans-serif color=#292526>2.5%</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="82%"><FONT face=sans-serif color=#292526>GSR Mortgage Loan
      Trust</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="17%"><FONT face=sans-serif color=#292526>1.5%</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="82%"><FONT face=sans-serif color=#292526>Bank of
      America</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="17%"><FONT face=sans-serif color=#292526>1.4%</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="82%"><FONT face=sans-serif color=#292526>Bear Stearns Co.,
      Inc.</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="17%"><FONT face=sans-serif color=#292526>0.9%</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="82%"><FONT face=sans-serif color=#292526>Washington
      Mutual</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="17%"><FONT face=sans-serif color=#292526>0.8%</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="82%"><FONT face=sans-serif color=#292526>Midland Funding
      Corp.</FONT>&nbsp; </TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif color=#292526>As a percentage of net assets
plus value of preferred shares on June 30, 2006.</FONT></P>
<P align=left><B><FONT face=sans-serif color=#292526>1</FONT></B></P>
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<P align=left>
<TABLE>

  <TR>
    <TD noWrap><FONT face=sans-serif color=#292526>BY BARRY H. EVANS, CFA,
      JEFFREY N. GIVEN, CFA, AND JOHN F. ILES, FOR THE</FONT><BR><FONT face=sans-serif color=#292526>SOVEREIGN ASSET MANAGEMENT LLC PORTFOLIO
      MANAGEMENT TEAM</FONT><BR></TD></TR></TABLE></P>
<P align=left>
<TABLE>

  <TR>
    <TD noWrap><B><FONT face=sans-serif>MANAGERS&#146;</FONT></B><BR><B><FONT face=sans-serif>REPORT</FONT></B><BR></TD></TR></TABLE></P>
<P align=left>
<TABLE>

  <TR>
    <TD noWrap><FONT face=serif color=#292526>JOHN HANCOCK</FONT><BR><BR><FONT face=serif>Investors Trust</FONT><BR></TD></TR></TABLE><FONT face=serif color=#292526><BR>Rising interest rates &#151; resulting from a robust economy and
higher inflation &#151; led to modestly negative returns for bonds in the first six
months of 2006. The Lehman Brothers U.S. Aggregate Bond Index, a broad measure
of bond market performance, returned &#150;0.72% .</FONT></P>
<P align=left><FONT face=serif color=#292526>The U.S. economy grew at a healthy
5.6% annual rate in the first quarter of 2006, rebounding from a
hurricane-related slowdown in late 2005, and growth continued at a solid, yet
slower, rate in the second quarter. Inflation concerns also surfaced as the
consumer price index surged at an annual rate of nearly 5% in the first half of
the year. Noting the elevated inflation levels, the Federal Reserve raised
short-term interest rates four times during the six-month period, for a total of
17 rate hikes in the past two years. By June 30, the federal funds rate stood at
5.25%, its highest level in more than five years.</FONT></P>
<P align=left><FONT face=serif color=#292526>In this environment, interest rates
rose in parallel fashion; Treasury bond yields climbed by about three-quarters
of a percentage point </FONT><FONT face=serif color=#292526>across the maturity
spectrum. As a result, the yield curve remained flat, meaning short- and
long-term bond yields were roughly equal.</FONT></P>
<P align=left>
<TABLE>

  <TR>
    <TD noWrap><I><FONT face=serif>&#147;Rising interest rates &#151;
      result-</FONT></I><BR><I><FONT face=serif>ing from a robust economy
      and</FONT></I><BR><I><FONT face=serif>higher inflation &#151; led to
      mod-</FONT></I><BR><I><FONT face=serif>estly negative returns for bonds
      </FONT></I><BR><I><FONT face=serif>in the first six months of
      2006.&#148;</FONT></I><BR></TD></TR></TABLE></P>
<P align=left><FONT face=serif color=#292526>Sector performance was mixed but
generally negative. Treasury bonds, which are most sensitive to interest rate
fluctuations, and investment-grade corporate bonds posted the </FONT><FONT face=serif color=#292526>biggest declines. Mortgage-backed securities and
government agency bonds were largely unchanged during the period, while high
yield corporate bonds gained ground, bucking the downward trend.</FONT></P>
<P align=left><B><FONT face=sans-serif>Fund performance</FONT></B></P>
<P align=left><FONT face=serif color=#292526>For the six months ended June 30,
2006, John Hancock Investors Trust produced a total return of &#150;0.35% at net
asset value (NAV) and 3.32% at market value. The Fund&#146;s NAV return and its
market performance differ because the market share price is subject to the
dynamics of secondary market trading, which could cause it to trade at a
discount or premium to the Fund&#146;s NAV share price at</FONT></P>
<P align=left><B><FONT face=sans-serif color=#292526>2</FONT></B></P>
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<P align=left><FONT face=serif color=#292526>any time. By comparison, the
average closed-end intermediate-term bond fund returned 0.04%, according to
Morningstar, Inc., and the Lehman Brothers Government/Credit Bond Index returned
&#150;1.15% .</FONT></P>
<P align=left><B><FONT face=sans-serif>Shifting into neutral</FONT></B></P>
<P align=left><FONT face=serif color=#292526>Over the past two years, the Fund
has been positioned defensively to guard against rising interest rates and
widening risk premiums. We lowered the Fund&#146;s interest rate sensitivity,
improved its overall credit quality and adjusted the maturity structure to
benefit from a convergence of short- and long-term bond yields.</FONT></P>
<P align=left><FONT face=serif color=#292526>During the past six months,
however, we have been scaling back our defensive approach and moving toward a
more neutral position with regard to interest rate sensitivity and maturity
structure. With the yield convergence largely played out, we began to position
the portfolio for the inevitable widening of short- and long-term
yields.</FONT></P>
<P align=left><B><FONT face=sans-serif>Increased emphasis on high yield
bonds</FONT></B></P>
<P align=left><FONT face=serif color=#292526>We substantially increased the
portfolio&#146;s exposure to high yield corporate bonds while concurrently reducing
our investment-grade corporate holdings. This change represents a long-term
effort on our part to gear the Fund more toward the high yield segment of the
market. However, it also reflects our success in </FONT><FONT face=serif color=#292526>finding specific lower-rated securities that were attractively
valued.</FONT></P>
<P align=left>
<TABLE>

  <TR>
    <TD noWrap><I><FONT face=serif>&#147;The best performers in the Fund
      </FONT></I><BR><I><FONT face=serif>in the first half of 2006 were
      air-</FONT></I><BR><I><FONT face=serif>line bonds, which benefited
      from</FONT></I><BR><I><FONT face=serif>increased air traffic and
      improving</FONT></I><BR><I><FONT face=serif>operating
      results.&#148;</FONT></I><BR></TD></TR></TABLE></P>
<P align=left><FONT face=serif color=#292526>We became more selective in our
investment-grade corporate bonds. With the housing market starting to cool off
and consumer spending expected to slow, we limited our exposure to </FONT><FONT face=serif color=#292526>bonds issued by consumer-oriented companies, automakers
and homebuilders. We also remained wary of companies under pressure from equity
investors to reduce cash and/or take on more debt to boost stockholder returns,
because these moves generally weaken a company&#146;s financial position. Instead, we
focused on securities issued by utilities, banks and finance-related companies,
which are typically unwilling or unable to compromise their balance sheets and
credit ratings.</FONT></P>
<P align=left><B><FONT face=sans-serif color=#292526>3</FONT></B></P>
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  <TR vAlign=bottom>
    <TD noWrap align=left width="75%"><B><FONT face=sans-serif color=#292526>Sector</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="24%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="75%"><B><FONT face=sans-serif color=#292526>distribution</FONT></B><B><SUP><FONT face=sans-serif color=#292526>1</FONT></SUP></B>&nbsp; </TD>
    <TD noWrap align=left width="24%">&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=2>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="75%"><FONT face=sans-serif color=#292526>Financials</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif color=#292526>31%</FONT>&nbsp;
    </TD></TR>
  <TR>
    <TD width="99%" colSpan=2>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="75%"><FONT face=sans-serif color=#292526>Government</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="75%"><FONT face=sans-serif color=#292526>U.S.
      agency</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif color=#292526>25%</FONT>&nbsp;
    </TD></TR>
  <TR>
    <TD width="99%" colSpan=2>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="75%"><FONT face=sans-serif color=#292526>Consumer</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="75%"><FONT face=sans-serif color=#292526>discretionary</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif color=#292526>8%</FONT>&nbsp;
  </TD></TR>
  <TR>
    <TD width="99%" colSpan=2>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="75%"><FONT face=sans-serif color=#292526>Utilities</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif color=#292526>8%</FONT>&nbsp;
  </TD></TR>
  <TR>
    <TD width="99%" colSpan=2>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="75%"><FONT face=sans-serif color=#292526>Government</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="75%"><FONT face=sans-serif color=#292526>U.S.</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif color=#292526>7%</FONT>&nbsp;
  </TD></TR>
  <TR>
    <TD width="99%" colSpan=2>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="75%"><FONT face=sans-serif color=#292526>Materials</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif color=#292526>5%</FONT>&nbsp;
  </TD></TR>
  <TR>
    <TD width="99%" colSpan=2>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="75%"><FONT face=sans-serif color=#292526>Industrials</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif color=#292526>5%</FONT>&nbsp;
  </TD></TR>
  <TR>
    <TD width="99%" colSpan=2>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="99%" colSpan=2><FONT face=sans-serif color=#292526>Telecommunication</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="75%"><FONT face=sans-serif color=#292526>services</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif color=#292526>4%</FONT>&nbsp;
  </TD></TR>
  <TR>
    <TD width="99%" colSpan=2>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="75%"><FONT face=sans-serif color=#292526>Health
      care</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif color=#292526>2%</FONT>&nbsp;
  </TD></TR>
  <TR>
    <TD width="99%" colSpan=2>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="75%"><FONT face=sans-serif color=#292526>Energy</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif color=#292526>2%</FONT>&nbsp;
  </TD></TR>
  <TR>
    <TD width="99%" colSpan=2>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="75%"><FONT face=sans-serif color=#292526>Consumer</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="75%"><FONT face=sans-serif color=#292526>staples</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif color=#292526>2%</FONT>&nbsp;
  </TD></TR>
  <TR>
    <TD width="99%" colSpan=2>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="75%"><FONT face=sans-serif color=#292526>Information</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="75%"><FONT face=sans-serif color=#292526>technology</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif color=#292526>1%</FONT>&nbsp;
  </TD></TR></TABLE><BR>
<P align=left><B><FONT face=sans-serif>Adding to mortgages</FONT></B></P>
<P align=left><FONT face=serif color=#292526>We increased our holdings of
mortgage-backed securities over the past six months. In addition to improving
the Fund&#146;s credit quality, mortgage-backed securities offered more attractive
yields than many investment-grade corporate bonds of comparable
maturity.</FONT></P>
<P align=left><FONT face=serif color=#292526>Within the mortgage-backed segment,
we emphasized commercial mortgages and adjustable-rate mortgages, which offered
competitive yields and less interest rate sensitivity than conventional
fixed-rate residential mortgages. This positioning generally proved favorable as
these types of mortgage-backed securities outperformed during the
period.</FONT></P>
<P align=left><B><FONT face=sans-serif>Leaders and laggards</FONT></B></P>
<P align=left><FONT face=serif color=#292526>The best performers in the Fund in
the first half of 2006 were airline bonds, which benefited from increased air
traffic and improving operating results. In particular, bonds backed by
Continental Airlines jets were the top individual contributors to
performance.</FONT></P><IMG src="investorstrustx6x1.jpg" border=0> <BR>
<P align=left><FONT face=serif color=#292526>Another strong contributor was
Reliant Energy, Inc., an electric utility based in Texas. Reliant bonds declined
sharply in late 2005 after the company reported losses relating to hedging
energy prices. However, this was a temporary problem that is no longer affecting
the company, and consequently the Reliant securities rebounded in early
2006.</FONT></P>
<P align=left><FONT face=serif color=#292526>The weakest performers tended to be
longer-term bonds, which declined the most as interest rates rose. Our
emerging-market holdings also fell as a shift toward risk aversion late in the
period </FONT></P>
<P align=left><B><FONT face=sans-serif color=#292526>4</FONT></B></P>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=--><A name=page_7></A><IMG src="investorstrustx7x1.jpg" border=0> <BR>
<P align=left><FONT face=serif color=#292526>put downward pressure on these
markets. Examples include bonds issued by Telefonos de Mexico, the largest
telecom company in Mexico, and Latin American wireless services provider America
Movil SA de CV.</FONT></P>
<P align=left><B><FONT face=sans-serif>Outlook</FONT></B></P>
<P align=left><FONT face=serif color=#292526>After two years of steady rate
hikes, the Fed is likely nearing the </FONT><FONT face=serif color=#292526>end
of its short-term interest rate increases. We are already seeing some evidence
of slowing economic activity, especially in the job market, but the Fed&#146;s focus
is squarely on the inflation rate &#151; any further Fed rate hikes will be dependent
on inflation readings in the coming months. If the Fed holds rates steady,
</FONT><FONT face=serif color=#292526>we expect the bond market to be relatively
stable as well, which means performance will be driven largely by interest
payments.</FONT></P>
<P align=left>
<TABLE>

  <TR>
    <TD noWrap><I><FONT face=serif>&#147;If the Fed holds rates steady,
      we</FONT></I><BR><I><FONT face=serif>expect the bond market to be
      rela-</FONT></I><BR><I><FONT face=serif>tively stable as well, which
      means</FONT></I><BR><I><FONT face=serif>performance will be driven
      largely</FONT></I><BR><I><FONT face=serif>by interest
      payments.&#148;</FONT></I><BR></TD></TR></TABLE></P>
<P align=left><FONT face=serif color=#292526>Within the Fund, we intend to
maintain our substantial weighting in high yield corporate bonds. Although
valuations in this segment of the market are near historically high levels, we
do not anticipate dramatic underperformance going forward. Declines will likely
be driven by security-specific events such as credit downgrades and earnings
disappointments. We will also continue to favor mortgage-backed securities over
investment-grade corporate bonds because they offer more attractive yields,
higher credit quality and better downside protection.</FONT></P>
<P align=left><FONT face=sans-serif color=#292526>This commentary reflects the
views of the portfolio managers through the end of the Fund&#146;s period discussed
in this report. The managers&#146; statements reflect their own opinions. As such,
they are in no way guarantees of future events and are not intended to be used
as investment advice or a recommendation regarding any specific security. They
are also subject to change at any time as market and other conditions
warrant.</FONT></P>
<P align=left><SUP><FONT face=sans-serif color=#292526>1 </FONT></SUP><FONT face=sans-serif color=#292526>As a percentage of the Fund&#146;s portfolio on June
30, 2006. </FONT></P>
<P align=left><B><FONT face=sans-serif color=#292526>5</FONT></B></P>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=--><A name=page_8></A>
<P align=left><FONT face=sans-serif color=#292526>F I N A N C I A
L&nbsp;&nbsp;&nbsp; S TAT E M E N T S</FONT></P>
<P align=left>
<TABLE>

  <TR>
    <TD noWrap><B><FONT face=sans-serif>FUND&#146;S</FONT></B><BR><B><FONT face=sans-serif>INVESTMENTS</FONT></B><BR></TD></TR></TABLE></P>
<P align=left>
<TABLE>

  <TR>
    <TD noWrap><FONT face=sans-serif color=#292526>Securities owned
      </FONT><BR><FONT face=sans-serif color=#292526>by the Fund on
      </FONT><BR><FONT face=sans-serif color=#292526>June 30,
      2006</FONT><BR><FONT face=sans-serif color=#292526>(unaudited)</FONT><BR></TD></TR></TABLE></P>
<P align=left>
<TABLE>

  <TR>
    <TD noWrap><B><FONT face=sans-serif>This schedule is divided into four
      main categories: bonds, preferred</FONT></B><BR><B><FONT face=sans-serif>stocks, U.S. government and agencies securities and
      short-term</FONT></B><BR><B><FONT face=sans-serif>investments. Bonds,
      preferred stocks and U.S. government and agen-</FONT></B><BR><B><FONT face=sans-serif>cies securities are further broken down by industry group.
      Short-term</FONT></B><BR><B><FONT face=sans-serif>investments, which
      represent the Fund&#146;s cash position, are listed
  last.</FONT></B><BR></TD></TR></TABLE></P>
<TABLE cellSpacing=1 cellPadding=0 width="80%" border=0>

  <TR vAlign=bottom>
    <TD noWrap align=left width="39%">&nbsp; </TD>
    <TD noWrap align=left width="11%"><B><FONT face=sans-serif color=#292526>Interest</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="10%"><B><FONT face=sans-serif color=#292526>Maturity</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="12%"><B><FONT face=sans-serif color=#292526>Credit</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="12%"><B><FONT face=sans-serif color=#292526>Par value</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%"><B><FONT face=sans-serif color=#292526>Issuer, description</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="11%"><B><FONT face=sans-serif color=#292526>rate</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="10%"><B><FONT face=sans-serif color=#292526>date</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="12%"><B><FONT face=sans-serif color=#292526>rating (A)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="12%"><B><FONT face=sans-serif color=#292526>(000)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="15%"><B><FONT face=sans-serif color=#292526>Value</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>&nbsp;&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%"><B><FONT face=sans-serif>Bonds
      103.79%</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="15%"><B><FONT face=sans-serif>$164,459,251</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD noWrap align=left width="99%" background="" colSpan=6><HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%"><FONT face=sans-serif>(Cost $168,633,175)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%"><B><FONT face=sans-serif><BR>Aerospace &amp;
      Defense 0.12%</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="15%"><B><FONT face=sans-serif>191,000</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%"><FONT face=sans-serif color=#292526>L-3 Communications
      Corp.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%"><FONT face=sans-serif color=#292526>Gtd Sr Sub Note
      Ser B</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>6.375%</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>10-15-15</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>BB+</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>$200</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="15%"><FONT face=sans-serif color=#292526>191,000</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%"><B><FONT face=sans-serif><BR>Agricultural
      Products 0.28%</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="15%"><B><FONT face=sans-serif>450,000</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%"><FONT face=sans-serif color=#292526>Cosan SA Industria
      e Comercio,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%"><FONT face=sans-serif color=#292526>Gtd Sr Perpetual
      Bond (Brazil) (S)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>8.250</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>02-15-49</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>BB</FONT>&nbsp;
</TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>500</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="15%"><FONT face=sans-serif color=#292526>450,000</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%"><B><FONT face=sans-serif><BR>Airlines
      0.66%</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="15%"><B><FONT face=sans-serif>1,046,114</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%"><FONT face=sans-serif color=#292526>Continental
      Airlines, Inc.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%"><FONT face=sans-serif color=#292526>Pass Thru Ctf Ser
      1999-1 Class A</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>6.545</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>02-02-19</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>A&#150;</FONT>&nbsp;
</TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>393</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="15%"><FONT face=sans-serif color=#292526>389,624</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%"><FONT face=sans-serif color=#292526>Pass Thru Ctf Ser
      2000-2 Class B (L)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>8.307</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>10-02-19</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>BB&#150;</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>398</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="15%"><FONT face=sans-serif color=#292526>382,077</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%"><FONT face=sans-serif color=#292526>Pass Thru Ctf Ser
      2001-1 Class C</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>7.033</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>06-15-11</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>B+</FONT>&nbsp;
</TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>281</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="15%"><FONT face=sans-serif color=#292526>274,358</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%"><FONT face=sans-serif color=#292526>Jet Equipment
      Trust,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%"><FONT face=sans-serif color=#292526>Equip Trust Ctf
      Ser 1995-B2 (B)(H)(S)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>10.910</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>08-15-14</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>D</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>550</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="15%"><FONT face=sans-serif color=#292526>55</FONT>&nbsp;
  </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%"><B><FONT face=sans-serif><BR>Aluminum
      0.61%</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="15%"><B><FONT face=sans-serif>960,000</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%"><FONT face=sans-serif color=#292526>Novelis,
      Inc.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%"><FONT face=sans-serif color=#292526>Sr Note (Canada)
      (P)(S)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>8.000</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>02-15-15</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>B</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>1,000</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="15%"><FONT face=sans-serif color=#292526>960,000</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%"><B><FONT face=sans-serif><BR>Asset Management
      &amp; Custody Banks</FONT></B>&nbsp;<B><FONT face=sans-serif>0.62%</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="11%" background="">&nbsp;</TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="15%"><B><FONT face=sans-serif>989,871</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%"><FONT face=sans-serif color=#292526>Rabobank Capital
      Fund II,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%"><FONT face=sans-serif color=#292526>Perpetual Bond
      (5.260% to 12-31-13</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%"><FONT face=sans-serif color=#292526>then variable)
      (S)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>5.260</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>12-29-49</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>AA</FONT>&nbsp;
</TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>1,055</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="15%"><FONT face=sans-serif color=#292526>989,871</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%"><B><FONT face=sans-serif><BR>Broadcasting &amp;
      Cable TV 3.64%</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="15%"><B><FONT face=sans-serif>5,772,177</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%"><FONT face=sans-serif color=#292526>Charter
      Communications Holdings II,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="50%" colSpan=2><FONT face=sans-serif color=#292526>LLC/Charter Communications Holdings II,</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%"><FONT face=sans-serif color=#292526>Capital
      Corp.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%"><FONT face=sans-serif color=#292526>Sr
      Note</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>10.250</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>09-15-10</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>CCC&#150;</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>2,000</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="15%"><FONT face=sans-serif color=#292526>2,005,000</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%"><FONT face=sans-serif color=#292526>Comcast Cable
      Communications</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%"><FONT face=sans-serif color=#292526>Holdings,
      Inc.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%"><FONT face=sans-serif color=#292526>Gtd
      Note</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>8.375</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>03-15-13</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>BBB+</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>980</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="15%"><FONT face=sans-serif color=#292526>1,088,427</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%"><FONT face=sans-serif color=#292526>Shaw
      Communications, Inc.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%"><FONT face=sans-serif color=#292526>Sr Note
      (Canada)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>8.250</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>04-11-10</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>BB+</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>1,000</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="15%"><FONT face=sans-serif color=#292526>1,032,500</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR></TABLE><BR>
<P align=left>
<TABLE>

  <TR>
    <TD noWrap><FONT face=sans-serif color=#292526>See notes to
      </FONT><BR><FONT face=sans-serif color=#292526>financial
      statements.</FONT><BR></TD></TR></TABLE></P>
<P align=left><B><FONT face=sans-serif color=#292526>6</FONT></B></P>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=--><A name=page_9></A>
<P align=left><FONT face=sans-serif color=#292526>F I N A N C I A
L&nbsp;&nbsp;&nbsp; S TAT E M E N T S</FONT></P>
<TABLE cellSpacing=1 cellPadding=0 width="80%" border=0>

  <TR vAlign=bottom>
    <TD noWrap align=left width="26%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="10%"><B><FONT face=sans-serif color=#292526>Interest</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="10%"><B><FONT face=sans-serif color=#292526>Maturity
    </FONT></B></TD>
    <TD noWrap align=left width="12%" background=""><STRONG><FONT face=Arial color=#292526>Credit</FONT></STRONG>&nbsp;&nbsp;&nbsp;</TD>
    <TD noWrap align=left width="13%"><B><FONT face=sans-serif color=#292526>Par
      value</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="26%"><B><FONT face=sans-serif color=#292526>Issuer,
      description</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="10%"><B><FONT face=sans-serif color=#292526>rate</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="10%"><B><FONT face=sans-serif color=#292526>date</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="12%"><B><FONT face=sans-serif color=#292526>rating
      (A)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="13%"><B><FONT face=sans-serif color=#292526>(000)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="14%"><B><FONT face=sans-serif color=#292526>Value</FONT></B>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="26%"><B><FONT face=sans-serif><BR>Broadcasting &amp; Cable
      TV</FONT></B>&nbsp; <B><FONT face=sans-serif>(continued)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="14%" background="">&nbsp;</TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=7>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="26%"><FONT face=sans-serif color=#292526>Videotron Ltee,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="26%"><FONT face=sans-serif color=#292526>Gtd Sr Note
      (Canada)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>6.375%</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>12-15-15</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>B+</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>$300</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>$273,750</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=7>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="26%"><FONT face=sans-serif color=#292526>XM Satellite Radio,
      Inc.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="26%"><FONT face=sans-serif color=#292526>Sr Note (S)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>9.750</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>05-01-14</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>CCC</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>1,500</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>1,372,500</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="26%"><B><FONT face=sans-serif><BR>Casinos &amp; Gaming
      6.33%</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%"><B><FONT face=sans-serif>10,028,968</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=7>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="40%" colSpan=2><FONT face=sans-serif color=#292526>Chukchansi Economic Development
      Auth,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="26%"><FONT face=sans-serif color=#292526>Sr Note (S)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>8.000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>11-15-13</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>BB&#150;</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>440</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>442,750</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=7>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="26%"><FONT face=sans-serif color=#292526>Isle of Capri Casinos,
      Inc.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="26%"><FONT face=sans-serif color=#292526>Gtd Sr Sub Note (L)</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>7.000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>03-01-14</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>B</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>500</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>471,875</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=7>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="26%"><FONT face=sans-serif color=#292526>Jacobs Entertainment,
      Inc.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="26%"><FONT face=sans-serif color=#292526>Sr Note (S)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>9.750</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>06-15-14</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>B&#150;</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>1,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>1,005,000</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=7>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="40%" colSpan=2><FONT face=sans-serif color=#292526>Little Traverse Bay Bands of
      Odawa Indians,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="26%"><FONT face=sans-serif color=#292526>Sr Note (S)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>10.250</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>02-15-14</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>B</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>1,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>987,500</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=7>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="40%" colSpan=2><FONT face=sans-serif color=#292526>Majestic Star Casino
      LLC/Majestic Star</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="26%"><FONT face=sans-serif color=#292526>Casino Capital II
      LLC,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="26%"><FONT face=sans-serif color=#292526>Sr Sec Note (S)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>9.750</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>01-15-11</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>B&#150;</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>1,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>1,002,500</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=7>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="26%"><FONT face=sans-serif color=#292526>Mashantucket West
      Pequot,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="26%"><FONT face=sans-serif color=#292526>Bond (S)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>5.912</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>09-01-21</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>BBB&#150;</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>275</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>255,316</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=7>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="40%" colSpan=2><FONT face=sans-serif color=#292526>Mohegan Tribal Gaming
      Auth,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="26%"><FONT face=sans-serif color=#292526>Sr Sub Note</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>7.125</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>08-15-14</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>B+</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>1,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>967,500</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=7>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="26%"><FONT face=sans-serif color=#292526>MTR Gaming Group,
      Inc.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="26%"><FONT face=sans-serif color=#292526>Gtd Sr Note Ser B</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>9.750</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>04-01-10</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>B+</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>800</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>845,000</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="26%"><FONT face=sans-serif color=#292526>Sr Sub Note (S)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>9.000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>06-01-12</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>B&#150;</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>350</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>351,312</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=7>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="26%"><FONT face=sans-serif color=#292526>Pokagon Gaming
      Auth,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="26%"><FONT face=sans-serif color=#292526>Sr Note (S)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>10.375</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>06-15-14</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>B</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>500</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>516,875</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=7>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="26%"><FONT face=sans-serif color=#292526>Seneca Gaming
      Corp.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="26%"><FONT face=sans-serif color=#292526>Sr Note</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>7.250</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>05-01-12</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>BB&#150;</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>1,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>968,750</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=7>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="40%" colSpan=2><FONT face=sans-serif color=#292526>Trump Entertainment Resorts,
      Inc.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="26%"><FONT face=sans-serif color=#292526>Gtd Sec Note</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>8.500</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>06-01-15</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>B&#150;</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>1,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>961,250</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=7>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="26%"><FONT face=sans-serif color=#292526>Waterford Gaming
      LLC,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="26%"><FONT face=sans-serif color=#292526>Sr Note (S)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>8.625</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>09-15-12</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>BB&#150;</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>1,188</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>1,253,340</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="40%" colSpan=2><B><FONT face=sans-serif><BR>Commercial Printing
      0.75%</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%"><B><FONT face=sans-serif>1,186,250</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=7>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="40%" colSpan=2><FONT face=sans-serif color=#292526>Quebecor World Capital
      Corp.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="26%"><FONT face=sans-serif color=#292526>Sr Note (Canada)
      (L)(S)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>8.750</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>03-15-16</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>BB&#150;</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>1,300</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>1,186,250</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="40%" colSpan=2><B><FONT face=sans-serif><BR>Commodity Chemicals
      0.70%</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%"><B><FONT face=sans-serif>1,114,752</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=7>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="26%"><FONT face=sans-serif color=#292526>Lyondell Chemical
      Co.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="26%"><FONT face=sans-serif color=#292526>Gtd Sec Note</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>9.500</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>12-15-08</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>BB&#150;</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>591</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>607,252</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="26%"><FONT face=sans-serif color=#292526>Gtd Sr Sub Note</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>10.875</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>05-01-09</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>B</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>500</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>507,500</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="40%" colSpan=2><B><FONT face=sans-serif><BR>Communications Equipment
      0.46%</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%"><B><FONT face=sans-serif>728,144</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=7>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="26%"><FONT face=sans-serif color=#292526>Corning, Inc.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="26%"><FONT face=sans-serif color=#292526>Note</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>6.050</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>06-15-15</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>BBB&#150;</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>740</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>728,144</FONT>&nbsp;
  </TD></TR></TABLE><BR>
<P align=left>
<TABLE>

  <TR>
    <TD noWrap><FONT face=sans-serif color=#292526>See notes to
      </FONT><BR><FONT face=sans-serif color=#292526>financial
      statements.</FONT><BR></TD></TR></TABLE></P>
<P align=left><B><FONT face=sans-serif color=#292526>7</FONT></B></P>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=--><A name=page_10></A>
<P align=left><FONT face=sans-serif color=#292526>F I N A N C I A
L&nbsp;&nbsp;&nbsp; S TAT E M E N T S</FONT></P>
<TABLE cellSpacing=1 cellPadding=0 width="80%" border=0>

  <TR vAlign=bottom>
    <TD noWrap align=left width="41%">&nbsp; </TD>
    <TD noWrap align=left width="9%"><B><FONT face=sans-serif color=#292526>Interest</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="10%"><B><FONT face=sans-serif color=#292526>Maturity </FONT></B></TD>
    <TD noWrap align=left width="12%" background=""><STRONG><FONT face=Arial color=#292526>Credit</FONT></STRONG>&nbsp;&nbsp;&nbsp;</TD>
    <TD noWrap align=left width="14%"><B><FONT face=sans-serif color=#292526>Par value</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="41%"><B><FONT face=sans-serif color=#292526>Issuer, description</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="9%"><B><FONT face=sans-serif color=#292526>rate</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="10%"><B><FONT face=sans-serif color=#292526>date</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="12%"><B><FONT face=sans-serif color=#292526>rating (A)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="14%"><B><FONT face=sans-serif color=#292526>(000)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="13%"><B><FONT face=sans-serif color=#292526>Value</FONT></B>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="41%"><B><FONT face=sans-serif><BR>Construction
      Materials 0.24%</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="9%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%"><B><FONT face=sans-serif>$373,700</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="41%"><FONT face=sans-serif color=#292526>Votorantim
      Overseas IV,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="9%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="41%"><FONT face=sans-serif color=#292526>Gtd Note (Cayman
      Islands) (S)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif color=#292526>7.750%</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>06-24-20</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>BBB&#150;</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>$370</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>373,700</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="60%" colSpan=3><B><FONT face=sans-serif><BR>Construction &amp;
      Farm Machinery &amp; Heavy Trucks</FONT></B>&nbsp;<B><FONT face=sans-serif>0.31%</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%"><B><FONT face=sans-serif>490,000</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="41%"><FONT face=sans-serif color=#292526>Manitowoc Co.,
      Inc. (The),</FONT>&nbsp; </TD>
    <TD noWrap align=left width="9%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="41%"><FONT face=sans-serif color=#292526>Gtd Sr
      Note</FONT>&nbsp; </TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif color=#292526>7.125</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>11-01-13</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>BB&#150;</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>500</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>490,000</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="41%"><B><FONT face=sans-serif><BR>Consumer Finance
      1.54%</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="9%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%"><B><FONT face=sans-serif>2,447,756</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="41%"><FONT face=sans-serif color=#292526>Ford Motor Credit
      Co.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="9%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="41%"><FONT face=sans-serif color=#292526>Note</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif color=#292526>7.375</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>10-28-09</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>BBB&#150;</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>1,925</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>1,779,736</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="41%"><FONT face=sans-serif color=#292526>HSBC Finance
      Capital Trust IX,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="9%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="41%"><FONT face=sans-serif color=#292526>Note (5.911% to
      11-30-15</FONT>&nbsp; </TD>
    <TD noWrap align=left width="9%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="41%"><FONT face=sans-serif color=#292526>then
      variable)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif color=#292526>5.911</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>11-30-35</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>BBB+</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>700</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>668,020</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="41%"><B><FONT face=sans-serif><BR>Diversified Banks
      2.36%</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="9%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%"><B><FONT face=sans-serif>3,746,276</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="41%"><FONT face=sans-serif color=#292526>Bank of New
      York,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="9%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="41%"><FONT face=sans-serif color=#292526>Cap Security
      (S)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif color=#292526>7.780</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>12-01-26</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>A&#150;</FONT>&nbsp;
</TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>620</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>647,943</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="41%"><FONT face=sans-serif color=#292526>Barclays Bank
      Plc,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="9%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="41%"><FONT face=sans-serif color=#292526>Perpetual Bond
      (6.86% to 6-15-32</FONT>&nbsp; </TD>
    <TD noWrap align=left width="9%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="41%"><FONT face=sans-serif color=#292526>then variable)
      (United Kingdom) (S)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif color=#292526>6.860</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>09-29-49</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>A+</FONT>&nbsp;
</TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>1,595</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>1,595,002</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="41%"><FONT face=sans-serif color=#292526>Chuo Mitsui Trust
      &amp; Banking Co., Ltd.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="9%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="41%"><FONT face=sans-serif color=#292526>Perpetual Sub Note
      (5.506% to 04-15-15</FONT>&nbsp; </TD>
    <TD noWrap align=left width="9%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="41%"><FONT face=sans-serif color=#292526>then variable)
      (Japan) (S)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif color=#292526>5.506</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>12-01-49</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>Baa2</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>905</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>825,303</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="41%"><FONT face=sans-serif color=#292526>Royal Bank of
      Scotland Group Plc,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="9%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="41%"><FONT face=sans-serif color=#292526>Perpetual Bond
      (7.648% to 09-30-31</FONT>&nbsp; </TD>
    <TD noWrap align=left width="9%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="41%"><FONT face=sans-serif color=#292526>then variable)
      (United Kingdom)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif color=#292526>7.648</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>08-29-49</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>A</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>630</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>678,028</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="41%"><B><FONT face=sans-serif><BR>Diversified
      Chemicals 1.22%</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="9%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%"><B><FONT face=sans-serif>1,940,337</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="41%"><FONT face=sans-serif color=#292526>NOVA Chemicals
      Corp.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="9%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="41%"><FONT face=sans-serif color=#292526>Med Term Note
      (Canada)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif color=#292526>7.400</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>04-01-09</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>BB+</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>1,955</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>1,940,337</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="60%" colSpan=3><B><FONT face=sans-serif><BR>Diversified
      Commercial &amp; Professional Services</FONT></B>&nbsp; <B><FONT face=sans-serif>0.48%</FONT></B>&nbsp;
    </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%"><B><FONT face=sans-serif>759,189</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="41%"><FONT face=sans-serif color=#292526>Hutchison Whampoa
      International Ltd.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="9%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="41%"><FONT face=sans-serif color=#292526>Gtd Sr Note
      (Cayman Islands) (S)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif color=#292526>6.500</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>02-13-13</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>A&#150;</FONT>&nbsp;
</TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>750</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>759,189</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="41%"><B><FONT face=sans-serif><BR>Diversified
      Financial Services 0.56%</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="9%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%"><B><FONT face=sans-serif>890,890</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="41%"><FONT face=sans-serif color=#292526>St. George Funding
      Co.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="9%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="41%"><FONT face=sans-serif color=#292526>Perpetual Bond
      (8.485% to 06-30-17</FONT>&nbsp; </TD>
    <TD noWrap align=left width="9%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="41%"><FONT face=sans-serif color=#292526>then variable)
      (Australia) (S)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif color=#292526>8.485</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>12-31-49</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>Baa1</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>840</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>890,890</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="41%"><B><FONT face=sans-serif><BR>Diversified Metals
      &amp; Mining 0.59%</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="9%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%"><B><FONT face=sans-serif>939,650</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="41%"><FONT face=sans-serif color=#292526>Freeport-McMoRan
      Copper &amp; Gold, Inc.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="9%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="41%"><FONT face=sans-serif color=#292526>Sr
      Note</FONT>&nbsp; </TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif color=#292526>6.875</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>02-01-14</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>B+</FONT>&nbsp;
</TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>500</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>481,250</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="41%"><FONT face=sans-serif color=#292526>Vedanta Resources
      Plc,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="9%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="41%"><FONT face=sans-serif color=#292526>Sr Note (United
      Kingdom) (S)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif color=#292526>6.625</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>02-22-10</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>BB+</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>480</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>458,400</FONT>&nbsp; </TD></TR></TABLE><BR>
<P align=left>
<TABLE>

  <TR>
    <TD noWrap><FONT face=sans-serif color=#292526>See notes to
      </FONT><BR><FONT face=sans-serif color=#292526>financial
      statements.</FONT><BR></TD></TR></TABLE></P>
<P align=left><B><FONT face=sans-serif color=#292526>8</FONT></B></P>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=--><A name=page_11></A>
<P align=left><FONT face=sans-serif color=#292526>F I N A N C I A
L&nbsp;&nbsp;&nbsp; S TAT E M E N T S</FONT></P>
<TABLE cellSpacing=1 cellPadding=0 width="80%" border=0>

  <TR vAlign=bottom>
    <TD noWrap align=left width="39%">&nbsp; </TD>
    <TD noWrap align=left width="12%"><B><FONT face=sans-serif color=#292526>Interest</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="10%"><B><FONT face=sans-serif color=#292526>Maturity </FONT></B></TD>
    <TD noWrap align=left width="12%" background=""><STRONG><FONT face=Arial color=#292526>Credit</FONT></STRONG>&nbsp;&nbsp;&nbsp;</TD>
    <TD noWrap align=left width="12%"><B><FONT face=sans-serif color=#292526>Par value</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%"><B><FONT face=sans-serif color=#292526>Issuer, description</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="12%"><B><FONT face=sans-serif color=#292526>rate</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="10%"><B><FONT face=sans-serif color=#292526>date</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="12%"><B><FONT face=sans-serif color=#292526>rating (A)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="12%"><B><FONT face=sans-serif color=#292526>(000)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="14%"><B><FONT face=sans-serif color=#292526>Value</FONT></B>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%"><B><FONT face=sans-serif><BR>Electric Utilities
      8.35%</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%"><B><FONT face=sans-serif>$13,231,885</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%"><FONT face=sans-serif color=#292526>AES Eastern Energy
      LP,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%"><FONT face=sans-serif color=#292526>Pass Thru Ctf Ser
      1999-A</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>9.000%</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>01-02-17</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>BB+</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>$1,211</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>1,317,302</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%"><FONT face=sans-serif color=#292526>Beaver Valley
      Funding Corp.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%"><FONT face=sans-serif color=#292526>Sec Lease
      Obligation Bond</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>9.000</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>06-01-17</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>BBB&#150;</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>915</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>1,017,279</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%"><FONT face=sans-serif color=#292526>BVPS II Funding
      Corp.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%"><FONT face=sans-serif color=#292526>Collateralized
      Lease Bond</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>8.890</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>06-01-17</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>BB+</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>700</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>787,521</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%"><FONT face=sans-serif color=#292526>CE Generation
      LLC,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%"><FONT face=sans-serif color=#292526>Sr Sec
      Note</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>7.416</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>12-15-18</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>BB&#150;</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>748</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>764,019</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%"><FONT face=sans-serif color=#292526>Empresa Electrica
      Guacolda SA,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%"><FONT face=sans-serif color=#292526>Sr Sec Note
      (S)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>8.625</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>04-30-13</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>BBB&#150;</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>790</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>852,803</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%"><FONT face=sans-serif color=#292526>FPL Energy
      National Wind,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%"><FONT face=sans-serif color=#292526>Sr Sec Note
      (S)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>5.608</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>03-10-24</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>BBB&#150;</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>365</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>350,309</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%"><FONT face=sans-serif color=#292526>HQI Transelect
      Chile SA,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%"><FONT face=sans-serif color=#292526>Sr Note
      (Chile)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>7.875</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>04-15-11</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>A&#150;</FONT>&nbsp;
</TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>1,175</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>1,237,289</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%"><FONT face=sans-serif color=#292526>Indiantown
      Cogeneration LP,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%"><FONT face=sans-serif color=#292526>1st Mtg Note Ser
      A-9</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>9.260</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>12-15-10</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>BB+</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>397</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>416,332</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%"><FONT face=sans-serif color=#292526>IPALCO
      Enterprises, Inc.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%"><FONT face=sans-serif color=#292526>Sr Sec
      Note</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>8.625</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>11-14-11</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>BB&#150;</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>315</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>333,900</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%"><FONT face=sans-serif color=#292526>Kansas Gas &amp;
      Electric Co.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%"><FONT face=sans-serif color=#292526>Bond</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>5.647</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>03-29-21</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>BB&#150;</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>425</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>400,864</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%"><FONT face=sans-serif color=#292526>Midland Funding
      Corp. II,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%"><FONT face=sans-serif color=#292526>Lease Obligation
      Bond Ser B</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>13.250</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>07-23-06</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>BB&#150;</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>2,000</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>2,006,506</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%"><FONT face=sans-serif color=#292526>MSW Energy
      Holdings II LLC/MSW</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%"><FONT face=sans-serif color=#292526>Energy Finance
      Co., II, Inc.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%"><FONT face=sans-serif color=#292526>Sr Sec Note Ser
      B</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>7.375</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>09-01-10</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>BB&#150;</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>750</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>750,000</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%"><FONT face=sans-serif color=#292526>PNPP II Funding
      Corp.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%"><FONT face=sans-serif color=#292526>Deb</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>9.120</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>05-30-16</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>BB+</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>466</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>523,537</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%"><FONT face=sans-serif color=#292526>System Energy
      Resources, Inc.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%"><FONT face=sans-serif color=#292526>Sec Bond
      (S)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>5.129</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>01-15-14</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>BBB</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>409</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>393,517</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%"><FONT face=sans-serif color=#292526>TransAlta
      Corp.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%"><FONT face=sans-serif color=#292526>Note
      (Canada)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>5.750</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>12-15-13</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>BBB&#150;</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>1,000</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>963,717</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%"><FONT face=sans-serif color=#292526>TXU
      Corp.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%"><FONT face=sans-serif color=#292526>Sec
      Bond</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>7.460</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>01-01-15</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>BBB</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>571</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>581,358</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%"><FONT face=sans-serif color=#292526>Waterford 3
      Funding Corp.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%"><FONT face=sans-serif color=#292526>Sec Lease
      Obligation Bond</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>8.090</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>01-02-17</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>BBB&#150;</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>525</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>535,632</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%" colSpan=2><B><FONT face=sans-serif><BR>Electrical
      Components &amp; Equipment</FONT></B>&nbsp; <B><FONT face=sans-serif>0.96%</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%"><B><FONT face=sans-serif>1,525,894</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%"><FONT face=sans-serif color=#292526>AMETEK,
      Inc.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%"><FONT face=sans-serif color=#292526>Sr
      Note</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>7.200</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>07-15-08</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>BBB</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>1,500</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>1,525,894</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%" colSpan=2><B><FONT face=sans-serif><BR>Electronic
      Equipment Manufacturers</FONT></B>&nbsp; <B><FONT face=sans-serif>0.49%</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%"><B><FONT face=sans-serif>777,469</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%"><FONT face=sans-serif color=#292526>Thomas &amp; Betts
      Corp.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%"><FONT face=sans-serif color=#292526>Sr
      Note</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>7.250</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>06-01-13</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>BBB&#150;</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>745</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>777,469</FONT>&nbsp; </TD></TR></TABLE><BR>
<P align=left>
<TABLE>

  <TR>
    <TD noWrap><FONT face=sans-serif color=#292526>See notes to
      </FONT><BR><FONT face=sans-serif color=#292526>financial
      statements.</FONT><BR></TD></TR></TABLE></P>
<P align=left><B><FONT face=sans-serif color=#292526>9</FONT></B></P>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=--><A name=page_12></A>
<P align=left><FONT face=sans-serif color=#292526>F I N A N C I A
L&nbsp;&nbsp;&nbsp; S TAT E M E N T S</FONT></P>
<TABLE cellSpacing=1 cellPadding=0 width="80%" border=0>

  <TR vAlign=bottom>
    <TD noWrap align=left width="21%">&nbsp; </TD>
    <TD noWrap align=left width="18%">&nbsp; </TD>
    <TD noWrap align=left width="10%"><B><FONT face=sans-serif color=#292526>Interest</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="11%"><B><FONT face=sans-serif color=#292526>Maturity </FONT></B></TD>
    <TD noWrap align=left width="11%" background=""><STRONG><FONT face=Arial color=#292526>Credit</FONT></STRONG>&nbsp;&nbsp;&nbsp;</TD>
    <TD noWrap align=left width="14%"><B><FONT face=sans-serif color=#292526>Par value</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="21%"><B><FONT face=sans-serif color=#292526>Issuer, description</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="18%">&nbsp; </TD>
    <TD noWrap align=left width="10%"><B><FONT face=sans-serif color=#292526>rate</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="11%"><B><FONT face=sans-serif color=#292526>date</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="11%"><B><FONT face=sans-serif color=#292526>rating (A)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="14%"><B><FONT face=sans-serif color=#292526>(000)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="14%"><B><FONT face=sans-serif color=#292526>Value</FONT></B>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="21%"><B><FONT face=sans-serif><BR>Food Retail
      1.84%</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="18%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="14%"><B><FONT face=sans-serif>$2,921,131</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=7>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%" colSpan=2><FONT face=sans-serif color=#292526>Ahold Finance USA, Inc.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%" colSpan=2><FONT face=sans-serif color=#292526>Gtd Pass Thru Ctf Ser 2001A-1</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>7.820%</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>01-02-20</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>BB</FONT>&nbsp;
</TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>$1,254</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>1,276,216</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=7>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="21%"><FONT face=sans-serif color=#292526>Delhaize America,
      Inc.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="18%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="21%"><FONT face=sans-serif color=#292526>Gtd
      Note</FONT>&nbsp; </TD>
    <TD noWrap align=left width="18%">&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>9.000</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>04-15-31</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>BB+</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>1,500</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>1,644,915</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="21%"><B><FONT face=sans-serif><BR>Gas Utilities
      1.02%</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="18%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="14%"><B><FONT face=sans-serif>1,622,076</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=7>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%" colSpan=2><FONT face=sans-serif color=#292526>Energy Transfer Partners,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="21%"><FONT face=sans-serif color=#292526>Gtd Sr Note
      (G)(L)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="18%">&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>5.950</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>02-01-15</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>BBB&#150;</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>1,170</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>1,126,673</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=7>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%" colSpan=2><FONT face=sans-serif color=#292526>MarkWest Energy Partners LP/MarkWest</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%" colSpan=2><FONT face=sans-serif color=#292526>Energy Finance Corp.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="21%"><FONT face=sans-serif color=#292526>Sr Note
      (S)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="18%">&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>8.500</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>07-15-16</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>B</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>500</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>495,403</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%" colSpan=2><B><FONT face=sans-serif><BR>Health Care
      Facilities</FONT></B>&nbsp;<B><FONT face=sans-serif>0.53%</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="14%"><B><FONT face=sans-serif>839,287</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=7>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="21%"><FONT face=sans-serif color=#292526>Manor Care,
      Inc.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="18%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="21%"><FONT face=sans-serif color=#292526>Gtd
      Note</FONT>&nbsp; </TD>
    <TD noWrap align=left width="18%">&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>6.250</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>05-01-13</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>BBB</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>855</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>839,287</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%" colSpan=2><B><FONT face=sans-serif><BR>Health Care
      Services</FONT></B>&nbsp;<B><FONT face=sans-serif>0.56%</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="14%"><B><FONT face=sans-serif>890,000</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=7>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="21%"><FONT face=sans-serif color=#292526>Alliance Imaging,
      Inc.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="18%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="21%"><FONT face=sans-serif color=#292526>Sr Sub Note
      (L)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="18%">&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>7.250</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>12-15-12</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>B&#150;</FONT>&nbsp;
</TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>1,000</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>890,000</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%" colSpan=2><B><FONT face=sans-serif><BR>Health Care
      Supplies</FONT></B>&nbsp;<B><FONT face=sans-serif>0.63%</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="14%"><B><FONT face=sans-serif>990,000</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=7>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%" colSpan=2><FONT face=sans-serif color=#292526>Hanger Orthopedic Group, Inc.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="21%"><FONT face=sans-serif color=#292526>Sr Note
      (L)(S)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="18%">&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>10.250</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>06-01-14</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>CCC+</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>1,000</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>990,000</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%" colSpan=2><B><FONT face=sans-serif><BR>Hotels, Resorts
      &amp; Cruise Lines 1.50%</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="14%"><B><FONT face=sans-serif>2,377,886</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=7>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%" colSpan=2><FONT face=sans-serif color=#292526>HRP Myrtle Beach Operations LLC/HRP</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%" colSpan=2><FONT face=sans-serif color=#292526>Myrtle Beach Operations Capital Corp.,</FONT>&nbsp;
</TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%" colSpan=2><FONT face=sans-serif color=#292526>Sr
      Sec Floating Rate Note (P)(S)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>9.818</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>04-01-12</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>B</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>1,335</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>1,321,650</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=7>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="21%"><FONT face=sans-serif color=#292526>Hyatt Equities
      LLC,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="18%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="21%"><FONT face=sans-serif color=#292526>Note
      (S)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="18%">&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>6.875</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>06-15-07</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>BBB</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>1,050</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>1,056,236</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%" colSpan=2><B><FONT face=sans-serif><BR>Industrial
      Conglomerates 0.38%</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="14%"><B><FONT face=sans-serif>606,000</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=7>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="21%"><FONT face=sans-serif color=#292526>Waste Services,
      Inc.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="18%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="21%"><FONT face=sans-serif color=#292526>Gtd Sr Sub
      Note</FONT>&nbsp; </TD>
    <TD noWrap align=left width="18%">&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>9.500</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>04-15-14</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>CCC</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>600</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>606,000</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%" colSpan=2><B><FONT face=sans-serif><BR>Industrial
      Machinery 1.35%</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="14%"><B><FONT face=sans-serif>2,142,052</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=7>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="21%"><FONT face=sans-serif color=#292526>Kennametal,
      Inc.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="18%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="21%"><FONT face=sans-serif color=#292526>Sr
      Note</FONT>&nbsp; </TD>
    <TD noWrap align=left width="18%">&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>7.200</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>06-15-12</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>BBB</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>1,385</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>1,444,494</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=7>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="21%"><FONT face=sans-serif color=#292526>Trinity
      Industries, Inc.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="18%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="21%"><FONT face=sans-serif color=#292526>Pass Thru Ctf
      (S)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="18%">&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>7.755</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>02-15-09</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>Ba1</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>690</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>697,558</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%" colSpan=2><B><FONT face=sans-serif><BR>Integrated Oil
      &amp; Gas</FONT></B>&nbsp;<B><FONT face=sans-serif>1.18%</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="14%"><B><FONT face=sans-serif>1,872,318</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=7>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="39%" colSpan=2><FONT face=sans-serif color=#292526>Pemex Project Funding Master Trust,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="21%"><FONT face=sans-serif color=#292526>Gtd
      Note</FONT>&nbsp; </TD>
    <TD noWrap align=left width="18%">&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>9.125</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>10-13-10</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>BBB</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>565</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>618,675</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=7>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="21%"><FONT face=sans-serif color=#292526>Petro-Canada,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="18%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="21%"><FONT face=sans-serif color=#292526>Deb
      (Canada)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="18%">&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>9.250</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>10-15-21</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>BBB</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>1,000</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>1,253,643</FONT>&nbsp; </TD></TR></TABLE><BR>
<P align=left>
<TABLE>

  <TR>
    <TD noWrap><FONT face=sans-serif color=#292526>See notes to
      </FONT><BR><FONT face=sans-serif color=#292526>financial
      statements.</FONT><BR></TD></TR></TABLE></P>
<P align=left><B><FONT face=sans-serif color=#292526>10</FONT></B></P>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=--><A name=page_13></A>
<P align=left><FONT face=sans-serif color=#292526>F I N A N C I A
L&nbsp;&nbsp;&nbsp; S TAT E M E N T S</FONT></P>
<TABLE cellSpacing=1 cellPadding=0 width="80%" border=0>

  <TR vAlign=bottom>
    <TD noWrap align=left width="40%">&nbsp; </TD>
    <TD noWrap align=left width="10%"><B><FONT face=sans-serif color=#292526>Interest</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="10%"><B><FONT face=sans-serif color=#292526>Maturity
    </FONT></B></TD>
    <TD noWrap align=left width="12%" background=""><STRONG><FONT face=Arial color=#292526>Credit</FONT></STRONG>&nbsp;&nbsp;&nbsp;</TD>
    <TD noWrap align=left width="13%"><B><FONT face=sans-serif color=#292526>Par
      value</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="40%"><B><FONT face=sans-serif color=#292526>Issuer,
      description</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="10%"><B><FONT face=sans-serif color=#292526>rate</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="10%"><B><FONT face=sans-serif color=#292526>date</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="12%"><B><FONT face=sans-serif color=#292526>rating
      (A)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="13%"><B><FONT face=sans-serif color=#292526>(000)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="14%"><B><FONT face=sans-serif color=#292526>Value</FONT></B>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="50%" colSpan=2><B><FONT face=sans-serif><BR>Integrated Telecommunication
      Services 4.02%</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%"><B><FONT face=sans-serif>$6,369,981</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="40%"><FONT face=sans-serif color=#292526>AT&amp;T Corp.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="40%"><FONT face=sans-serif color=#292526>Gtd Sr Note</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>8.000%</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>11-15-31</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>A</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>$490</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>562,570</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="40%"><FONT face=sans-serif color=#292526>Bellsouth Corp.,</FONT>&nbsp;
</TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="40%"><FONT face=sans-serif color=#292526>Deb</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>6.300</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>12-15-15</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>A</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>999</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>997,481</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="40%"><FONT face=sans-serif color=#292526>Cincinnati Bell,
      Inc.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="40%"><FONT face=sans-serif color=#292526>Sr Sub Note (L)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>8.375</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>01-15-14</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>B&#150;</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>1,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>985,000</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="40%"><FONT face=sans-serif color=#292526>Intelsat Subsidiary Holding Co.,
      Ltd.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="40%"><FONT face=sans-serif color=#292526>Gtd Sr Floating Rate Note
      (Bermuda)(P)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>9.614</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>01-15-12</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>B+</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>450</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>454,500</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="40%"><FONT face=sans-serif color=#292526>Qwest Capital Funding,
      Inc.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="40%"><FONT face=sans-serif color=#292526>Gtd Note (L)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>7.000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>08-03-09</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>B</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>1,700</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>1,670,250</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="40%"><FONT face=sans-serif color=#292526>Sprint Capital
      Corp.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="40%"><FONT face=sans-serif color=#292526>Gtd Sr Note</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>6.900</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>05-01-19</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>A&#150;</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>1,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>1,027,384</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="40%"><FONT face=sans-serif color=#292526>Telefonos de Mexico, SA de
      CV,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="40%"><FONT face=sans-serif color=#292526>Note (Mexico)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>5.500</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>01-27-15</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>BBB</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>735</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>672,796</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="50%" colSpan=2><B><FONT face=sans-serif><BR>Investment Banking &amp; Brokerage
      0.50%</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%"><B><FONT face=sans-serif>786,150</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="40%"><FONT face=sans-serif color=#292526>Mizuho Financial Group Cayman
      Ltd.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="40%"><FONT face=sans-serif color=#292526>Gtd Sub Bond (Cayman
      Islands)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>8.375</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>12-29-49</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>A2</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>750</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>786,150</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="40%"><B><FONT face=sans-serif><BR>IT Consulting &amp; Other Services
      0.83%</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%"><B><FONT face=sans-serif>1,316,561</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="40%"><FONT face=sans-serif color=#292526>NCR Corp.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="40%"><FONT face=sans-serif color=#292526>Note</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>7.125</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>06-15-09</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>BBB&#150;</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>375</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>382,811</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="40%"><FONT face=sans-serif color=#292526>Unisys Corp.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="40%"><FONT face=sans-serif color=#292526>Sr Note (L)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>6.875</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>03-15-10</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>BB+</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>1,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>933,750</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="40%"><B><FONT face=sans-serif><BR>Leisure Facilities
      1.12%</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%"><B><FONT face=sans-serif>1,781,362</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="40%"><FONT face=sans-serif color=#292526>AMC Entertainment,
      Inc.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="40%"><FONT face=sans-serif color=#292526>Sr Sub Note (L)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>9.500</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>02-01-11</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>CCC+</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>1,065</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>1,046,362</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="40%"><FONT face=sans-serif color=#292526>Cinemark USA, Inc.,</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="40%"><FONT face=sans-serif color=#292526>Sr Sub Note (L)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>9.000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>02-01-13</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>B&#150;</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>700</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>735,000</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="40%"><B><FONT face=sans-serif><BR>Life &amp; Health Insurance
      0.31%</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%"><B><FONT face=sans-serif>486,163</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="40%"><FONT face=sans-serif color=#292526>Phoenix Cos., Inc.
      (The),</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="40%"><FONT face=sans-serif color=#292526>Bond</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>6.675</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>02-16-08</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>BBB</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>485</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>486,163</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="40%"><B><FONT face=sans-serif><BR>Managed Health Care
      0.63%</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%"><B><FONT face=sans-serif>997,500</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="40%"><FONT face=sans-serif color=#292526>Healthsouth Corp.,</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="40%"><FONT face=sans-serif color=#292526>Sr Note (S)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>11.418</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>06-15-14</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>CCC+</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>1,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>997,500</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="40%"><B><FONT face=sans-serif><BR>Metal &amp; Glass Containers
      1.69%</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%"><B><FONT face=sans-serif>2,681,750</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="40%"><FONT face=sans-serif color=#292526>BWAY Corp.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="40%"><FONT face=sans-serif color=#292526>Gtd Sr Sub Note</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>10.000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>10-15-10</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>B&#150;</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>1,085</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>1,139,250</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="40%"><FONT face=sans-serif color=#292526>Owens-Brockway Glass Container,
      Inc.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="40%"><FONT face=sans-serif color=#292526>Gtd Sr Note</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>8.250</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>05-15-13</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>B</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>500</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>501,250</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="40%"><FONT face=sans-serif color=#292526>Gtd Sr Sec Note</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>8.750</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>11-15-12</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>BB&#150;</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>1,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>1,041,250</FONT>&nbsp;
  </TD></TR></TABLE><BR>
<P align=left>
<TABLE>

  <TR>
    <TD noWrap><FONT face=sans-serif color=#292526>See notes to
      </FONT><BR><FONT face=sans-serif color=#292526>financial
      statements.</FONT><BR></TD></TR></TABLE></P>
<P align=left><B><FONT face=sans-serif color=#292526>11</FONT></B></P>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=--><A name=page_14></A>
<P align=left><FONT face=sans-serif color=#292526>F I N A N C I A
L&nbsp;&nbsp;&nbsp; S TAT E M E N T S</FONT></P>
<TABLE cellSpacing=1 cellPadding=0 width="80%" border=0>

  <TR vAlign=bottom>
    <TD noWrap align=left width="37%">&nbsp; </TD>
    <TD noWrap align=left width="13%"><B><FONT face=sans-serif color=#292526>Interest</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="10%"><B><FONT face=sans-serif color=#292526>Maturity </FONT></B></TD>
    <TD noWrap align=left width="12%" background=""><STRONG><FONT face=Arial color=#292526>Credit</FONT></STRONG>&nbsp;&nbsp;&nbsp;</TD>
    <TD noWrap align=left width="14%"><B><FONT face=sans-serif color=#292526>Par value</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="37%"><B><FONT face=sans-serif color=#292526>Issuer, description</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="13%"><B><FONT face=sans-serif color=#292526>rate</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="10%"><B><FONT face=sans-serif color=#292526>date</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="12%"><B><FONT face=sans-serif color=#292526>rating (A)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="14%"><B><FONT face=sans-serif color=#292526>(000)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="13%"><B><FONT face=sans-serif color=#292526>Value</FONT></B>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="37%"><B><FONT face=sans-serif><BR>Multi-Line
      Insurance 0.30%</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%"><B><FONT face=sans-serif>$482,720</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="37%"><FONT face=sans-serif color=#292526>Assurant,
      Inc.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="37%"><FONT face=sans-serif color=#292526>Sr
      Note</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>6.750%</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>02-15-34</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>BBB+</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>$490</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>482,720</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="37%"><B><FONT face=sans-serif><BR>Multi-Media
      0.72%</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%"><B><FONT face=sans-serif>1,143,330</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="37%"><FONT face=sans-serif color=#292526>News America
      Holdings,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="37%"><FONT face=sans-serif color=#292526>Gtd Sr
      Deb</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>7.750</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>01-20-24</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>BBB</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>980</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>1,050,230</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="37%"><FONT face=sans-serif color=#292526>Quebecor Media,
      Inc.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="37%"><FONT face=sans-serif color=#292526>Sr Note (Canada)
      (S)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>7.750</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>03-15-16</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>B</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>95</FONT>&nbsp;
</TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>93,100</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="37%"><B><FONT face=sans-serif><BR>Multi-Utilities
      1.71%</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%"><B><FONT face=sans-serif>2,708,587</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="37%"><FONT face=sans-serif color=#292526>CalEnergy Co.,
      Inc.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="37%"><FONT face=sans-serif color=#292526>Sr
      Bond</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>8.480</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>09-15-28</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>BBB+</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>525</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>635,627</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="37%"><FONT face=sans-serif color=#292526>Dynegy-Roseton
      Danskamme,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="37%"><FONT face=sans-serif color=#292526>Gtd Pass Thru Ctf
      Ser B</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>7.670</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>11-08-16</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>B</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>500</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>498,750</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="37%"><FONT face=sans-serif color=#292526>Salton Sea Funding
      Corp.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="37%"><FONT face=sans-serif color=#292526>Sr Sec Note Ser
      C</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>7.840</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>05-30-10</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>BB+</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>1,535</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>1,574,210</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="37%"><B><FONT face=sans-serif><BR>Office Services
      &amp; Supplies 0.62%</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%"><B><FONT face=sans-serif>977,466</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="37%"><FONT face=sans-serif color=#292526>Steelcase,
      Inc.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="37%"><FONT face=sans-serif color=#292526>Sr
      Note</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>6.375</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>11-15-06</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>BBB&#150;</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>980</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>977,466</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="37%"><B><FONT face=sans-serif><BR>Oil &amp; Gas
      Drilling 0.94%</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%"><B><FONT face=sans-serif>1,484,407</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="37%"><FONT face=sans-serif color=#292526>Delek &amp;
      Avner-Yam Tethys Ltd.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="37%"><FONT face=sans-serif color=#292526>Sr Sec Note
      (Israel) (S)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>5.326</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>08-01-13</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>BBB&#150;</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>348</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>338,157</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="37%"><FONT face=sans-serif color=#292526>Gazprom,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="37%"><FONT face=sans-serif color=#292526>Loan Part Note
      (Germany) (S)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>9.625</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>03-01-13</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>BB+</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>1,000</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>1,146,250</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="50%" colSpan=2><B><FONT face=sans-serif><BR>Oil &amp; Gas
      Equipment &amp; Services 0.15%</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%"><B><FONT face=sans-serif>233,125</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="37%"><FONT face=sans-serif color=#292526>Grant Prideco,
      Inc.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="37%"><FONT face=sans-serif color=#292526>Sr Note Ser
      B</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>6.125</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>08-15-15</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>BB</FONT>&nbsp;
</TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>250</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>233,125</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="50%" colSpan=2><B><FONT face=sans-serif><BR>Oil &amp; Gas
      Exploration &amp; Production</FONT></B>&nbsp;<B><FONT face=sans-serif>0.90%</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%"><B><FONT face=sans-serif>1,430,460</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="37%"><FONT face=sans-serif color=#292526>Pioneer Natural
      Resources Co.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="37%"><FONT face=sans-serif color=#292526>Gtd Sr
      Note</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>7.200</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>01-15-28</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>BB+</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>1,000</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>937,960</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="37%"><FONT face=sans-serif color=#292526>Plains Exploration
      &amp; Production Co.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="37%"><FONT face=sans-serif color=#292526>Sr
      Note</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>7.125</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>06-15-14</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>BB&#150;</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>500</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>492,500</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="50%" colSpan=2><B><FONT face=sans-serif><BR>Oil &amp; Gas
      Refining &amp; Marketing 1.18%</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%"><B><FONT face=sans-serif>1,866,653</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="37%"><FONT face=sans-serif color=#292526>Enterprise
      Products Operations LP,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="37%"><FONT face=sans-serif color=#292526>Gtd Sr Note Ser
      B</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>5.600</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>10-15-14</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>BB+</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>1,000</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>946,653</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="37%"><FONT face=sans-serif color=#292526>Reliant Energy
      Inc.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="37%"><FONT face=sans-serif color=#292526>Sr Sec
      Note</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>6.750</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>12-15-14</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>B+</FONT>&nbsp;
</TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>1,000</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>920,000</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="50%" colSpan=2><B><FONT face=sans-serif><BR>Oil &amp; Gas
      Storage &amp; Transportation</FONT></B>&nbsp;<B><FONT face=sans-serif>0.16%</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%"><B><FONT face=sans-serif>248,750</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="37%"><FONT face=sans-serif color=#292526>Copano Energy
      LLC,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="37%"><FONT face=sans-serif color=#292526>Sr Note
      (S)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>8.125</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>03-01-16</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>B</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>250</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>248,750</FONT>&nbsp; </TD></TR></TABLE><BR>
<P align=left>
<TABLE>

  <TR>
    <TD noWrap><FONT face=sans-serif color=#292526>See notes to
      </FONT><BR><FONT face=sans-serif color=#292526>financial
      statements.</FONT><BR></TD></TR></TABLE></P>
<P align=left><B><FONT face=sans-serif color=#292526>12</FONT></B></P>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=--><A name=page_15></A>
<P align=left><FONT face=sans-serif color=#292526>F I N A N C I A
L&nbsp;&nbsp;&nbsp; S TAT E M E N T S</FONT></P>
<TABLE cellSpacing=1 cellPadding=0 width="80%" border=0>

  <TR vAlign=bottom>
    <TD noWrap align=left width="31%">&nbsp; </TD>
    <TD noWrap align=left width="19%"><B><FONT face=sans-serif color=#292526>Interest</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="10%"><B><FONT face=sans-serif color=#292526>Maturity </FONT></B></TD>
    <TD noWrap align=left width="12%" background=""><STRONG><FONT face=Arial color=#292526>Credit</FONT></STRONG>&nbsp;&nbsp;&nbsp;</TD>
    <TD noWrap align=left width="13%"><B><FONT face=sans-serif color=#292526>Par value</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="31%"><B><FONT face=sans-serif color=#292526>Issuer, description</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="19%"><B><FONT face=sans-serif color=#292526>rate</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="10%"><B><FONT face=sans-serif color=#292526>date</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="12%"><B><FONT face=sans-serif color=#292526>rating (A)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="13%"><B><FONT face=sans-serif color=#292526>(000)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="14%"><B><FONT face=sans-serif color=#292526>Value</FONT></B>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="31%"><B><FONT face=sans-serif><BR>Paper Packaging
      2.06%</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="19%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%"><B><FONT face=sans-serif>$3,260,000</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="31%"><FONT face=sans-serif color=#292526>MDP Acquisitions
      Plc,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="19%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="31%"><FONT face=sans-serif color=#292526>Sr Note
      (Ireland)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="19%"><FONT face=sans-serif color=#292526>9.625%</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>10-01-12</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>B&#150;</FONT>&nbsp;
</TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>$1,250</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>1,287,500</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="31%"><FONT face=sans-serif color=#292526>Stone Container
      Corp.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="19%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="31%"><FONT face=sans-serif color=#292526>Sr
      Note</FONT>&nbsp; </TD>
    <TD noWrap align=left width="19%"><FONT face=sans-serif color=#292526>9.750</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>02-01-11</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>CCC+</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>1,000</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>1,027,500</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="31%"><FONT face=sans-serif color=#292526>Sr
      Note</FONT>&nbsp; </TD>
    <TD noWrap align=left width="19%"><FONT face=sans-serif color=#292526>8.375</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>07-01-12</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>CCC+</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>1,000</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>945,000</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="31%"><B><FONT face=sans-serif><BR>Paper Products
      0.21%</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="19%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%"><B><FONT face=sans-serif>329,560</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="31%"><FONT face=sans-serif color=#292526>Plum Creek Timber
      Co., Inc.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="19%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="31%"><FONT face=sans-serif color=#292526>Gtd
      Note</FONT>&nbsp; </TD>
    <TD noWrap align=left width="19%"><FONT face=sans-serif color=#292526>5.875</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>11-15-15</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>BBB&#150;</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>345</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>329,560</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="31%"><B><FONT face=sans-serif><BR>Pharmaceuticals
      1.04%</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="19%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%"><B><FONT face=sans-serif>1,641,138</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="31%"><FONT face=sans-serif color=#292526>Medco Health
      Solutions, Inc.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="19%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="31%"><FONT face=sans-serif color=#292526>Sr
      Note</FONT>&nbsp; </TD>
    <TD noWrap align=left width="19%"><FONT face=sans-serif color=#292526>7.250</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>08-15-13</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>BBB</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>1,550</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>1,641,138</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="50%" colSpan=2><B><FONT face=sans-serif><BR>Property &amp;
      Casualty Insurance</FONT></B>&nbsp;<B><FONT face=sans-serif>0.80%</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%"><B><FONT face=sans-serif>1,261,616</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="31%"><FONT face=sans-serif color=#292526>Markel
      Corp.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="19%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="31%"><FONT face=sans-serif color=#292526>Sr
      Note</FONT>&nbsp; </TD>
    <TD noWrap align=left width="19%"><FONT face=sans-serif color=#292526>7.350</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>08-15-34</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>BBB&#150;</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>515</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>503,056</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="31%"><FONT face=sans-serif color=#292526>Ohio Casualty
      Corp.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="19%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="31%"><FONT face=sans-serif color=#292526>Note</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="19%"><FONT face=sans-serif color=#292526>7.300</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>06-15-14</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>BB</FONT>&nbsp;
</TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>750</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>758,560</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="31%"><B><FONT face=sans-serif><BR>Publishing
      0.27%</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="19%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%"><B><FONT face=sans-serif>423,744</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="31%"><FONT face=sans-serif color=#292526>Dex Media
      West,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="19%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="31%"><FONT face=sans-serif color=#292526>Gtd Sr Sub
      Note</FONT>&nbsp; </TD>
    <TD noWrap align=left width="19%"><FONT face=sans-serif color=#292526>9.875</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>08-15-13</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>B</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>391</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>423,744</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="50%" colSpan=2><B><FONT face=sans-serif><BR>Real Estate
      Management &amp; Development 1.87%</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%"><B><FONT face=sans-serif>2,958,882</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="31%"><FONT face=sans-serif color=#292526>Chelsea Property
      Group,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="19%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="31%"><FONT face=sans-serif color=#292526>Note</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="19%"><FONT face=sans-serif color=#292526>6.000</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>01-15-13</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>BBB+</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>1,040</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>1,036,544</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="31%"><FONT face=sans-serif color=#292526>Healthcare Realty
      Trust, Inc.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="19%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="31%"><FONT face=sans-serif color=#292526>Sr
      Note</FONT>&nbsp; </TD>
    <TD noWrap align=left width="19%"><FONT face=sans-serif color=#292526>8.125</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>05-01-11</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>BBB&#150;</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>165</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>177,226</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="31%"><FONT face=sans-serif color=#292526>HRPT Properties
      Trust,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="19%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="31%"><FONT face=sans-serif color=#292526>Sr
      Note</FONT>&nbsp; </TD>
    <TD noWrap align=left width="19%"><FONT face=sans-serif color=#292526>5.750</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>11-01-15</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>BBB</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>750</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>714,556</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="31%"><FONT face=sans-serif color=#292526>Post Apartment
      Homes,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="19%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="31%"><FONT face=sans-serif color=#292526>Sr
      Note</FONT>&nbsp; </TD>
    <TD noWrap align=left width="19%"><FONT face=sans-serif color=#292526>5.125</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>10-12-11</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>BBB</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>830</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>788,056</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="31%"><FONT face=sans-serif color=#292526>Ventas Realty
      LP/Capital Corp.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="19%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="31%"><FONT face=sans-serif color=#292526>Sr
      Note</FONT>&nbsp; </TD>
    <TD noWrap align=left width="19%"><FONT face=sans-serif color=#292526>6.625</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>10-15-14</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>BB</FONT>&nbsp;
</TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>250</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>242,500</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="31%"><B><FONT face=sans-serif><BR>Regional Banks
      2.68%</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="19%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%"><B><FONT face=sans-serif>4,241,792</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="31%"><FONT face=sans-serif color=#292526>Colonial Capital
      II,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="19%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="31%"><FONT face=sans-serif color=#292526>Gtd Cap Security
      Ser A</FONT>&nbsp; </TD>
    <TD noWrap align=left width="19%"><FONT face=sans-serif color=#292526>8.920</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>01-15-27</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>BB</FONT>&nbsp;
</TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>1,029</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>1,085,868</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="31%"><FONT face=sans-serif color=#292526>Crestar Capital
      Trust I,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="19%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="31%"><FONT face=sans-serif color=#292526>Gtd Cap
      Security</FONT>&nbsp; </TD>
    <TD noWrap align=left width="19%"><FONT face=sans-serif color=#292526>8.160</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>12-15-26</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>A&#150;</FONT>&nbsp;
</TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>880</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>922,027</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="50%" colSpan=2><FONT face=sans-serif color=#292526>First Chicago NDB Institutional
      Capital,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="31%"><FONT face=sans-serif color=#292526>Gtd Cap Bond Ser A
      (S)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="19%"><FONT face=sans-serif color=#292526>7.950</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>12-01-26</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>A1</FONT>&nbsp;
</TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>500</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>521,939</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="31%"><FONT face=sans-serif color=#292526>Greater Bay
      Bancorp,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="19%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="31%"><FONT face=sans-serif color=#292526>Sr Note Ser
      D</FONT>&nbsp; </TD>
    <TD noWrap align=left width="19%"><FONT face=sans-serif color=#292526>5.125</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>04-15-10</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>BBB&#150;</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>540</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>523,416</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="31%"><FONT face=sans-serif color=#292526>NB Capital Trust
      IV,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="19%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="31%"><FONT face=sans-serif color=#292526>Gtd Cap
      Security</FONT>&nbsp; </TD>
    <TD noWrap align=left width="19%"><FONT face=sans-serif color=#292526>8.250</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>04-15-27</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>A</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>1,130</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>1,188,542</FONT>&nbsp; </TD></TR></TABLE><BR>
<P align=left>
<TABLE>

  <TR>
    <TD noWrap><FONT face=sans-serif color=#292526>See notes to
      </FONT><BR><FONT face=sans-serif color=#292526>financial
      statements.</FONT><BR></TD></TR></TABLE></P>
<P align=left><B><FONT face=sans-serif color=#292526>13</FONT></B></P>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=--><A name=page_16></A>
<P align=left><FONT face=sans-serif color=#292526>F I N A N C I A L&nbsp;&nbsp;
&nbsp;S TAT E M E N T S</FONT></P>
<TABLE cellSpacing=1 cellPadding=0 width="80%" border=0>

  <TR vAlign=bottom>
    <TD noWrap align=left width="29%">&nbsp; </TD>
    <TD noWrap align=left width="13%"></TD>
    <TD noWrap align=left width="8%" background=""><STRONG><FONT face=Arial color=#292526>Interest</FONT></STRONG>&nbsp;&nbsp;&nbsp;</TD>
    <TD noWrap align=left width="10%"><B><FONT face=sans-serif color=#292526>Maturity </FONT></B></TD>
    <TD noWrap align=left width="12%" background=""><STRONG><FONT face=Arial color=#292526>Credit</FONT></STRONG>&nbsp;&nbsp;&nbsp;</TD>
    <TD noWrap align=left width="13%"><B><FONT face=sans-serif color=#292526>Par value</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="29%"><B><FONT face=sans-serif color=#292526>Issuer, description</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="8%"><B><FONT face=sans-serif color=#292526>rate</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="10%"><B><FONT face=sans-serif color=#292526>date</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="12%"><B><FONT face=sans-serif color=#292526>rating (A)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="13%"><B><FONT face=sans-serif color=#292526>(000)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="14%"><B><FONT face=sans-serif color=#292526>Value</FONT></B>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="50%" colSpan=3><B><FONT face=sans-serif><BR>Residential Real
      Estate Investment Trust</FONT></B>&nbsp; <B><FONT face=sans-serif>0.21%</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%"><B><FONT face=sans-serif>$335,151</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=7>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="29%"><FONT face=sans-serif color=#292526>Health Care REIT,
      Inc.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="29%"><FONT face=sans-serif color=#292526>Sr
      Note</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="8%"><FONT face=sans-serif color=#292526>6.200%</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>06-01-16</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>BBB&#150;</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>$345</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>335,151</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="29%"><B><FONT face=sans-serif><BR>Specialized Finance
      3.26%</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%"><B><FONT face=sans-serif>5,158,979</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=7>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="29%"><FONT face=sans-serif color=#292526>ASG Consolidated
      LLC,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%" colSpan=2><FONT face=sans-serif color=#292526>Sr
      Disc Note (Zero to 11-1-08,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="29%"><FONT face=sans-serif color=#292526>then 11.500%)
      (O)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="8%"><FONT face=sans-serif color=#292526>Zero</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>11-01-11</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>B&#150;</FONT>&nbsp;
</TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>1,180</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>994,150</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=7>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="29%"><FONT face=sans-serif color=#292526>Astoria Depositor
      Corp.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="29%"><FONT face=sans-serif color=#292526>Pass Thru Ctf Ser
      B (G)(S)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="8%"><FONT face=sans-serif color=#292526>8.144</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>05-01-21</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>BB</FONT>&nbsp;
</TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>750</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>786,210</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=7>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="29%"><FONT face=sans-serif color=#292526>Bosphorous
      Financial Services,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="29%"><FONT face=sans-serif color=#292526>Sec Floating Rate
      Note (S)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="8%"><FONT face=sans-serif color=#292526>6.970</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>02-15-12</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>Baa3</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>500</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>501,933</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=7>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="29%"><FONT face=sans-serif color=#292526>CCM Merger,
      Inc.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="29%"><FONT face=sans-serif color=#292526>Note
      (S)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="8%"><FONT face=sans-serif color=#292526>8.000</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>08-01-13</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>B&#150;</FONT>&nbsp;
</TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>1,000</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>945,000</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=7>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="29%"><FONT face=sans-serif color=#292526>Drummond Co.,
      Inc.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="29%"><FONT face=sans-serif color=#292526>Sr Note
      (L)(S)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="8%"><FONT face=sans-serif color=#292526>7.375</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>02-15-16</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>BB&#150;</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>1,000</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>927,500</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=7>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="29%"><FONT face=sans-serif color=#292526>ESI Tractebel
      Acquistion Corp.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="29%"><FONT face=sans-serif color=#292526>Gtd Sec Bond Ser
      B</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="8%"><FONT face=sans-serif color=#292526>7.990</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>12-30-11</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>BB</FONT>&nbsp;
</TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>975</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>1,004,186</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="29%"><B><FONT face=sans-serif><BR>Steel
      0.73%</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%"><B><FONT face=sans-serif>1,152,000</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=7>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="29%"><FONT face=sans-serif color=#292526>Metallurg
      Holdings, Inc.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="29%"><FONT face=sans-serif color=#292526>Sr Sec Note
      (G)(S)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="21%" colSpan=2><FONT face=sans-serif color=#292526>10.500</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>10-01-10</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>B&#150;</FONT>&nbsp;
</TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>1,200</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>1,152,000</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%" colSpan=2><B><FONT face=sans-serif><BR>Thrifts &amp;
      Mortgage Finance</FONT></B>&nbsp;<B><FONT face=sans-serif>31.06%</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%"><B><FONT face=sans-serif>49,210,704</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=7>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%" colSpan=2><FONT face=sans-serif color=#292526>Banc of America Commercial Mortgage,
      Inc.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%" colSpan=2><FONT face=sans-serif color=#292526>Mtg Pass Thru Ctf Ser 2005-6 Class A4</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%"><FONT face=sans-serif color=#292526>5.182</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>09-10-47</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>AAA</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>905</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>864,756</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=7>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="29%"><FONT face=sans-serif color=#292526>Banc of America
      Funding Corp.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%" colSpan=2><FONT face=sans-serif color=#292526>Mtg Pass Thru Ctf Ser 2006-B Class 6A1
      (P)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%"><FONT face=sans-serif color=#292526>5.901</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>03-20-36</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>AAA</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>1,110</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>1,101,989</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%" colSpan=2><FONT face=sans-serif color=#292526>Mtg Pass Thru Ctf Ser 2006-D Class 6B2</FONT>&nbsp;
</TD>
    <TD noWrap align=left width="8%"><FONT face=sans-serif color=#292526>5.981</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>05-20-36</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>AA</FONT>&nbsp;
</TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>1,764</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>1,727,713</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=7>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="29%"><FONT face=sans-serif color=#292526>Bear Stearns Alt-A
      Trust,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%" colSpan=2><FONT face=sans-serif color=#292526>Mtg Pass Thru Ctf Ser 2005-3 Class B2 (P)</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="8%"><FONT face=sans-serif color=#292526>5.334</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>04-25-35</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>AA+</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>439</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>427,655</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%" colSpan=2><FONT face=sans-serif color=#292526>Mtg Pass Thru Ctf Ser 2006-4 Class 3B1</FONT>&nbsp;
</TD>
    <TD noWrap align=left width="8%"><FONT face=sans-serif color=#292526>6.342</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>12-31-49</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>AA</FONT>&nbsp;
</TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>2,470</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>2,475,017</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=7>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%" colSpan=2><FONT face=sans-serif color=#292526>Bear Stearns Commercial Mortgage</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="29%"><FONT face=sans-serif color=#292526>Securities,
      Inc.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%" colSpan=2><FONT face=sans-serif color=#292526>Mtg Pass Thru Ctf Ser 2005-T20</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="29%"><FONT face=sans-serif color=#292526>Class A4A
      (P)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="8%"><FONT face=sans-serif color=#292526>5.303</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>10-12-42</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>Aaa</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>440</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>419,963</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=7>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="29%"><FONT face=sans-serif color=#292526>Chaseflex
      Trust,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%" colSpan=2><FONT face=sans-serif color=#292526>Mtg Pass Thru Ctf Ser 2005-2 Class 4A1</FONT>&nbsp;
</TD>
    <TD noWrap align=left width="8%"><FONT face=sans-serif color=#292526>5.000</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>05-25-20</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>AAA</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>1,153</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>1,097,625</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=7>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%" colSpan=2><FONT face=sans-serif color=#292526>Citigroup Mortgage Loan Trust, Inc.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%" colSpan=2><FONT face=sans-serif color=#292526>Mtg Pass Thru Ctf Ser 2005-5 Class 2A3</FONT>&nbsp;
</TD>
    <TD noWrap align=left width="8%"><FONT face=sans-serif color=#292526>5.000</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>08-25-35</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>AAA</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>685</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>672,755</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=7>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%" colSpan=2><FONT face=sans-serif color=#292526>Citigroup/Deutsche Bank Commercial</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="29%"><FONT face=sans-serif color=#292526>Mortgage
      Securities,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%" colSpan=2><FONT face=sans-serif color=#292526>Mtg Pass Thru Ctf Ser 2005-CD1</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="29%"><FONT face=sans-serif color=#292526>Class A4
      (P)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="8%"><FONT face=sans-serif color=#292526>5.400</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>07-15-44</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>AAA</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>595</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>570,397</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%" colSpan=2><FONT face=sans-serif color=#292526>Mtg Pass Thru Ctf Ser 2005-CD1</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="29%"><FONT face=sans-serif color=#292526>Class C
      (P)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="8%"><FONT face=sans-serif color=#292526>5.400</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>07-15-44</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>AA</FONT>&nbsp;
</TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>285</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>270,618</FONT>&nbsp; </TD></TR></TABLE><BR>
<P align=left>
<TABLE>

  <TR>
    <TD noWrap><FONT face=sans-serif color=#292526>See notes to
      </FONT><BR><FONT face=sans-serif color=#292526>financial
      statements.</FONT><BR></TD></TR></TABLE></P>
<P align=left><B><FONT face=sans-serif color=#292526>14</FONT></B></P>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=--><A name=page_17></A>
<P align=left><FONT face=sans-serif color=#292526>F I N A N C I A
L&nbsp;&nbsp;&nbsp; S TAT E M E N T S</FONT></P>
<TABLE cellSpacing=1 cellPadding=0 width="80%" border=0>

  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"></TD>
    <TD noWrap align=left width="8%" background=""><STRONG><FONT face=Arial color=#292526>Interest</FONT></STRONG>&nbsp; </TD>
    <TD noWrap align=left width="10%"><STRONG><FONT face=Arial color=#292526>Maturity&nbsp;</FONT></STRONG>&nbsp;</TD>
    <TD noWrap align=left width="12%" background=""><STRONG><FONT face=Arial color=#292526>Credit</FONT></STRONG>&nbsp;&nbsp;&nbsp;</TD>
    <TD noWrap align=left width="14%"><B><FONT face=sans-serif color=#292526>Par
      value</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><B><FONT face=sans-serif color=#292526>Issuer,
      description</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="8%"><B><FONT face=sans-serif color=#292526>rate</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="10%"><B><FONT face=sans-serif color=#292526>date</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="12%"><B><FONT face=sans-serif color=#292526>rating
      (A)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="14%"><B><FONT face=sans-serif color=#292526>(000)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="13%"><B><FONT face=sans-serif color=#292526>Value</FONT></B>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><B><FONT face=sans-serif><BR>Thrifts &amp; Mortgage Finance
      (continued)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif color=#292526>ContiMortgage Home Equity Loan
      Trust,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif color=#292526>Pass Thru Ctf Ser 1995-2 Class
      A-5</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%"><FONT face=sans-serif color=#292526>8.100%</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>08-15-25</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>AAA</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>$127</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>$129,716</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif color=#292526>Countrywide Alternative Loan
      Trust,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif color=#292526>Mtg Pass Thru Ctf Ser
      2004-24CB</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif color=#292526>Class 1A1</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%"><FONT face=sans-serif color=#292526>6.000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>11-25-34</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>AAA</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>782</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>764,736</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif color=#292526>Mtg Pass Thru Ctf Ser 2005-6
      Class 2A1</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%"><FONT face=sans-serif color=#292526>5.500</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>04-25-35</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>Aaa</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>616</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>584,122</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif color=#292526>Mtg Pass Thru Ctf Ser 2005-J1
      Class 3A1</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%"><FONT face=sans-serif color=#292526>6.500</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>08-25-32</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>AAA</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>491</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>490,227</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif color=#292526>Mtg Pass Thru Ctf Ser
      2006-11CB</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif color=#292526>Class 3A1</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%"><FONT face=sans-serif color=#292526>6.500</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>05-25-36</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>AAA</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>4,735</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>4,720,389</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif color=#292526>Countrywide Home Loans Servicing
      LP,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif color=#292526>Mtg Pass Thru Ctf Ser 2005-21
      Class A1</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%"><FONT face=sans-serif color=#292526>5.500</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>10-25-35</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>Aaa</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>4,050</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>3,924,429</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif color=#292526>CS First Boston Mortgage
      Securities Corp.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif color=#292526>Mtg Pass Thru Ctf Ser 2003-25
      Class 2A1</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%"><FONT face=sans-serif color=#292526>4.500</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>10-25-18</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>AAA</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>469</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>453,927</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif color=#292526>DB Master Finance
      LLC,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif color=#292526>Mtg Pass Thru Ctf Ser 2006-1
      Class M1 (S)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%"><FONT face=sans-serif color=#292526>8.285</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>06-20-31</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>BB</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>1,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>1,003,853</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif color=#292526>First Horizon Alternative
      Mortgage Securities,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif color=#292526>Mtg Pass Thru Ctf Ser
      2004-AA5</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif color=#292526>Class B1 (P)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%"><FONT face=sans-serif color=#292526>5.236</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>12-25-34</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>AA</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>312</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>305,780</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif color=#292526>Mtg Pass Thru Ctf Ser
      2006-AA2</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif color=#292526>Class B1 (P)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%"><FONT face=sans-serif color=#292526>6.255</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>05-25-36</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>AA</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>249</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>248,717</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif color=#292526>Global Signal
      Trust,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif color=#292526>Sub Bond Ser 2004-2A Class D
      (S)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%"><FONT face=sans-serif color=#292526>5.093</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>12-15-14</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>Baa2</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>385</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>373,023</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif color=#292526>Sub Bond Ser 2006-1 Class E
      (S)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%"><FONT face=sans-serif color=#292526>6.495</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>02-15-36</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>Baa3</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>370</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>366,620</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif color=#292526>GMAC Commercial Mortgage
      Securities, Inc.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif color=#292526>Mtg Pass Thru Ctf Ser 2002-C1
      Class A1</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%"><FONT face=sans-serif color=#292526>5.785</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>11-15-39</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>AAA</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>1,707</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>1,705,781</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif color=#292526>Greenwich Capital Commercial
      Funding Corp.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif color=#292526>Mtg Pass Thru Ctf Ser 2005-GG5
      Class A2</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%"><FONT face=sans-serif color=#292526>5.117</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>04-10-37</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>AAA</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>1,220</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>1,191,755</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif color=#292526>GSR Mortgage Loan
      Trust,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif color=#292526>Mtg Pass Thru Ctf Ser
      2004-9</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif color=#292526>Class B1 (G)(P)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%"><FONT face=sans-serif color=#292526>4.562</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>08-25-34</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>AA</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>1,195</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>1,157,663</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif color=#292526>Mtg Pass Thru Ctf Ser 2006-4F
      Class 6A1</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%"><FONT face=sans-serif color=#292526>6.500</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>05-25-36</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>AAA</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>4,940</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>4,985,940</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif color=#292526>Indymac Index Mortgage Loan
      Trust,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif color=#292526>Mtg Pass Thru Ctf Ser
      2004-AR13</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif color=#292526>Class B1</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%"><FONT face=sans-serif color=#292526>5.296</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>01-25-35</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>AA</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>468</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>460,085</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif color=#292526>Mtg Pass Thru Ctf Ser
      2005-AR5</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif color=#292526>Class B1 (P)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%"><FONT face=sans-serif color=#292526>5.410</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>05-25-35</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>AA</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>508</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>491,297</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif color=#292526>JPMorgan Alternative Loan
      Trust,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif color=#292526>Mtg Pass Thru Ctf Ser 2005-S1
      Class 1A4</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%"><FONT face=sans-serif color=#292526>6.000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>12-25-35</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>AAA</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>4,680</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>4,618,207</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif color=#292526>JPMorgan Chase Commercial
      Mortgage</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif color=#292526>Security Corp.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif color=#292526>Mtg Pass Thru Ctf Ser 2005-LDP4
      Class B</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%"><FONT face=sans-serif color=#292526>5.129</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>10-15-42</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>Aa2</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>1,965</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>1,843,548</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif color=#292526>Merrill Lynch Mortgage
      Trust,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif color=#292526>Mtg Pass Thru Ctf Ser
      2005-CKI1</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif color=#292526>Class A6 (P)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%"><FONT face=sans-serif color=#292526>5.417</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>11-12-37</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>AAA</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>820</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>786,618</FONT>&nbsp;
  </TD></TR></TABLE><BR>
<P align=left>
<TABLE>

  <TR>
    <TD noWrap><FONT face=sans-serif color=#292526>See notes to
      </FONT><BR><FONT face=sans-serif color=#292526>financial
      statements.</FONT><BR></TD></TR></TABLE></P>
<P align=left><B><FONT face=sans-serif color=#292526>15</FONT></B></P>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=--><A name=page_18></A>
<P align=left><FONT face=sans-serif color=#292526>F I N A N C I A
L&nbsp;&nbsp;&nbsp; S TAT E M E N T S</FONT></P>
<TABLE cellSpacing=1 cellPadding=0 width="80%" border=0>

  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"></TD>
    <TD noWrap align=left width="8%" background=""><STRONG><FONT face=Arial color=#292526>Interest</FONT></STRONG>&nbsp;&nbsp;&nbsp;</TD>
    <TD noWrap align=left width="10%"><B><FONT face=sans-serif color=#292526>Maturity
    </FONT></B></TD>
    <TD noWrap align=left width="12%" background=""><STRONG><FONT face=Arial color=#292526>Credit</FONT></STRONG>&nbsp;&nbsp;&nbsp;</TD>
    <TD noWrap align=left width="14%"><B><FONT face=sans-serif color=#292526>Par
      value</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><B><FONT face=sans-serif color=#292526>Issuer,
      description</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="8%"><B><FONT face=sans-serif color=#292526>rate</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="10%"><B><FONT face=sans-serif color=#292526>date</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="12%"><B><FONT face=sans-serif color=#292526>rating
      (A)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="14%"><B><FONT face=sans-serif color=#292526>(000)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="13%"><B><FONT face=sans-serif color=#292526>Value</FONT></B>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><B><FONT face=sans-serif><BR>Thrifts &amp; Mortgage Finance
      (continued)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif color=#292526>Morgan Stanley Capital
      I,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif color=#292526>Mtg Pass Thru Ctf Ser
      2005-HQ7</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif color=#292526>Class A4 (P)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%"><FONT face=sans-serif color=#292526>5.375%</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>11-14-42</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>AAA</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>$810</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>$775,183</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif color=#292526>Mtg Pass Thru Ctf Ser
      2005-IQ10</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif color=#292526>Class A4A</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%"><FONT face=sans-serif color=#292526>5.230</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>09-15-42</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>AAA</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>1,180</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>1,125,186</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif color=#292526>Nomura Asset Acceptance
      Corp.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif color=#292526>Mtg Pass Thru Ctf Ser
      2006-AF1</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif color=#292526>Class CB1</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%"><FONT face=sans-serif color=#292526>6.540</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>06-25-36</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>AA</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>1,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>1,004,687</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif color=#292526>Prime Mortgage
      Trust,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif color=#292526>Mtg Pass Thru Ctf Ser 2005-2
      Class 1A2</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%"><FONT face=sans-serif color=#292526>5.000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>07-25-20</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>Aaa</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>1,516</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>1,484,316</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif color=#292526>Provident Funding Mortgage Loan
      Trust,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif color=#292526>Mtg Pass Thru Ctf Ser 2005-1
      Class B1 (P)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%"><FONT face=sans-serif color=#292526>4.365</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>05-25-35</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>AA</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>387</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>369,494</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif color=#292526>SBA CMBS Trust,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif color=#292526>Sub Bond Ser 2005-1A Class D
      (S)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%"><FONT face=sans-serif color=#292526>6.219</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>11-15-35</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>Baa2</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>200</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>197,880</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif color=#292526>Sub Bond Ser 2005-1A Class E
      (S)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%"><FONT face=sans-serif color=#292526>6.706</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>11-15-35</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>Baa3</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>200</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>199,391</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif color=#292526>Sovereign Capital Trust
      I,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif color=#292526>Gtd Cap Security</FONT>&nbsp;
</TD>
    <TD noWrap align=left width="8%"><FONT face=sans-serif color=#292526>9.000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>04-01-27</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>BB</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>1,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>1,058,279</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif color=#292526>Washington Mutual Alternative
      Loan Trust,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif color=#292526>Mtg Pass Thru Ctf Ser 2005-6
      Class 1CB</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%"><FONT face=sans-serif color=#292526>6.500</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>08-25-35</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>AAA</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>720</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>718,054</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif color=#292526>Washington Mutual,
      Inc.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif color=#292526>Mtg Pass Thru Ctf Ser
      2005-AR4</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif color=#292526>Class B1 (P)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%"><FONT face=sans-serif color=#292526>4.676</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>04-25-35</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>AA</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>1,456</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>1,392,257</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif color=#292526>Wells Fargo Mortgage Backed
      Securities Trust,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif color=#292526>Mtg Pass Thru Ctf Ser 2004-7
      Class 2A2</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%"><FONT face=sans-serif color=#292526>5.000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>07-25-19</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>AAA</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>681</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>651,056</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><B><FONT face=sans-serif><BR>Utilities Other
      0.46%</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%"><B><FONT face=sans-serif>733,472</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif color=#292526>Atlas Pipeline Partners
      LP,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif color=#292526>Gtd Sr Note (S)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%"><FONT face=sans-serif color=#292526>8.125</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>12-15-15</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>B+</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>140</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>139,475</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif color=#292526>Magellan Midstream Partners
      LP,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif color=#292526>Note</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%"><FONT face=sans-serif color=#292526>6.450</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>06-01-14</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>BBB</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>590</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>593,997</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="50%" colSpan=2><B><FONT face=sans-serif><BR>Wireless Telecommunication Service
      3.10%</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%"><B><FONT face=sans-serif>4,906,176</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif color=#292526>America Movil SA de
      CV,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif color=#292526>Sr Note (Mexico)</FONT>&nbsp;
</TD>
    <TD noWrap align=left width="8%"><FONT face=sans-serif color=#292526>5.750</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>01-15-15</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>BBB</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>1,225</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>1,141,358</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif color=#292526>Crown Castle Towers
      LLC,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif color=#292526>Sub Bond Ser 2005-1A Class
      D</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%"><FONT face=sans-serif color=#292526>5.612</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>06-15-35</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>Baa2</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>655</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>637,783</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif color=#292526>Dobson Communications
      Corp.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif color=#292526>Sr Note</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%"><FONT face=sans-serif color=#292526>8.875</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>10-01-13</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>CCC</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>1,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>982,500</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif color=#292526>Mobile Telesystems Finance
      SA,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif color=#292526>Gtd Sr Note (Luxembourg)
      (S)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%"><FONT face=sans-serif color=#292526>9.750</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>01-30-08</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>BB&#150;</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>350</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>360,937</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif color=#292526>Nextel Communications,
      Inc.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif color=#292526>Sr Note Ser D</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%"><FONT face=sans-serif color=#292526>7.375</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>08-01-15</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>A&#150;</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>1,250</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>1,272,348</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif color=#292526>Rogers Wireless,
      Inc.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif color=#292526>Sr Sub Note
      (Canada)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="8%"><FONT face=sans-serif color=#292526>8.000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>12-15-12</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>B+</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>500</FONT>&nbsp; </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>511,250</FONT>&nbsp;
  </TD></TR></TABLE><BR>
<P align=left>
<TABLE>

  <TR>
    <TD noWrap><FONT face=sans-serif color=#292526>See notes to
      </FONT><BR><FONT face=sans-serif color=#292526>financial
      statements.</FONT><BR></TD></TR></TABLE></P>
<P align=left><B><FONT face=sans-serif color=#292526>16</FONT></B></P>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=--><A name=page_19></A>
<P align=left><FONT face=sans-serif color=#292526>F I N A N C I A
L&nbsp;&nbsp;&nbsp; S TAT E M E N T S</FONT></P>
<TABLE cellSpacing=1 cellPadding=0 width="80%" border=0>

  <TR vAlign=bottom>
    <TD noWrap align=left width="27%">&nbsp; </TD>
    <TD noWrap align=left width="24%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="11%"><B><FONT face=sans-serif color=#292526>Credit</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="27%"><B><FONT face=sans-serif color=#292526>Issuer, description</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="24%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="11%"><B><FONT face=sans-serif color=#292526>rating (A)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="13%"><B><FONT face=sans-serif color=#292526>Shares</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="14%"><B><FONT face=sans-serif color=#292526>Value</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>&nbsp;&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="27%"><B><FONT face=sans-serif>Preferred stocks
      1.82%</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="24%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%"><B><FONT face=sans-serif>$2,877,041</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="27%"><FONT face=sans-serif>(Cost $3,066,289)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%" colSpan=2><B><FONT face=sans-serif><BR>Agricultural
      Products 0.61%</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%"><B><FONT face=sans-serif>956,641</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%" colSpan=2><FONT face=sans-serif color=#292526>Ocean Spray Cranberries, Inc., 6.25%, Ser A
      (S)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>BB+</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>12,500</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>956,641</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="27%"><B><FONT face=sans-serif><BR>Multi-Utilities
      0.64%</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="24%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%"><B><FONT face=sans-serif>1,014,400</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%" colSpan=2><FONT face=sans-serif color=#292526>Dominion CNG Capital Trust I, 7.80%</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>BB+</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>40,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>1,014,400</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%" colSpan=2><B><FONT face=sans-serif><BR>Real Estate
      Management &amp; Development 0.57%</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%"><B><FONT face=sans-serif>906,000</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%" colSpan=2><FONT face=sans-serif color=#292526>Public Storage, Inc., 6.50%, Depositary Shares, Ser
      W</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>BBB+</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>40,000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>906,000</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="27%">&nbsp; </TD>
    <TD noWrap align=left width="24%"><B><FONT face=sans-serif color=#292526>Interest</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="10%"><B><FONT face=sans-serif color=#292526>Maturity </FONT></B></TD>
    <TD noWrap align=left width="11%" background=""><STRONG><FONT face=Arial color=#292526>Credit</FONT></STRONG>&nbsp;&nbsp;&nbsp;</TD>
    <TD noWrap align=left width="13%"><B><FONT face=sans-serif color=#292526>Par value</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="27%"><B><FONT face=sans-serif color=#292526>Issuer, description</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="24%"><B><FONT face=sans-serif color=#292526>rate</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="10%"><B><FONT face=sans-serif color=#292526>date</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="11%"><B><FONT face=sans-serif color=#292526>rating (A)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="13%"><B><FONT face=sans-serif color=#292526>(000)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="14%"><B><FONT face=sans-serif color=#292526>Value</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>&nbsp;&nbsp;&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="27%"><B><FONT face=sans-serif>U.S. government and
      agencies securities 48.21%</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="24%" background="">&nbsp;</TD>
    <TD noWrap align=left width="10%" background="">&nbsp;</TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%"><B><FONT face=sans-serif>$76,394,690</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="27%"><FONT face=sans-serif>(Cost $77,899,785)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="27%"><B><FONT face=sans-serif><BR>Government U.S.
      10.22%</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="24%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%"><B><FONT face=sans-serif>16,200,563</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="27%"><FONT face=sans-serif color=#292526>United States
      Treasury,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="27%"><FONT face=sans-serif color=#292526>Bond
      (L)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif color=#292526>6.875%</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>08-15-25</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>AAA</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>$790</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>936,767</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="27%"><FONT face=sans-serif color=#292526>Bond
      (L)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif color=#292526>5.375</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>02-15-31</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>AAA</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>4,550</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>4,628,560</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="27%"><FONT face=sans-serif color=#292526>Bond
      (L)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif color=#292526>4.500</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>02-15-16</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>AAA</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>4,355</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>4,143,373</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="27%"><FONT face=sans-serif color=#292526>Bond
      (L)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif color=#292526>4.500</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>02-15-36</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>AAA</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>1,910</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>1,712,584</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="27%"><FONT face=sans-serif color=#292526>Note
      (L)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif color=#292526>5.125</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>05-15-16</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>AAA</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>3,635</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>3,630,740</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="27%"><FONT face=sans-serif color=#292526>Note
      (L)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif color=#292526>4.500</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>11-15-10</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>AAA</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>620</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>605,614</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="27%"><FONT face=sans-serif color=#292526>Note
      (L)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif color=#292526>4.500</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>11-15-15</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>AAA</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>570</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>542,925</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%" colSpan=2><B><FONT face=sans-serif><BR>Government U.S.
      Agency</FONT></B>&nbsp;<B><FONT face=sans-serif>37.99%</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%"><B><FONT face=sans-serif>60,194,127</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%" colSpan=2><FONT face=sans-serif color=#292526>Federal Home Loan Mortgage Corp.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="27%"><FONT face=sans-serif color=#292526>20 Yr Pass Thru
      Ctf</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif color=#292526>11.250</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>01-01-16</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>AAA</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>22</FONT>&nbsp;
</TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>22,679</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="27%"><FONT face=sans-serif color=#292526>30 Yr Pass Thru
      Ctf</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif color=#292526>6.000</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>08-01-34</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>AAA</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>3,310</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>3,259,698</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="27%"><FONT face=sans-serif color=#292526>30 Yr Pass Thru
      Ctf</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif color=#292526>6.000</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>02-01-35</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>AAA</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>385</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>380,711</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="27%"><FONT face=sans-serif color=#292526>Adj Rate Mtg
      (P)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif color=#292526>5.164</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>11-01-35</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>AAA</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>2,135</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>2,068,415</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="27%"><FONT face=sans-serif color=#292526>CMO REMIC
      2978</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif color=#292526>5.500</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>01-15-31</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>AAA</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>2,590</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>2,524,759</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%" colSpan=2><FONT face=sans-serif color=#292526>Federal National Mortgage Assn.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="13%">&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="27%"><FONT face=sans-serif color=#292526>15 Yr Pass Thru
      Ctf</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif color=#292526>7.500</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>02-01-08</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>AAA</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>6</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>6,138</FONT>&nbsp;
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="27%"><FONT face=sans-serif color=#292526>15 Yr Pass Thru
      Ctf</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif color=#292526>7.000</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>09-01-10</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>AAA</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>24</FONT>&nbsp;
</TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>24,793</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="27%"><FONT face=sans-serif color=#292526>15 Yr Pass Thru
      Ctf</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif color=#292526>7.000</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>10-01-12</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>AAA</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>18</FONT>&nbsp;
</TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>18,137</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="27%"><FONT face=sans-serif color=#292526>15 Yr Pass Thru
      Ctf</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif color=#292526>7.000</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>04-01-17</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>AAA</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>45</FONT>&nbsp;
</TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>46,395</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="27%"><FONT face=sans-serif color=#292526>15 Yr Pass Thru
      Ctf</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif color=#292526>6.000</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>05-01-21</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>AAA</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>4,502</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>4,521,018</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="27%"><FONT face=sans-serif color=#292526>30 Yr Pass Thru
      Ctf (N)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif color=#292526>6.500</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>07-01-34</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>AAA</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>4,800</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>4,824,000</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="27%"><FONT face=sans-serif color=#292526>30 Yr Pass Thru
      Ctf</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif color=#292526>6.000</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>11-01-34</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>AAA</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>1,779</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>1,754,019</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="27%"><FONT face=sans-serif color=#292526>30 Yr Pass Thru
      Ctf</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif color=#292526>6.000</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>05-01-35</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>AAA</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>4,037</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>3,973,892</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="27%"><FONT face=sans-serif color=#292526>30 Yr Pass Thru
      Ctf</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif color=#292526>6.000</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>08-01-35</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>AAA</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>2,331</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>2,296,118</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="27%"><FONT face=sans-serif color=#292526>30 Yr Pass Thru
      Ctf</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif color=#292526>6.000</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>10-01-35</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>AAA</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>14,491</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>14,274,571</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="27%"><FONT face=sans-serif color=#292526>30 Yr Pass Thru
      Ctf</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif color=#292526>6.000</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>04-01-36</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>AAA</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>2,000</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>1,968,813</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="27%"><FONT face=sans-serif color=#292526>30 Yr Pass Thru
      Ctf</FONT>&nbsp; </TD>
    <TD noWrap align=left width="24%"><FONT face=sans-serif color=#292526>6.000</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>05-01-36</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>AAA</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="13%"><FONT face=sans-serif color=#292526>7,978</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>7,853,907</FONT>&nbsp; </TD></TR></TABLE><BR>
<P align=left>
<TABLE>

  <TR>
    <TD noWrap><FONT face=sans-serif color=#292526>See notes to
      </FONT><BR><FONT face=sans-serif color=#292526>financial
      statements.</FONT><BR></TD></TR></TABLE></P>
<P align=left><B><FONT face=sans-serif color=#292526>17</FONT></B></P>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=--><A name=page_20></A>
<P align=left><FONT face=sans-serif color=#292526>F I N A N C I A
L&nbsp;&nbsp;&nbsp; S TAT E M E N T S</FONT></P>
<TABLE cellSpacing=1 cellPadding=0 width="80%" border=0>

  <TR vAlign=bottom>
    <TD noWrap align=left width="33%">&nbsp; </TD>
    <TD noWrap align=left width="18%"><B><FONT face=sans-serif color=#292526>Interest</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="10%"><B><FONT face=sans-serif color=#292526>Maturity</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="11%"><B><FONT face=sans-serif color=#292526>Credit</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="12%"><B><FONT face=sans-serif color=#292526>Par value</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="33%"><B><FONT face=sans-serif color=#292526>Issuer, description</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="18%"><B><FONT face=sans-serif color=#292526>rate</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="10%"><B><FONT face=sans-serif color=#292526>date</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="11%"><B><FONT face=sans-serif color=#292526>rating (A)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="12%"><B><FONT face=sans-serif color=#292526>(000)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="15%"><B><FONT face=sans-serif color=#292526>Value</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD noWrap align=left width="51%" background="" colSpan=2>&nbsp;&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="11%" background=""></TD>
    <TD noWrap align=left width="12%" background=""></TD>
    <TD noWrap align=left width="15%" background=""></TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%" colSpan=2><B><FONT face=sans-serif>Government U.S. Agency
      (continued)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%" colSpan=2><FONT face=sans-serif color=#292526>Federal National Mortgage Assn.,
      (continued)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="33%"><FONT face=sans-serif color=#292526>30 Yr Pass Thru
      Ctf</FONT>&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif color=#292526>5.500%</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>04-01-35</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>AAA</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>$618</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="15%"><FONT face=sans-serif color=#292526>$594,760</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="33%"><FONT face=sans-serif color=#292526>30 Yr Pass Thru
      Ctf</FONT>&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif color=#292526>5.500</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>11-01-35</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>AAA</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>2,154</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="15%"><FONT face=sans-serif color=#292526>2,070,148</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="33%"><FONT face=sans-serif color=#292526>30 Yr Pass Thru
      Ctf</FONT>&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif color=#292526>5.500</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>01-01-36</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>AAA</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>2,564</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="15%"><FONT face=sans-serif color=#292526>2,464,530</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="33%"><FONT face=sans-serif color=#292526>30 Yr Pass Thru
      Ctf</FONT>&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif color=#292526>5.314</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>11-01-35</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>AAA</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>3,762</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="15%"><FONT face=sans-serif color=#292526>3,643,031</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="33%"><FONT face=sans-serif color=#292526>Note</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif color=#292526>6.000</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>05-30-25</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>AAA</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>1,652</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="15%"><FONT face=sans-serif color=#292526>1,577,249</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%" colSpan=2><FONT face=sans-serif color=#292526>Government National Mortgage Assn.,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="33%"><FONT face=sans-serif color=#292526>30 Yr Pass Thru
      Ctf</FONT>&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif color=#292526>10.000</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>11-15-20</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>AAA</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>7</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%"><FONT face=sans-serif color=#292526>7,390</FONT>&nbsp;
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="33%"><FONT face=sans-serif color=#292526>30 Yr Pass Thru
      Ctf</FONT>&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif color=#292526>9.500</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>01-15-21</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>AAA</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>4</FONT>&nbsp; </TD>
    <TD noWrap align=left width="15%"><FONT face=sans-serif color=#292526>4,815</FONT>&nbsp;
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="33%"><FONT face=sans-serif color=#292526>30 Yr Pass Thru
      Ctf</FONT>&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif color=#292526>9.500</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>02-15-25</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>AAA</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>13</FONT>&nbsp;
</TD>
    <TD noWrap align=left width="15%"><FONT face=sans-serif color=#292526>14,141</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="33%">&nbsp; </TD>
    <TD noWrap align=left width="18%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="11%"><B><FONT face=sans-serif color=#292526>Interest</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="12%"><B><FONT face=sans-serif color=#292526>Par value</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="33%"><B><FONT face=sans-serif color=#292526>Issuer, description, maturity date</FONT></B>&nbsp;
    </TD>
    <TD noWrap align=left width="18%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="11%"><B><FONT face=sans-serif color=#292526>rate</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="12%"><B><FONT face=sans-serif color=#292526>(000)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="15%"><B><FONT face=sans-serif color=#292526>Value</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>&nbsp;&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="33%"><B><FONT face=sans-serif>Short-term investments
      0.02%</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="18%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="15%"><B><FONT face=sans-serif>$36,000</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="33%"><FONT face=sans-serif>(Cost $36,000)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="18%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%" colSpan=2><B><FONT face=sans-serif><BR>Joint Repurchase
      Agreement 0.02%</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="15%"><B><FONT face=sans-serif>36,000</FONT></B>&nbsp;
    </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%" colSpan=2><FONT face=sans-serif color=#292526>Investment in a joint repurchase agreement
      transaction</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%" colSpan=2><FONT face=sans-serif color=#292526>with Morgan Stanley &#151; Dated 6-30-06 due
      7-3-06</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="61%" colSpan=3><FONT face=sans-serif color=#292526>(Secured by U.S. Treasury Inflation Indexed Note
      1.875%</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="15%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="33%"><FONT face=sans-serif color=#292526>due
      7-15-15)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="18%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>4.550%</FONT>&nbsp; </TD>
    <TD noWrap align=left width="12%"><FONT face=sans-serif color=#292526>$36</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="15%"><FONT face=sans-serif color=#292526>36,000</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="33%"><B><FONT face=sans-serif>Total investments
      153.84%</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="18%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="15%"><B><FONT face=sans-serif>$243,766,982</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>&nbsp;&nbsp;&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="51%" colSpan=2><B><FONT face=sans-serif>Other assets and
      liabilities, net</FONT></B>&nbsp; <B><FONT face=sans-serif>0.45%</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="15%"><B><FONT face=sans-serif>$719,938</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>&nbsp;&nbsp;&nbsp;&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="61%" colSpan=3><B><FONT face=sans-serif>Fund preferred shares
      and accrued dividends (54.29%)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="15%"><B><FONT face=sans-serif>($86,030,192)</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR>
    <TD width="99%" colSpan=6>&nbsp;&nbsp;&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="33%"><B><FONT face=sans-serif>Total net assets
      100.00%</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="18%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="12%">&nbsp; </TD>
    <TD noWrap align=left width="15%"><B><FONT face=sans-serif>$158,456,728</FONT></B>&nbsp;
</TD></TR></TABLE><BR>
<P align=left><FONT face=sans-serif color=#292526>(A) Credit ratings are
unaudited and are rated by Moody&#146;s Investors Service where Standard &amp; Poor&#146;s
ratings are not available unless indicated otherwise.</FONT></P>
<P align=left><FONT face=sans-serif color=#292526>(B) This security is fair
valued in good faith under procedures established by the Board of
Trustees.</FONT></P>
<P align=left><FONT face=sans-serif color=#292526>(G) Security rated internally
by John Hancock Advisers, LLC.</FONT></P>
<P align=left><FONT face=sans-serif color=#292526>(H) Non-income-producing
issuer filed for protection under the Federal Bankruptcy Code or is in default
of interest payment.</FONT></P>
<P align=left><FONT face=sans-serif color=#292526>(L) All or a portion of this
security is on loan as of June 30, 2006.</FONT></P>
<P align=left><FONT face=sans-serif color=#292526>(N) These securities having an
aggregate value of $4,824,000 or 3.04% of the Fund&#146;s net assets, have been
purchased on a when-issued basis. The purchase price and the interest rate of
such securities are fixed at trade date, although the Fund does not earn any
interest on such securities until settlement date. The Fund has instructed its
custodian bank to segregate assets with a current value at least equal to the
amount of its when issued commitments.</FONT></P>
<P align=left><FONT face=sans-serif color=#292526>Accordingly, the market value
of $4,999,003 of Federal National Mortgage Assn., 6.000%, 10-1-35 has been
segregated to cover the when-issued commitments.</FONT></P>
<P align=left>
<TABLE>

  <TR>
    <TD noWrap><FONT face=sans-serif color=#292526>See notes to
      </FONT><BR><FONT face=sans-serif color=#292526>financial
      statements.</FONT><BR></TD></TR></TABLE></P>
<P align=left><B><FONT face=sans-serif color=#292526>18</FONT></B></P>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=--><A name=page_21></A>
<P align=left><FONT face=sans-serif color=#292526>F I N A N C I A
L&nbsp;&nbsp;&nbsp; S TAT E M E N T S</FONT></P>
<P align=left><B><FONT face=sans-serif color=#292526>Notes to Schedule of
Investments (continued)</FONT></B></P>
<P align=left><FONT face=sans-serif color=#292526>(O) Cash interest will be paid
on this obligation at the stated rate beginning on the stated date.</FONT></P>
<P align=left><FONT face=sans-serif color=#292526>(P) Represents rate in effect
on June 30, 2006.</FONT></P>
<P align=left><FONT face=sans-serif color=#292526>(S) These securities are
exempt from registration under Rule 144A of the Securities Act of 1933. Such
securities may be resold, normally to qualified institutional buyers, in
transactions exempt from registration. Rule 144A securities amounted to
$33,737,331 or 21.29% of the Fund&#146;s net assets as of June 30, 2006.</FONT></P>
<P align=left><FONT face=sans-serif color=#292526>Parenthetical disclosure of a
foreign country in the security description represents country of a foreign
issuer; however, security is U.S. dollar-denominated.</FONT></P>
<P align=left><FONT face=sans-serif color=#292526>The percentage shown for each
investment category is the total value of that category as a percentage of the
net assets of the Fund.</FONT></P>
<P align=left>
<TABLE>

  <TR>
    <TD noWrap><FONT face=sans-serif color=#292526>See notes to
      </FONT><BR><FONT face=sans-serif color=#292526>financial
      statements.</FONT><BR></TD></TR></TABLE></P>
<P align=left><B><FONT face=sans-serif color=#292526>19</FONT></B></P>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=--><A name=page_22></A>
<P align=left><FONT face=sans-serif color=#292526>F I N A N C I A
L&nbsp;&nbsp;&nbsp; S TAT E M E N T S</FONT></P>
<P align=left>
<TABLE>

  <TR>
    <TD noWrap><B><FONT face=sans-serif>ASSETS AND</FONT></B><BR><B><FONT face=sans-serif>LIABILITIES</FONT></B><BR></TD></TR></TABLE></P>
<P align=left>
<TABLE>

  <TR>
    <TD noWrap><FONT face=sans-serif color=#292526>June 30,
      2006</FONT><BR><FONT face=sans-serif color=#292526>(unaudited)</FONT><BR></TD></TR></TABLE></P>
<P align=left>
<TABLE>

  <TR>
    <TD noWrap><B><FONT face=sans-serif>This Statement </FONT></B><BR><B><FONT face=sans-serif>of Assets and</FONT></B><BR><B><FONT face=sans-serif>Liabilities is the</FONT></B><BR><B><FONT face=sans-serif>Fund&#146;s balance</FONT></B><BR><B><FONT face=sans-serif>sheet. It shows</FONT></B><BR><B><FONT face=sans-serif>the
      value of </FONT></B><BR><B><FONT face=sans-serif>what the
      Fund</FONT></B><BR><B><FONT face=sans-serif>owns, is due
      </FONT></B><BR><B><FONT face=sans-serif>and owes.
      You&#146;ll</FONT></B><BR><B><FONT face=sans-serif>also find the
      net</FONT></B><BR><B><FONT face=sans-serif>asset value for
      each</FONT></B><BR><B><FONT face=sans-serif>common
  share.</FONT></B><BR></TD></TR></TABLE></P>
<TABLE cellSpacing=1 cellPadding=0 width="80%" border=0>

  <TR vAlign=bottom>
    <TD noWrap align=left width="74%"><B><FONT face=sans-serif>Assets</FONT></B>&nbsp;
    </TD>
    <TD noWrap align=left width="25%">&nbsp; </TD></TR>
  <TR>
    <TD noWrap align=left width="99%" background="" colSpan=2><HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="74%"><FONT face=sans-serif color=#292526>Investments at
      value (cost $249,635,249)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="74%"><FONT face=sans-serif color=#292526>including
      $25,703,248 of securities loaned</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif color=#292526>$243,766,982</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="74%"><FONT face=sans-serif color=#292526>Cash segregated
      for futures contacts</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif color=#292526>198,250</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="74%"><FONT face=sans-serif color=#292526>Receivable for
      investments sold</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif color=#292526>3,161,808</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="74%"><FONT face=sans-serif color=#292526>Receivable for
      shares sold</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif color=#292526>226,348</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="74%"><FONT face=sans-serif color=#292526>Dividends and
      interest receivable</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif color=#292526>2,979,385</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="74%"><FONT face=sans-serif color=#292526>Receivable from
      affiliates</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="74%"><FONT face=sans-serif color=#292526>Other</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif color=#292526>1,311</FONT>&nbsp;
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="74%"><FONT face=sans-serif color=#292526>Other
      assets</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif color=#292526>15,207</FONT>&nbsp; </TD></TR>
  <TR>
    <TD noWrap align=left width="74%" background="">&nbsp;
</TD>
    <TD noWrap align=left width="25%" background=""></TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="74%"><B><FONT face=sans-serif>Total
      assets</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="25%"><B><FONT face=sans-serif>250,349,291</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=2>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="74%"><B><FONT face=sans-serif>Liabilities</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="25%">&nbsp; </TD></TR>
  <TR>
    <TD noWrap align=left width="99%" background="" colSpan=2><HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="74%"><FONT face=sans-serif color=#292526>Due to
      custodian</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif color=#292526>7,194</FONT>&nbsp;
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="74%"><FONT face=sans-serif color=#292526>Payable for
      investments purchased</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif color=#292526>5,306,150</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="74%"><FONT face=sans-serif color=#292526>Payable for
      futures variation margin</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif color=#292526>138,205</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="74%"><FONT face=sans-serif color=#292526>Payable to
      affiliates</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="74%"><FONT face=sans-serif color=#292526>Management
      fees</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif color=#292526>331,478</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="74%"><FONT face=sans-serif color=#292526>Other payable and
      accrued expenses</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif color=#292526>79,344</FONT>&nbsp; </TD></TR>
  <TR>
    <TD noWrap align=left width="74%" background="">&nbsp;
</TD>
    <TD noWrap align=left width="25%" background=""></TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="74%"><B><FONT face=sans-serif>Total
      liabilities</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="25%"><B><FONT face=sans-serif>5,862,371</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD noWrap align=left width="74%" background="">&nbsp;
</TD>
    <TD noWrap align=left width="25%" background=""></TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="74%"><FONT face=sans-serif color=#292526>Auction Preferred
      Shares (APS) Series A, including</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="74%"><FONT face=sans-serif color=#292526>accrued dividends,
      unlimited number of shares of</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="74%"><FONT face=sans-serif color=#292526>beneficial
      interest authorized with no par value,</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="74%"><FONT face=sans-serif color=#292526>1,720 shares
      issued, liquidation preference of</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="74%"><FONT face=sans-serif color=#292526>$25,000 per
      share</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><B><FONT face=sans-serif>43,015,096</FONT></B>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="74%"><FONT face=sans-serif color=#292526>APS Series B,
      including accrued dividends, unlimited</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="74%"><FONT face=sans-serif color=#292526>number of shares
      of beneficial interest authorized</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="74%"><FONT face=sans-serif color=#292526>with no par value,
      1,720 shares issued, liquidation</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="74%"><FONT face=sans-serif color=#292526>preference of
      $25,000 per share</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><B><FONT face=sans-serif>43,015,096</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=2>&nbsp;&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="74%"><B><FONT face=sans-serif>Net
      assets</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="25%">&nbsp; </TD></TR>
  <TR>
    <TD noWrap align=left width="99%" background="" colSpan=2><HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="74%"><FONT face=sans-serif color=#292526>Common shares
      capital paid-in</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif color=#292526>169,337,207</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="74%"><FONT face=sans-serif color=#292526>Accumulated net
      realized loss on investments and</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="74%"><FONT face=sans-serif color=#292526>financial futures
      contracts</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif color=#292526>(4,999,081)</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="74%"><FONT face=sans-serif color=#292526>Net unrealized
      appreciation of investments and</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="74%"><FONT face=sans-serif color=#292526>financial futures
      contracts</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif color=#292526>(5,660,716)</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="74%"><FONT face=sans-serif color=#292526>Distributions in
      excess of net investment income</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif color=#292526>(220,682)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD noWrap align=left width="74%" background="">&nbsp;
</TD>
    <TD noWrap align=left width="25%" background=""></TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="74%"><B><FONT face=sans-serif>Net assets applicable
      to common shares</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="25%"><B><FONT face=sans-serif>$158,456,728</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=2>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="74%"><B><FONT face=sans-serif>Net asset value per
      common share</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="25%">&nbsp; </TD></TR>
  <TR>
    <TD noWrap align=left width="99%" background="" colSpan=2><HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="74%"><FONT face=sans-serif color=#292526>Based on 8,239,097
      common shares outstanding &#151;</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="74%"><FONT face=sans-serif color=#292526>the Fund has an
      unlimited number of shares</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="74%"><FONT face=sans-serif color=#292526>authorized with no
      par value</FONT>&nbsp; </TD>
    <TD noWrap align=left width="25%"><FONT face=sans-serif color=#292526>$19.23</FONT>&nbsp; </TD></TR></TABLE><BR>
<P align=left>
<TABLE>

  <TR>
    <TD noWrap><FONT face=sans-serif color=#292526>See notes to
      </FONT><BR><FONT face=sans-serif color=#292526>financial
      statements.</FONT><BR></TD></TR></TABLE></P>
<P align=left><B><FONT face=sans-serif color=#292526>20</FONT></B></P>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=--><A name=page_23></A>
<P align=left><FONT face=sans-serif color=#292526>F I N A N C I A
L&nbsp;&nbsp;&nbsp; S TAT E M E N T S</FONT></P>
<P align=left><B><FONT face=sans-serif>OPERATIONS</FONT></B></P>
<P align=left>
<TABLE>

  <TR>
    <TD noWrap><FONT face=sans-serif color=#292526>For the period
      ended</FONT><BR><FONT face=sans-serif color=#292526>June 30,
      2006</FONT><BR><FONT face=sans-serif color=#292526>(unaudited)</FONT><SUP><FONT face=sans-serif color=#292526>1</FONT></SUP><BR></TD></TR></TABLE></P>
<P align=left>
<TABLE>

  <TR>
    <TD noWrap><B><FONT face=sans-serif>This Statement </FONT></B><BR><B><FONT face=sans-serif>of Operations </FONT></B><BR><B><FONT face=sans-serif>summarizes the</FONT></B><BR><B><FONT face=sans-serif>Fund&#146;s investment</FONT></B><BR><B><FONT face=sans-serif>income earned and</FONT></B><BR><B><FONT face=sans-serif>expenses incurred </FONT></B><BR><B><FONT face=sans-serif>in operating the</FONT></B><BR><B><FONT face=sans-serif>Fund. It also shows</FONT></B><BR><B><FONT face=sans-serif>net gains (losses)</FONT></B><BR><B><FONT face=sans-serif>and distributions</FONT></B><BR><B><FONT face=sans-serif>paid to APS share-</FONT></B><BR><B><FONT face=sans-serif>holders for the</FONT></B><BR><B><FONT face=sans-serif>period stated.</FONT></B><BR></TD></TR></TABLE></P>
<TABLE cellSpacing=1 cellPadding=0 width="80%" border=0>

  <TR vAlign=bottom>
    <TD noWrap align=left width="79%"><B><FONT face=sans-serif>Investment
      income</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="20%">&nbsp; </TD></TR>
  <TR>
    <TD noWrap align=left width="99%" background="" colSpan=2><HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="79%"><FONT face=sans-serif color=#292526>Interest</FONT>&nbsp; </TD>
    <TD noWrap align=left width="20%"><FONT face=sans-serif color=#292526>$7,955,600</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="79%"><FONT face=sans-serif color=#292526>Dividends</FONT>&nbsp; </TD>
    <TD noWrap align=left width="20%"><FONT face=sans-serif color=#292526>110,563</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="79%"><FONT face=sans-serif color=#292526>Securities
      lending</FONT>&nbsp; </TD>
    <TD noWrap align=left width="20%"><FONT face=sans-serif color=#292526>82,570</FONT>&nbsp; </TD></TR>
  <TR>
    <TD noWrap align=left width="79%" background="">&nbsp;&nbsp; </TD>
    <TD noWrap align=left width="20%" background=""></TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="79%"><B><FONT face=sans-serif>Total investment
      income</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="20%"><B><FONT face=sans-serif>8,148,733</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=2>&nbsp;&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="79%"><B><FONT face=sans-serif>Expenses</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="20%">&nbsp; </TD></TR>
  <TR>
    <TD noWrap align=left width="99%" background="" colSpan=2><HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="79%"><FONT face=sans-serif color=#292526>Investment
      management fees</FONT>&nbsp; </TD>
    <TD noWrap align=left width="20%"><FONT face=sans-serif color=#292526>666,563</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="79%"><FONT face=sans-serif color=#292526>APS auction
      fees</FONT>&nbsp; </TD>
    <TD noWrap align=left width="20%"><FONT face=sans-serif color=#292526>112,705</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="79%"><FONT face=sans-serif color=#292526>Transfer agent
      fees</FONT>&nbsp; </TD>
    <TD noWrap align=left width="20%"><FONT face=sans-serif color=#292526>43,109</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="79%"><FONT face=sans-serif color=#292526>Custodian
      fees</FONT>&nbsp; </TD>
    <TD noWrap align=left width="20%"><FONT face=sans-serif color=#292526>38,283</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="79%"><FONT face=sans-serif color=#292526>Printing</FONT>&nbsp; </TD>
    <TD noWrap align=left width="20%"><FONT face=sans-serif color=#292526>29,493</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="79%"><FONT face=sans-serif color=#292526>Accounting and
      legal services fees</FONT>&nbsp; </TD>
    <TD noWrap align=left width="20%"><FONT face=sans-serif color=#292526>23,475</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="79%"><FONT face=sans-serif color=#292526>Professional
      fees</FONT>&nbsp; </TD>
    <TD noWrap align=left width="20%"><FONT face=sans-serif color=#292526>16,637</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="79%"><FONT face=sans-serif color=#292526>Miscellaneous</FONT>&nbsp; </TD>
    <TD noWrap align=left width="20%"><FONT face=sans-serif color=#292526>12,104</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="79%"><FONT face=sans-serif color=#292526>Registration and
      filing fees</FONT>&nbsp; </TD>
    <TD noWrap align=left width="20%"><FONT face=sans-serif color=#292526>11,768</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="79%"><FONT face=sans-serif color=#292526>Trustees&#146;
      fees</FONT>&nbsp; </TD>
    <TD noWrap align=left width="20%"><FONT face=sans-serif color=#292526>5,531</FONT>&nbsp;
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="79%"><FONT face=sans-serif color=#292526>Security lending
      fees</FONT>&nbsp; </TD>
    <TD noWrap align=left width="20%"><FONT face=sans-serif color=#292526>3,210</FONT>&nbsp;
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="79%"><FONT face=sans-serif color=#292526>Interest</FONT>&nbsp; </TD>
    <TD noWrap align=left width="20%"><FONT face=sans-serif color=#292526>1,363</FONT>&nbsp;
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="79%"><FONT face=sans-serif color=#292526>Related party
      fees</FONT>&nbsp; </TD>
    <TD noWrap align=left width="20%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="79%"><FONT face=sans-serif color=#292526>Compliance
      fees</FONT>&nbsp; </TD>
    <TD noWrap align=left width="20%"><FONT face=sans-serif color=#292526>1,367</FONT>&nbsp;
    </TD></TR>
  <TR>
    <TD noWrap align=left width="79%" background="">&nbsp;
</TD>
    <TD noWrap align=left width="20%" background=""></TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="79%"><B><FONT face=sans-serif>Total
      expenses</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="20%"><B><FONT face=sans-serif>965,608</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD noWrap align=left width="79%" background="">&nbsp;&nbsp; </TD>
    <TD noWrap align=left width="20%" background=""></TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="79%"><B><FONT face=sans-serif>Net investment
      income</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="20%"><B><FONT face=sans-serif>7,183,125</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=2>&nbsp;&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="79%"><B><FONT face=sans-serif>Realized and unrealized
      gain (loss)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="20%">&nbsp; </TD></TR>
  <TR>
    <TD noWrap align=left width="99%" background="" colSpan=2><HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="79%"><B><FONT face=sans-serif>Net realized gain
      (loss) on</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="20%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="79%"><FONT face=sans-serif color=#292526>Investments</FONT>&nbsp; </TD>
    <TD noWrap align=left width="20%"><FONT face=sans-serif color=#292526>(1,288,269)</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="79%"><FONT face=sans-serif color=#292526>Financial futures
      contracts</FONT>&nbsp; </TD>
    <TD noWrap align=left width="20%"><FONT face=sans-serif color=#292526>1,092,312</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="79%"><B><FONT face=sans-serif><BR>Change in net
      unrealized appreciation (depreciation) of</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="20%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="79%"><FONT face=sans-serif color=#292526>Investments</FONT>&nbsp; </TD>
    <TD noWrap align=left width="20%"><FONT face=sans-serif color=#292526>(6,461,197)</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="79%"><FONT face=sans-serif color=#292526>Financial futures
      contracts</FONT>&nbsp; </TD>
    <TD noWrap align=left width="20%"><FONT face=sans-serif color=#292526>385,021</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="79%"><B><FONT face=sans-serif><BR>Net realized and
      unrealized loss</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="20%"><B><FONT face=sans-serif>(6,272,133)</FONT></B>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="79%"><FONT face=sans-serif color=#292526>Distributions to
      APS Series A</FONT>&nbsp; </TD>
    <TD noWrap align=left width="20%"><FONT face=sans-serif color=#292526>(956,714)</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="79%"><FONT face=sans-serif color=#292526>Distributions to
      APS Series B</FONT>&nbsp; </TD>
    <TD noWrap align=left width="20%"><FONT face=sans-serif color=#292526>(959,124)</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="79%"><B><FONT face=sans-serif><BR>Decrease in net
      assets from operations</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="20%"><B><FONT face=sans-serif>($1,004,846)</FONT></B>&nbsp; </TD></TR></TABLE><BR>
<P align=left><SUP><FONT face=sans-serif color=#292526>1 </FONT></SUP><FONT face=sans-serif color=#292526>Semiannual period from 1-1-06 through
6-30-06.</FONT></P>
<P align=left>
<TABLE>

  <TR>
    <TD noWrap><FONT face=sans-serif color=#292526>See notes to
      </FONT><BR><FONT face=sans-serif color=#292526>financial
      statements.</FONT><BR></TD></TR></TABLE></P>
<P align=left><B><FONT face=sans-serif color=#292526>21</FONT></B></P>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=--><A name=page_24></A>
<P align=left><FONT face=sans-serif color=#292526>F I N A N C I A
L&nbsp;&nbsp;&nbsp; S TAT E M E N T S</FONT></P>
<P align=left>
<TABLE>

  <TR>
    <TD noWrap><B><FONT face=sans-serif>CHANGES IN</FONT></B><BR><B><FONT face=sans-serif>NET ASSETS</FONT></B><BR></TD></TR></TABLE></P>
<P align=left>
<TABLE>

  <TR>
    <TD noWrap><B><FONT face=sans-serif>These
      Statements</FONT></B><BR><B><FONT face=sans-serif>of Changes in
      Net</FONT></B><BR><B><FONT face=sans-serif>Assets show
      how</FONT></B><BR><B><FONT face=sans-serif>the value of
      the</FONT></B><BR><B><FONT face=sans-serif>Fund&#146;s net
      assets</FONT></B><BR><B><FONT face=sans-serif>has
      changed</FONT></B><BR><B><FONT face=sans-serif>during the
      last</FONT></B><BR><B><FONT face=sans-serif>two periods.
      The</FONT></B><BR><B><FONT face=sans-serif>difference
      reflects</FONT></B><BR><B><FONT face=sans-serif>earnings
      less</FONT></B><BR><B><FONT face=sans-serif>expenses,
      any</FONT></B><BR><B><FONT face=sans-serif>investment</FONT></B><BR><B><FONT face=sans-serif>gains
      and losses,</FONT></B><BR><B><FONT face=sans-serif>distributions,
      if</FONT></B><BR><B><FONT face=sans-serif>any, paid
      to</FONT></B><BR><B><FONT face=sans-serif>shareholders
      and</FONT></B><BR><B><FONT face=sans-serif>the net of
      Fund</FONT></B><BR><B><FONT face=sans-serif>share
      transactions.</FONT></B><BR></TD></TR></TABLE></P>
<TABLE cellSpacing=1 cellPadding=0 width="80%" border=0>

  <TR vAlign=bottom>
    <TD noWrap align=left width="53%">&nbsp; </TD>
    <TD noWrap align=left width="23%"><B><FONT face=sans-serif color=#292526>Year</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="23%"><B><FONT face=sans-serif color=#292526>Period</FONT></B>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%">&nbsp; </TD>
    <TD noWrap align=left width="23%"><B><FONT face=sans-serif color=#292526>ended</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="23%"><B><FONT face=sans-serif color=#292526>ended</FONT></B>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%">&nbsp; </TD>
    <TD noWrap align=left width="23%"><B><FONT face=sans-serif color=#292526>12-31-05</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="23%"><B><FONT face=sans-serif color=#292526>6-30-06</FONT></B><SUP><FONT face=sans-serif color=#292526>1</FONT></SUP>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>&nbsp;</TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><B><FONT face=sans-serif>Increase (decrease) in
      net assets</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="23%">&nbsp; </TD>
    <TD noWrap align=left width="23%">&nbsp; </TD></TR>
  <TR>
    <TD noWrap align=left width="99%" background="" colSpan=3><HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><B><FONT face=sans-serif>From
      operations</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="23%">&nbsp; </TD>
    <TD noWrap align=left width="23%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif color=#292526>Net investment
      income</FONT>&nbsp; </TD>
    <TD noWrap align=left width="23%"><FONT face=sans-serif color=#292526>$13,939,244</FONT>&nbsp; </TD>
    <TD noWrap align=left width="23%"><FONT face=sans-serif color=#292526>$7,183,125</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif color=#292526>Net realized
      loss</FONT>&nbsp; </TD>
    <TD noWrap align=left width="23%"><FONT face=sans-serif color=#292526>(1,320,043)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="23%"><FONT face=sans-serif color=#292526>(195,957)</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif color=#292526>Change in net
      unrealized appreciation</FONT>&nbsp; </TD>
    <TD noWrap align=left width="23%">&nbsp; </TD>
    <TD noWrap align=left width="23%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif color=#292526>(depreciation)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="23%"><FONT face=sans-serif color=#292526>(7,435,354)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="23%"><FONT face=sans-serif color=#292526>(6,076,176)</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif color=#292526>Distributions to
      APS Series A and B</FONT>&nbsp; </TD>
    <TD noWrap align=left width="23%"><FONT face=sans-serif color=#292526>(2,784,014)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="23%"><FONT face=sans-serif color=#292526>(1,915,838)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD noWrap align=left width="53%" background="">&nbsp;
</TD>
    <TD noWrap align=left width="23%" background=""></TD>
    <TD noWrap align=left width="23%" background=""></TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><B><FONT face=sans-serif>Increase (decrease) in
      net assets</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="23%">&nbsp; </TD>
    <TD noWrap align=left width="23%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><B><FONT face=sans-serif>resulting from
      operations</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="23%"><B><FONT face=sans-serif>2,399,833</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="23%"><B><FONT face=sans-serif>(1,004,846)</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD noWrap align=left width="53%" background="">&nbsp;&nbsp; </TD>
    <TD noWrap align=left width="23%" background=""></TD>
    <TD noWrap align=left width="23%" background=""></TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><B><FONT face=sans-serif>Distributions to common
      shareholders</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="23%">&nbsp; </TD>
    <TD noWrap align=left width="23%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif color=#292526>From net
      investment income</FONT>&nbsp; </TD>
    <TD noWrap align=left width="23%"><FONT face=sans-serif color=#292526>(12,004,375)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="23%"><FONT face=sans-serif color=#292526>(5,568,759)</FONT>&nbsp; </TD></TR>
  <TR>
    <TD noWrap align=left width="53%" background="">&nbsp;&nbsp; </TD>
    <TD noWrap align=left width="23%" background=""></TD>
    <TD noWrap align=left width="23%" background=""></TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><B><FONT face=sans-serif>From Fund share
      transactions</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="23%"><B><FONT face=sans-serif>1,014,114</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="23%"><B><FONT face=sans-serif>462,509</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3></TD></TR>
  <TR>
    <TD width="99%" colSpan=3>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><B><FONT face=sans-serif>Net
      assets</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="23%">&nbsp; </TD>
    <TD noWrap align=left width="23%">&nbsp; </TD></TR>
  <TR>
    <TD noWrap align=left width="99%" background="" colSpan=3><HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><FONT face=sans-serif color=#292526>Beginning of
      period</FONT>&nbsp; </TD>
    <TD noWrap align=left width="23%"><FONT face=sans-serif color=#292526>173,158,252</FONT>&nbsp; </TD>
    <TD noWrap align=left width="23%"><FONT face=sans-serif color=#292526>164,567,824</FONT>&nbsp; </TD></TR>
  <TR>
    <TD noWrap align=left width="53%" background="">&nbsp;&nbsp; </TD>
    <TD noWrap align=left width="23%" background=""></TD>
    <TD noWrap align=left width="23%" background=""></TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="53%"><B><FONT face=sans-serif>End of
      period</FONT></B><SUP><FONT face=sans-serif color=#292526>2</FONT></SUP>&nbsp; </TD>
    <TD noWrap align=left width="23%"><B><FONT face=sans-serif>$164,567,824</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="23%"><B><FONT face=sans-serif>$158,456,728</FONT></B>&nbsp; </TD></TR></TABLE><BR>
<P align=left><SUP><FONT face=sans-serif color=#292526>1 </FONT></SUP><FONT face=sans-serif color=#292526>Semiannual period from 1-1-06 through 6-30-06.
Unaudited.</FONT></P>
<P align=left><SUP><FONT face=sans-serif color=#292526>2 </FONT></SUP><FONT face=sans-serif color=#292526>Includes accumulated (distributions in excess of)
net investment income of $80,790 and ($220,682), respectively.</FONT></P>
<P align=left>
<TABLE>

  <TR>
    <TD noWrap><FONT face=sans-serif color=#292526>See notes to
      </FONT><BR><FONT face=sans-serif color=#292526>financial
      statements.</FONT><BR></TD></TR></TABLE></P>
<P align=left><B><FONT face=sans-serif color=#292526>22</FONT></B></P>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=--><A name=page_25></A>
<P align=left><FONT face=sans-serif color=#292526>F I N A N C I A
L&nbsp;&nbsp;&nbsp; H I G H L I G H T S</FONT></P>
<P align=left>
<TABLE>

  <TR>
    <TD noWrap><B><FONT face=sans-serif>FINANCIAL</FONT></B><BR><B><FONT face=sans-serif>HIGHLIGHTS</FONT></B><BR></TD></TR></TABLE></P>
<P align=left>
<TABLE>

  <TR>
    <TD noWrap><B><FONT face=sans-serif color=#292526>COMMON
      SHARES</FONT></B><BR><BR><B><FONT face=sans-serif>The Financial Highlights
      show how the Fund&#146;s net asset value for a</FONT></B><BR><B><FONT face=sans-serif>share has changed since the end of the previous
      period.</FONT></B><BR></TD></TR></TABLE></P>
<TABLE cellSpacing=1 cellPadding=0 width="80%" border=0>

  <TR vAlign=bottom>
    <TD noWrap align=left width="38%"><B><FONT face=sans-serif color=#292526>Period ended</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="10%"><B><FONT face=sans-serif color=#292526>12-31-01</FONT></B><SUP><FONT face=sans-serif color=#292526>1,2 </FONT></SUP></TD>
    <TD noWrap align=left width="9%" background=""><FONT color=#292526><FONT face=Arial><STRONG>12-31-02</STRONG><SUP><FONT>1</FONT></SUP></FONT></FONT>&nbsp;&nbsp;&nbsp;</TD>
    <TD noWrap align=left width="11%"><B><FONT face=sans-serif color=#292526>12-31-03</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="10%"><B><FONT face=sans-serif color=#292526>12-31-04</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="10%"><B><FONT face=sans-serif color=#292526>12-31-05</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="11%"><B><FONT face=sans-serif color=#292526>6-30-06</FONT></B><SUP><FONT face=sans-serif color=#292526>3</FONT></SUP>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=7></TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="38%"><B><FONT face=sans-serif>Per share operating
      performance</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="9%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR>
    <TD noWrap align=left width="99%" background="" colSpan=7><FONT color=#292526><FONT face=Arial><STRONG>
      <HR noShade SIZE=1>
      </STRONG></FONT><FONT face="Times New Roman" color=#000000>&nbsp;</FONT></FONT></TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="38%"><B><FONT face=sans-serif>Net asset
      value,</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="9%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="38%"><B><FONT face=sans-serif>beginning of
      period</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="10%"><B><FONT face=sans-serif>$20.79</FONT></B>&nbsp;
    </TD>
    <TD noWrap align=left width="9%"><B><FONT face=sans-serif>$20.98</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="11%"><B><FONT face=sans-serif>$21.21</FONT></B>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><B><FONT face=sans-serif>$21.55</FONT></B>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><B><FONT face=sans-serif>$21.22</FONT></B>&nbsp;
    </TD>
    <TD noWrap align=left width="11%"><B><FONT face=sans-serif>$20.04</FONT></B>&nbsp;
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="38%"><FONT face=sans-serif color=#292526>Net investment
      income</FONT><SUP><FONT face=sans-serif color=#292526>4</FONT></SUP>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>1.32</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif color=#292526>1.20</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>1.37</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>1.71</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>1.70</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>0.84</FONT>&nbsp;
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="38%"><FONT face=sans-serif color=#292526>Net realized and
      unrealized</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="9%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="38%"><FONT face=sans-serif color=#292526>gain (loss) on
      investments</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>0.21</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif color=#292526>0.25</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>1.14</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>(0.21)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>(1.07)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>(0.74)</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="38%"><FONT face=sans-serif color=#292526>Distributions to
      APS Series A and B</FONT><SUP><FONT face=sans-serif color=#292526>5</FONT></SUP>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>&#151;</FONT>&nbsp; </TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif color=#292526>&#151;</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>(0.02)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>(0.16)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>(0.34)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>(0.23)</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="38%"><B><FONT face=sans-serif><BR>Total from
      investment operations</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="10%"><B><FONT face=sans-serif>1.53</FONT></B>&nbsp;
    </TD>
    <TD noWrap align=left width="9%"><B><FONT face=sans-serif>1.45</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="11%"><B><FONT face=sans-serif>2.49</FONT></B>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><B><FONT face=sans-serif>1.34</FONT></B>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><B><FONT face=sans-serif>0.29</FONT></B>&nbsp;
    </TD>
    <TD noWrap align=left width="11%"><B><FONT face=sans-serif>(0.13)</FONT></B>&nbsp;
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="38%"><B><FONT face=sans-serif><BR>Less
      distributions</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="9%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="38%"><B><FONT face=sans-serif>to common
      shareholders</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="9%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="38%"><FONT face=sans-serif color=#292526>From net
      investment income</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>(1.34)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif color=#292526>(1.22)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>(1.42)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>(1.67)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>(1.47)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>(0.68)</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="38%"><FONT face=sans-serif color=#292526>From net realized
      gain</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>&#151;</FONT>&nbsp; </TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif color=#292526>&#151;</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>(0.60)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>&#151;</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>&#151;</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>&#151;</FONT>&nbsp;
  </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="38%">&nbsp; </TD>
    <TD noWrap align=left width="10%"><B><FONT face=sans-serif>(1.34)</FONT></B>&nbsp;
    </TD>
    <TD noWrap align=left width="9%"><B><FONT face=sans-serif>(1.22)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="11%"><B><FONT face=sans-serif>(2.02)</FONT></B>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><B><FONT face=sans-serif>(1.67)</FONT></B>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><B><FONT face=sans-serif>(1.47)</FONT></B>&nbsp;
    </TD>
    <TD noWrap align=left width="11%"><B><FONT face=sans-serif>(0.68)</FONT></B>&nbsp;
    </TD></TR>
  <TR>
    <TD noWrap align=left width="38%" background="">&nbsp;&nbsp; </TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="9%" background=""></TD>
    <TD noWrap align=left width="11%" background=""></TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="10%" background=""></TD>
    <TD noWrap align=left width="11%" background=""></TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="38%"><B><FONT face=sans-serif>Capital
      charges</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="9%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="38%"><FONT face=sans-serif color=#292526>Offering costs and
      underwriting</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="9%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="38%"><FONT face=sans-serif color=#292526>discounts related
      to APS</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>&#151;</FONT>&nbsp; </TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif color=#292526>&#151;</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>(0.13)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>&#151;</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>&#151;</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>&#151;</FONT>&nbsp;
  </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="38%"><B><FONT face=sans-serif><BR>Net asset value,
      end of period</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="10%"><B><FONT face=sans-serif>$20.98</FONT></B>&nbsp;
    </TD>
    <TD noWrap align=left width="9%"><B><FONT face=sans-serif>$21.21</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="11%"><B><FONT face=sans-serif>$21.55</FONT></B>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><B><FONT face=sans-serif>$21.22</FONT></B>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><B><FONT face=sans-serif>$20.04</FONT></B>&nbsp;
    </TD>
    <TD noWrap align=left width="11%"><B><FONT face=sans-serif>$19.23</FONT></B>&nbsp;
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="38%"><B><FONT face=sans-serif><BR>Per share market
      value,</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="9%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="38%"><B><FONT face=sans-serif>end of
      period</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="10%"><B><FONT face=sans-serif>$19.04</FONT></B>&nbsp;
    </TD>
    <TD noWrap align=left width="9%"><B><FONT face=sans-serif>$19.12</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="11%"><B><FONT face=sans-serif>$19.98</FONT></B>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><B><FONT face=sans-serif>$22.46</FONT></B>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><B><FONT face=sans-serif>$17.70</FONT></B>&nbsp;
    </TD>
    <TD noWrap align=left width="11%"><B><FONT face=sans-serif>$17.61</FONT></B>&nbsp;
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="38%"><B><FONT face=sans-serif><BR>Total return at
      market value</FONT></B><SUP><FONT face=sans-serif color=#292526>6 </FONT></SUP><B><FONT face=sans-serif>(%)</FONT></B>&nbsp;
</TD>
    <TD noWrap align=left width="10%"><B><FONT face=sans-serif>5.96</FONT></B>&nbsp;
    </TD>
    <TD noWrap align=left width="9%"><B><FONT face=sans-serif>6.89</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="11%"><B><FONT face=sans-serif>15.29</FONT></B>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><B><FONT face=sans-serif>21.60</FONT></B>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><B><FONT face=sans-serif>(15.06)</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="11%"><B><FONT face=sans-serif>3.32</FONT></B><SUP><FONT face=sans-serif color=#292526>7</FONT></SUP>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=7>&nbsp;&nbsp;&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="38%"><B><FONT face=sans-serif>Ratios and supplemental
      data</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="9%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR>
    <TD noWrap align=left width="99%" background="" colSpan=7><HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="38%"><FONT face=sans-serif color=#292526>Net assets
      applicable to common</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="9%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="38%"><FONT face=sans-serif color=#292526>shares, end of
      period (in millions)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>$167</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif color=#292526>$170</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>$175</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>$173</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>$165</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>$158</FONT>&nbsp;
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="38%"><FONT face=sans-serif color=#292526>Ratio of
      expenses</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="9%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="38%"><FONT face=sans-serif color=#292526>to average net
      assets (%)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>0.82</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif color=#292526>0.84</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>0.88</FONT><SUP><FONT face=sans-serif color=#292526>8</FONT></SUP>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>1.16</FONT><SUP><FONT face=sans-serif color=#292526>8</FONT></SUP>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>1.17</FONT><SUP><FONT face=sans-serif color=#292526>8</FONT></SUP>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>1.20</FONT><SUP><FONT face=sans-serif color=#292526>8,9</FONT></SUP>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="38%"><FONT face=sans-serif color=#292526>Ratio of net
      investment income</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="9%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="38%"><FONT face=sans-serif color=#292526>to average net
      assets (%)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>6.20</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif color=#292526>5.74</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>6.25</FONT><SUP><FONT face=sans-serif color=#292526>10</FONT></SUP>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>8.03</FONT><SUP><FONT face=sans-serif color=#292526>10</FONT></SUP>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>8.25</FONT><SUP><FONT face=sans-serif color=#292526>10</FONT></SUP>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>8.61</FONT><SUP><FONT face=sans-serif color=#292526>9,10</FONT></SUP>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="38%"><FONT face=sans-serif color=#292526>Portfolio turnover
      (%)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>300</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif color=#292526>314</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>245</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>128</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>144</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>32</FONT>&nbsp;
  </TD></TR>
  <TR>
    <TD width="99%" colSpan=7>&nbsp;&nbsp;&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="38%"><B><FONT face=sans-serif>Senior
      securities</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="9%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR>
    <TD noWrap align=left width="99%" background="" colSpan=7><HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="38%"><FONT face=sans-serif color=#292526>Total APS Series A
      outstanding</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="9%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="38%"><FONT face=sans-serif color=#292526>(in
      millions)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>&#151;</FONT>&nbsp; </TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif color=#292526>&#151;</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>$43</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>$43</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>$43</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>$43</FONT>&nbsp;
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="38%"><FONT face=sans-serif color=#292526>Total APS Series B
      outstanding</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="9%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="38%"><FONT face=sans-serif color=#292526>(in
      millions)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>&#151;</FONT>&nbsp; </TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif color=#292526>&#151;</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>$43</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>$43</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>$43</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>$43</FONT>&nbsp;
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="38%"><FONT face=sans-serif color=#292526>Involuntary
      liquidation preference</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="9%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="38%"><FONT face=sans-serif color=#292526>APS Series A per
      unit (in thousands)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>&#151;</FONT>&nbsp; </TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif color=#292526>&#151;</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>$25</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>$25</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>$25</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>$25</FONT>&nbsp;
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="38%"><FONT face=sans-serif color=#292526>Involuntary
      liquidation preference</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="9%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="38%"><FONT face=sans-serif color=#292526>APS Series B per
      unit (in thousands)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>&#151;</FONT>&nbsp; </TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif color=#292526>&#151;</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>$25</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>$25</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>$25</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>$25</FONT>&nbsp;
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="38%"><FONT face=sans-serif color=#292526>Average market
      value per unit</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="9%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="10%">&nbsp; </TD>
    <TD noWrap align=left width="11%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="38%"><FONT face=sans-serif color=#292526>(in
      thousands)</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>&#151;</FONT>&nbsp; </TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif color=#292526>&#151;</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>$25</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>$25</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>$25</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>$25</FONT>&nbsp;
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="38%"><FONT face=sans-serif color=#292526>Asset coverage per
      unit</FONT><SUP><FONT face=sans-serif color=#292526>11</FONT></SUP>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>&#151;</FONT>&nbsp; </TD>
    <TD noWrap align=left width="9%"><FONT face=sans-serif color=#292526>&#151;</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>$74,836</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>$74,713</FONT>&nbsp; </TD>
    <TD noWrap align=left width="10%"><FONT face=sans-serif color=#292526>$72,072</FONT>&nbsp; </TD>
    <TD noWrap align=left width="11%"><FONT face=sans-serif color=#292526>$71,256</FONT>&nbsp; </TD></TR></TABLE><BR>
<P align=left>
<TABLE>

  <TR>
    <TD noWrap><FONT face=sans-serif color=#292526>See notes to
      </FONT><BR><FONT face=sans-serif color=#292526>financial
      statements.</FONT><BR></TD></TR></TABLE></P>
<P align=left><B><FONT face=sans-serif color=#292526>23</FONT></B></P>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=--><A name=page_26></A>
<P align=left><FONT face=sans-serif color=#292526>F I N A N C I A
L&nbsp;&nbsp;&nbsp; H I G H L I G H T S</FONT></P>
<P align=left><B><FONT face=sans-serif>Notes to Financial
Highlights</FONT></B></P>
<P align=left><SUP><FONT face=sans-serif color=#292526>1</FONT></SUP><FONT face=sans-serif color=#292526>Audited by previous auditor.</FONT></P>
<P align=left><SUP><FONT face=sans-serif color=#292526>2</FONT></SUP><FONT face=sans-serif color=#292526>As required, effective 1-1-01, the Fund has
adopted the provisions of the AICPA Audit and Accounting Guide for Investment
Companies, as revised, relating to the amortization of premiums and accretion of
discounts on debt securities. The effect of this change on per share amounts for
the year ended 12-31-01, was to decrease net investment income per share by
$0.02, increase net realized and unrealized gain per share by $0.02 and, had the
Fund not made these changes to amortization and accretion, the ratio of net
investment income to average net assets would have been 6.31% . Per share ratios
and supplemental data for periods prior to 1-01-01, have not been restated to
reflect this change in presentation.</FONT></P>
<P align=left><SUP><FONT face=sans-serif color=#292526>3</FONT></SUP><FONT face=sans-serif color=#292526>Semiannual period from 1-1-06 through 6-30-06.
Unaudited. </FONT></P>
<P align=left><SUP><FONT face=sans-serif color=#292526>4</FONT></SUP><FONT face=sans-serif color=#292526>Based on the average of the shares
outstanding.</FONT></P>
<P align=left><SUP><FONT face=sans-serif color=#292526>5</FONT></SUP><FONT face=sans-serif color=#292526>APS Series A and B were issued on 11-4-03.
</FONT></P>
<P align=left><SUP><FONT face=sans-serif color=#292526>6</FONT></SUP><FONT face=sans-serif color=#292526>Assumes dividend reinvestment.</FONT></P>
<P align=left><SUP><FONT face=sans-serif color=#292526>7</FONT></SUP><FONT face=sans-serif color=#292526>Not annualized.</FONT></P>
<P align=left><SUP><FONT face=sans-serif color=#292526>8</FONT></SUP><FONT face=sans-serif color=#292526>Ratios calculated on the basis of expenses
relative to the average net assets of common shares. Without the exclusion of
preferred shares, the ratios of expenses would have been 0.82%, 0.77%, 0.77% and
0.78% for the periods ended 12-31-03, 12-31-04, 12-31-05 and 6-30-06,
respectively.</FONT></P>
<P align=left><SUP><FONT face=sans-serif color=#292526>9</FONT></SUP><FONT face=sans-serif color=#292526>Annualized.</FONT></P>
<P align=left><SUP><FONT face=sans-serif color=#292526>10</FONT></SUP><FONT face=sans-serif color=#292526>Ratios calculated on the basis of net investment
income relative to the average net assets of common shares. Without the
exclusion of preferred shares, the ratios of net investment income would have
been 5.81%, 5.36%, 5.12% and 5.86% for the periods ended 12-31-03, 12-31-04,
12-31-05 and 6-30-06, respectively.</FONT></P>
<P align=left><SUP><FONT face=sans-serif color=#292526>11</FONT></SUP><FONT face=sans-serif color=#292526>Calculated by subtracting the Fund&#146;s total
liabilities from the Fund&#146;s total assets and dividing that amount by the number
of APS outstanding, as of the applicable 1940 Act Evaluation Date, which may
differ from the financial reporting date.</FONT></P>
<P align=left>
<TABLE>

  <TR>
    <TD noWrap><FONT face=sans-serif color=#292526>See notes to
      </FONT><BR><FONT face=sans-serif color=#292526>financial
      statements.</FONT><BR></TD></TR></TABLE></P>
<P align=left><B><FONT face=sans-serif color=#292526>24</FONT></B></P>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=--><A name=page_27></A>
<P align=left>
<TABLE>

  <TR>
    <TD noWrap><B><FONT face=sans-serif>NOTES TO </FONT></B><BR><B><FONT face=sans-serif>STATEMENTS</FONT></B><BR><BR><FONT face=sans-serif color=#292526>Unaudited</FONT><BR></TD></TR></TABLE></P>
<P align=left><B><FONT face=sans-serif>Note A<BR></FONT></B><B><FONT face=sans-serif>Accounting policies</FONT></B></P>
<P align=left><FONT face=serif color=#292526>John Hancock Investors Trust (the
&#147;Fund&#148;) is a closed-end diversified investment management company registered
under the Investment Company Act of 1940, as amended. </FONT></P>
<P align=left><B><FONT face=sans-serif color=#292526>Significant accounting
policies<BR> of the Fund are as follows:</FONT></B></P>
<P align=left><B><FONT face=sans-serif color=#292526>Valuation of
investments</FONT></B></P>
<P align=left><FONT face=serif color=#292526>Securities in the Fund&#146;s portfolio
are valued on the basis of market quotations, valuations provided by independent
pricing services or, if quotations are not readily available, or the value has
been materially affected by events occurring after the closing of a foreign
market, at fair value as determined in good faith in accordance with procedures
approved by the Trustees. Short-term debt investments which have a remaining
maturity of 60 days or less may be valued at amortized cost, which approximates
market value. The Fund determines the net asset value of the common shares each
business day.</FONT></P>
<P align=left><B><FONT face=sans-serif color=#292526>Joint repurchase agreement
</FONT></B></P>
<P align=left><FONT face=serif color=#292526>Pursuant to an exemptive order
issued by the Securities and Exchange Commission, the Fund, along with other
registered investment companies having a management contract with John Hancock
Advisers, LLC (the &#147;Adviser&#148;), a wholly owned subsidiary of John Hancock
Financial Services, Inc., a subsidiary of Manulife Financial Corporation
</FONT><FONT face=serif color=#292526>(&#147;MFC&#148;), may participate in a joint
repurchase agreement transaction. Aggregate cash balances are invested in one or
more large repurchase agreements, whose underlying securities are obligations of
the U.S. government and/or its agencies. The Fund&#146;s custodian bank receives
delivery of the underlying securities for the joint account on the Fund&#146;s
behalf. The Adviser is responsible for ensuring that the agreement is fully
collateralized at all times.</FONT></P>
<P align=left><B><FONT face=sans-serif color=#292526>Investment transactions
</FONT></B></P>
<P align=left><FONT face=serif color=#292526>Investment transactions are
accounted for on a trade date plus one basis for daily net asset value
calculations. However, for financial reporting purposes, investment transactions
are reported on trade date. Net realized gains and losses on sales of
investments are determined on the identified cost basis. Some securities may be
purchased on a &#147;when-issued&#148; or &#147;forward commitment&#148; basis, which means that the
securities will be delivered to the Fund at a future date, usually beyond
customary settlement date.</FONT></P>
<P align=left><B><FONT face=sans-serif color=#292526>Discount and premium<BR> on
securities </FONT></B></P>
<P align=left><FONT face=serif color=#292526>The Fund accretes discount and
amortizes premium from par value on securities from either the date of issue or
the date of purchase over the life of the security. </FONT></P>
<P align=left><B><FONT face=sans-serif color=#292526>Expenses</FONT></B></P>
<P align=left><FONT face=serif color=#292526>The majority of the expenses are
directly identifiable to an </FONT></P>
<P align=left><B><FONT face=sans-serif color=#292526>25</FONT></B></P>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=--><A name=page_28></A>
<P align=left><FONT face=serif color=#292526>individual fund. Expenses that are
not readily identifi-able to a specific fund will be allocated in such a manner
as deemed equitable, taking into consideration, among other things, the nature
and type of expense and the relative sizes of the funds.</FONT></P>
<P align=left><B><FONT face=sans-serif color=#292526>Securities lending
</FONT></B></P>
<P align=left><FONT face=serif color=#292526>The Fund may lend securities to
certain qualified brokers who pay the Fund negotiated lender fees. The loans are
collateralized at all times with cash or securities with a market value at least
equal to the market value of the securities on loan. As with other extensions of
credit, the Fund may bear the risk of delay of the loaned securities in recovery
or even loss of rights in the collateral, should the borrower of the securities
fail financially. At June 30, 2006, the Fund loaned securities having a market
value of $25,703,248 collateralized by securities in the amount of $26,504,386.
Securities lending expenses are paid by the Fund to the Adviser.</FONT></P>
<P align=left><B><FONT face=sans-serif color=#292526>Financial futures
contracts</FONT></B></P>
<P align=left><FONT face=serif color=#292526>The Fund may buy and sell financial
futures contracts. Buying futures tends to increase the Fund&#146;s exposure to the
underlying instrument. Selling futures tends to decrease the Fund&#146;s exposure to
the underlying instrument or hedge other Fund&#146;s instruments. At the time the
Fund enters into financial futures contracts, it is required to deposit with its
custodian a specified amount of cash or U.S. government securities, known as
&#147;initial margin,&#148; equal to a certain percentage of the value of the financial
futures contract being traded. Each day, the futures contract is valued at the
official settlement price of the board of trade or U.S. commodities exchange on
which it trades. Subsequent payments to and from the broker, known as &#147;variation
margin,&#148; are made on a daily basis as the market price of the financial futures
contract fluctuates. Daily variation margin adjustments arising from this &#147;mark
to market&#148; are </FONT><FONT face=serif color=#292526>recorded by the Fund as
unrealized gains or losses.</FONT></P>
<P align=left><FONT face=serif color=#292526>When the contracts are closed, the
Fund recognizes a gain or loss. Risks of entering into financial futures
contracts include the possibility that there may be an illiquid market and/or
that a change in the value of the contracts may not correlate with changes in
the value of the underlying securities. In addition, the Fund could be prevented
from opening or realizing the benefits of closing out financial futures
positions because of position limits or limits on daily price fluctuation
imposed by an exchange.</FONT></P>
<P align=left><FONT face=serif color=#292526>For federal income tax purposes,
the amount, character and timing of the Fund&#146;s gains and/or losses can be
affected as a result of finan-cial futures contracts. On June 30, 2006, the Fund
had deposited $198,250 in a segregated account to cover margin requirements on
open financial futures contracts.</FONT></P>
<TABLE cellSpacing=1 cellPadding=0 width="80%" border=0>

  <TR vAlign=bottom>
    <TD noWrap align=left width="99%" colSpan=5><B><FONT face=sans-serif color=#292526>The Fund had the following financial futures contracts open
      on June 30, 2006:</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=5>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="31%">&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif color=#292526>NUMBER&nbsp;
      OF</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%">&nbsp; </TD>
    <TD noWrap align=left width="19%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="31%"><FONT face=sans-serif color=#292526>OPEN&nbsp;
      CONTRACTS</FONT>&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif color=#292526>CONTRACTS</FONT>&nbsp; </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>POSITION</FONT>&nbsp; </TD>
    <TD noWrap align=left width="19%"><FONT face=sans-serif color=#292526>EXPIRATION</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif color=#292526>APPRECIATION</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=5>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="31%"><FONT face=sans-serif color=#292526>U.S. 10-Year
      Treasury Note</FONT>&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif color=#292526>305</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="14%"><FONT face=sans-serif color=#292526>Short</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="19%"><FONT face=sans-serif color=#292526>Sept
      06</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif color=#292526>$207,551</FONT>&nbsp; </TD></TR></TABLE><BR>
<P align=left><B><FONT face=sans-serif color=#292526>Federal income
taxes</FONT></B></P>
<P align=left><FONT face=serif color=#292526>The Fund qualifies as a &#147;regulated
investment company&#148; by complying with the applicable provisions of the Internal
Revenue Code and will not be subject to federal </FONT><FONT face=serif color=#292526>income tax on taxable income that is distributed to shareholders.
Therefore, no federal income tax provision is required. For federal income tax
purposes, the Fund has $4,535,322 of a capital loss </FONT><FONT face=serif color=#292526>carryforward available, to the extent provided by regulations, to
offset future net realized capital gains. To the extent that such carryforward
is used by the Fund, no capital gain distributions </FONT></P>
<P align=left><B><FONT face=sans-serif color=#292526>26</FONT></B></P>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=--><A name=page_29></A>
<P align=left><FONT face=serif color=#292526>will be made. The loss
carry-forward expires as follows: December 31, 2012 &#151;$1,668,465 and December 31,
2014 &#151; $2,866,857.</FONT></P>
<P align=left><FONT face=serif color=#292526>In June 2006, Financial Accounting
Standards Board (FASB) Interpretation No. 48, Accounting for Uncertainty in
Income Taxes (the &#147;Interpretation&#148;) was issued, and is effective for fiscal
years beginning after December 15, 2006 and is to be applied to all open tax
years as of the effective date. This Interpretation prescribes a minimum
threshold for financial statement recognition of the benefit of a tax position
taken or expected to be taken in a tax return, and requires certain expanded
disclosures. Management has recently begun to evaluate the application of the
Interpretation to the Fund, and has not at this time quantified the impact, if
any, resulting from the adoption of this Interpretation on the Fund&#146;s financial
statements.</FONT></P>
<P align=left><B><FONT face=sans-serif color=#292526>Dividends, interest<BR> and
distributions </FONT></B></P>
<P align=left><FONT face=serif color=#292526>Dividend income on investment
securities is recorded on the ex-dividend date or, in the case of some foreign
securities, on the date thereafter when the Fund identifies the dividend.
Interest income on investment securities is recorded on the accrual basis. The
Fund may place a security </FONT><FONT face=serif color=#292526>on non-accrual
status and reduce related investment income by ceasing current accruals or
writing off interest receivable when the collection of income has become
doubtful. Foreign income may be subject to foreign withholding taxes, which are
accrued as applicable. </FONT></P>
<P align=left><FONT face=serif color=#292526>The Fund records distributions to
shareholders from net investment income and net realized gains, if any, on the
ex-dividend date. During the year ended December 31, 2005, the tax character of
distributions paid was as follows: ordinary income $14,788,389. </FONT></P>
<P align=left><FONT face=serif color=#292526>Such distributions, on a tax basis,
are determined in conformity with income tax regulations, which may differ from
accounting principles generally accepted in the United States of America.
Distributions in excess of tax basis earnings and profits, if any, are reported
in the Fund&#146;s financial statements as a return of capital.</FONT></P>
<P align=left><B><FONT face=sans-serif color=#292526>Use of
estimates</FONT></B></P>
<P align=left><FONT face=serif color=#292526>The preparation of these financial
statements, in accordance with accounting principles generally accepted in the
United States of America, incorporates estimates made by management in
determining the reported amount of assets, liabilities, revenues and expenses of
the Fund. Actual results could differ from these estimates.</FONT></P>
<P align=left><B><FONT face=sans-serif>Note B <BR></FONT></B><B><FONT face=sans-serif>Management fee and<BR> transactions with <BR>affiliates and
others</FONT></B></P>
<P align=left><FONT face=serif color=#292526>The Fund has an investment
management contract with the Adviser. Under the investment management contract,
the Fund pays a quarterly management fee to the Adviser, equivalent on an annual
basis, to the sum of (a) 0.650% of the first $150,000,000 of the Fund&#146;s average
weekly net asset value and the value attributable to the Auction Preferred
Shares (collectively, &#147;managed assets&#148;), (b) 0.375% of the next $50,000,000, (c)
0.350% of the next $100,000,000 and (d) 0.300% of the Fund&#146;s average daily
managed assets in excess of $300,000,000. </FONT></P>
<P align=left><FONT face=serif color=#292526>Effective December 31, 2005, the
investment management teams of the Adviser were reorganized into Sovereign Asset
Management LLC </FONT><FONT face=serif color=#292526>(&#147;Sovereign&#148;), a wholly
owned indirect subsidiary of John Hancock Life Insurance Company (&#147;JHLICo&#148;), a
subsidiary of MFC. The Adviser remains the principal advisor on the Fund and
Sovereign acts as subadviser under the supervision of the Adviser. The
restructuring did not have an impact on the Fund, which continues to be managed
using the same investment philosophy and process. The Fund is not responsible
for payment of the subadvisory fees.</FONT></P>
<P align=left><B><FONT face=sans-serif color=#292526>27</FONT></B></P>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=--><A name=page_30></A>
<P align=left><FONT face=serif color=#292526>The Fund has an agreement with the
Adviser to perform necessary tax, accounting and legal services for the Fund.
The compensation for the year amounted to $23,475. The Fund also paid the
Adviser the amount of $100 for certain publishing services, included in the
printing fees. The Fund also reimbursed JHLICo for certain compliance costs,
included in the Fund&#146;s Statement of Operations.</FONT></P>
<P align=left><FONT face=serif color=#292526>Mr. James R. Boyle is Chairman of
the Adviser, as well as affiliated Trustee of the Fund, and is compensated by
the Adviser and/or its affiliates. The compensation of unaffiliated Trustees is
borne by the Fund. The </FONT><FONT face=serif color=#292526>unaffiliated
Trustees may elect to defer, for tax purposes, their receipt of this
compensation under the John Hancock Group of Funds Deferred Compensation Plan.
The Fund makes investments into other John Hancock funds, as applicable, to
cover its liability for the deferred compensation. Investments to cover the
Fund&#146;s deferred compensation liability are recorded on the Fund&#146;s books as an
other asset. The deferred compensation liability and the related other asset are
always equal and are marked to market on a periodic basis to reflect any income
earned by the investments, as well as any unrealized gains&nbsp;</FONT><FONT face=serif color=#292526>or losses. The Deferred Compensation Plan investments
had no impact on the operations of the Fund.</FONT></P>
<P align=left><FONT face=serif color=#292526>The Fund is listed for trading on
the New York Stock Exchange (&#147;NYSE&#148;) and has filed with the NYSE its chief
executive officer certification regarding compliance with the NYSE&#146;s listing
standards. The Fund also files with the Securities and Exchange Commission the
certification of its chief executive officer and chief financial officer
required by Section 302 of the Sarbanes-Oxley Act.</FONT></P>
<P align=left><B><FONT face=sans-serif>Note C<BR></FONT></B><B><FONT face=sans-serif>Fund share transactions</FONT></B></P>
<P align=left><FONT face=serif color=#292526>This listing illustrates the number
of Fund common shares, distributions reinvested, offering costs and underwriting
discount charged to capital paid-in, reclassification of capital accounts and
the number of common shares outstanding at the beginning and end of the last two
years, along with the corresponding dollar value.</FONT></P>
<TABLE cellSpacing=1 cellPadding=0 width="80%" border=0>

  <TR vAlign=bottom>
    <TD noWrap align=left width="28%">&nbsp; </TD>
    <TD noWrap align=left width="37%" colSpan=2><B><FONT face=sans-serif color=#292526>Year ended 12-31-05</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="34%" colSpan=2><B><FONT face=sans-serif color=#292526>Period ended 6-30-06</FONT></B><SUP><FONT face=sans-serif color=#292526>1</FONT></SUP>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="28%">&nbsp; </TD>
    <TD noWrap align=left width="17%"><B><FONT face=sans-serif color=#292526>Shares</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="20%"><B><FONT face=sans-serif color=#292526>Amount</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="17%"><B><FONT face=sans-serif color=#292526>Shares</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="17%"><B><FONT face=sans-serif color=#292526>Amount</FONT></B>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="28%"><FONT face=sans-serif color=#292526>Beginning of
      period</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif color=#292526>8,160,880</FONT>&nbsp; </TD>
    <TD noWrap align=left width="20%"><FONT face=sans-serif color=#292526>$167,750,954</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif color=#292526>8,213,076</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif color=#292526>$168,874,698</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="28%"><FONT face=sans-serif color=#292526>Distributions
      reinvested</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif color=#292526>52,196</FONT>&nbsp; </TD>
    <TD noWrap align=left width="20%"><FONT face=sans-serif color=#292526>1,014,114</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif color=#292526>26,021</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif color=#292526>462,509</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="28%"><FONT face=sans-serif color=#292526>Offering costs
      and</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="20%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="28%"><FONT face=sans-serif color=#292526>underwriting
      discount</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="20%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="28%"><FONT face=sans-serif color=#292526>related to
      Auction</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="20%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="28%"><FONT face=sans-serif color=#292526>Preferred
      Shares</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif color=#292526>&#151;</FONT>&nbsp; </TD>
    <TD noWrap align=left width="20%"><FONT face=sans-serif color=#292526>&#151;</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif color=#292526>&#151;</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif color=#292526>&#151;</FONT>&nbsp;
  </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="28%"><FONT face=sans-serif color=#292526>Reclassification
      of</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="20%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD>
    <TD noWrap align=left width="17%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="28%"><FONT face=sans-serif color=#292526>capital
      accounts</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif color=#292526>&#151;</FONT>&nbsp; </TD>
    <TD noWrap align=left width="20%"><FONT face=sans-serif color=#292526>109,630</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif color=#292526>&#151;</FONT>&nbsp; </TD>
    <TD noWrap align=left width="17%"><FONT face=sans-serif color=#292526>&#151;</FONT>&nbsp;
  </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="28%"><B><FONT face=sans-serif>End of
      period</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="17%"><B><FONT face=sans-serif>8,213,076</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="20%"><B><FONT face=sans-serif>$168,874,698</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="17%"><B><FONT face=sans-serif>8,239,097</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="17%"><B><FONT face=sans-serif>$169,337,207</FONT></B>&nbsp; </TD></TR></TABLE><BR>
<P align=left><SUP><FONT face=sans-serif color=#292526>1 </FONT></SUP><FONT face=sans-serif color=#292526>Semiannual period from 1-1-06 through 6-30-06.
Unaudited.</FONT></P>
<P align=left><B><FONT face=sans-serif color=#292526>Auction preferred
shares</FONT></B></P>
<P align=left><FONT face=serif color=#292526>The Fund issued a total of 3,440
Auction Preferred Shares: 1,720 shares of </FONT><FONT face=serif color=#292526>Series A Auction Preferred Shares and 1,720 shares of Series B
Auction Preferred Shares (collectively, the </FONT><FONT face=serif color=#292526>&#147;Preferred Shares&#148; or &#147;APS&#148;) on November 4, 2003, in a public
offering. The total offering costs of $178,036</FONT></P>
<P align=left><B><FONT face=sans-serif color=#292526>28</FONT></B></P>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=--><A name=page_31></A>
<P align=left><FONT face=serif color=#292526>and the total underwriting discount
of $860,000 has been charged to capital paid-in of common shares during the
years ended December 31, 2003 and December 31, 2004. </FONT></P>
<P align=left><FONT face=serif color=#292526>Dividends on the APS, which accrue
daily, are cumulative at a rate that was established at the offering of the APS
and has been reset every 7 days thereafter by an auction. Dividend rates on APS
Series A ranged from 4.00% to 5.05% and Series B from 3.85% to 5.26% during the
period ended June 30, 2006. Accrued dividends on APS are included in the value
of APS on the Fund&#146;s Statement of Assets and Liabilities.</FONT></P>
<P align=left><FONT face=serif color=#292526>The APS are redeemable at the
option of the Fund, at a redemption price equal to $25,000 per share, plus
accumulated and unpaid dividends on any dividend payment date. The APS are also
subject to mandatory redemption at a redemption price equal to $25,000 per
share, plus accumulated and unpaid dividends, if the Fund is in default on its
asset coverage requirements with respect to the APS as defined in the Fund&#146;s
by-laws. If the dividends on the APS shall remain unpaid in an amount equal to
two full years&#146; dividends, the holders of the APS, as a class, have the right to
elect a majority of the Board of Trustees. In general, the holders of the APS
and the common shareholders </FONT><FONT face=serif color=#292526>have equal
voting rights of one vote per share, except that the holders of the APS, as a
class, vote to elect two members of the Board of Trustees, and separate class
votes are required on certain matters that affect the respective interests of
the APS and common shareholders. </FONT></P>
<P align=left><B><FONT face=sans-serif>Note D <BR>Investment
<BR>transactions</FONT></B></P>
<P align=left><FONT face=serif color=#292526>Purchases and proceeds from sales
or maturities of securities, other than short-term securities and obligations of
the U.S. government, during the period ended June 30, 2006, aggregated
$65,648,442 and $54,532,400, respectively. Purchases and proceeds from sales or
maturities of obligations of U.S. government aggregated $19,807,431 and
$22,366,561, respectively, during the period ended June 30, 2006.</FONT></P>
<P align=left><FONT face=serif color=#292526>The cost of investments owned on
June 30, 2006, including short-term investments, for federal income tax purposes
was $250,499,417. Gross unrealized appreciation and depreciation of investments
aggregated $1,560,005 and $8,292,440, respectively, resulting in net unrealized
depreciation of $6,732,435. The difference between book basis and tax basis net
unrealized appreciation of investments is attributable primarily to the
</FONT><FONT face=serif color=#292526>tax deferral of losses on certain sales of
securities and amortization of premiums on debt securities.</FONT></P>
<P align=left><B><FONT face=sans-serif color=#292526>29</FONT></B></P>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=--><A name=page_32></A>
<P align=left><B><FONT face=sans-serif>Investment <BR>objective <BR>and
policy</FONT></B></P>
<P align=left><FONT face=serif color=#292526>The Fund is a closed-end
diversified management investment company, common shares of which were initially
offered to the public on January 29, 1971 and are publicly traded on the NYSE.
The Fund&#146;s primary investment objective is to generate income for distribution
to its shareholders, with capital appreciation as a secondary objective. The
preponderance of the Fund&#146;s assets are invested in a diversified portfolio of
debt securities, some of which may carry equity features. Up to 50% of the value
of the Fund&#146;s assets may be invested in restricted securities acquired through
direct placement. The Fund may also invest in repurchase agreements. The Fund
may issue a single class of senior securities not to exceed </FONT><FONT face=serif color=#292526>33</FONT><FONT face=serif color=#292526><SUP> 1
</SUP>/<SUB> 3 </SUB></FONT><FONT face=serif color=#292526>% of the market or
fair value of its net assets and may borrow from banks as a temporary measure
for emergency purposes in amounts not to exceed 5% of its total assets taken at
cost. The Fund may lend portfolio securities not to exceed </FONT><FONT face=serif color=#292526>33</FONT><FONT face=serif color=#292526><SUP> 1
</SUP>/<SUB> 3 </SUB></FONT><FONT face=serif color=#292526>% of total
assets.</FONT></P>
<P align=left><B><FONT face=sans-serif>Bylaws</FONT></B></P>
<P align=left><FONT face=serif color=#292526>In November 2002, the Board of
Trustees adopted several amendments to the Fund&#146;s bylaws, including provisions
relating to the calling of a special meeting and requiring advance notice of
shareholder proposals or </FONT><FONT face=serif color=#292526>nominees for
Trustee. The advance notice provisions in the bylaws require shareholders to
notify the Fund in writing of any proposal that they intend to present at an
annual meeting of shareholders, including any nominations for Trustee, between
90 and 120 days prior to the first anniversary of the mailing date of the notice
from the prior year&#146;s annual meeting of shareholders. The noti-fication must be
in the form prescribed by the bylaws. The advance notice provisions provide the
Fund and its Trustees with the opportunity to thoughtfully consider and address
the matters proposed before the Fund prepares and mails its proxy statement to
shareholders. Other amendments set forth the procedures that must be followed in
order for a shareholder to call a special meeting of shareholders. Please
contact the Secretary of the Fund for additional information about the advance
notice requirements or the other amendments to the bylaws.</FONT></P>
<P align=left><FONT face=serif color=#292526>On August 21, 2003, shareholders
approved the amendment of the Fund&#146;s bylaws, effective August 26, 2003, to
provide for the issuance of preferred shares. Effective March 9, 2004, the
Trustees approved additional changes to conform with the Fund&#146;s maximum dividend
rate on the preferred shares with the rate used by other John Hancock
funds.</FONT></P>
<P align=left><FONT face=serif color=#292526>On September 14, 2004, the Trustees
approved an amendment to the Fund&#146;s bylaws increasing the maximum applicable
dividend rate ceiling on the preferred shares to conform with the modern
calculation methodology used by the industry and other John Hancock
funds.</FONT></P>
<P align=left><B><FONT face=sans-serif>Financial futures <BR>contracts and
options</FONT></B></P>
<P align=left><FONT face=serif color=#292526>The Fund may buy and sell financial
futures contracts and options on futures contracts to hedge against the effects
of fluctuations in interest rates and other market conditions. The Fund&#146;s
ability to hedge successfully will depend on the Adviser&#146;s ability to predict
accurately the future direction of interest rate changes and other market
factors. There is no assurance that a liquid market for futures and options will
always exist. In addition, the Fund could be prevented from opening, or
realizing the benefits of closing out, a futures or options position because of
position limits or limits on daily price fluctuations imposed by an
exchange.</FONT></P>
<P align=left><FONT face=serif color=#292526>The Fund will not engage in
transactions in futures contracts and options on futures for speculation, but
only for hedging or other permissible risk management purposes. All of the
Fund&#146;s futures contracts and options on futures will be traded on a U.S.
commodity exchange or board of trade. The Fund will not</FONT></P>
<P align=left><B><FONT face=sans-serif color=#292526>30</FONT></B></P>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=--><A name=page_33></A>
<P align=left><FONT face=serif color=#292526>engage in a transaction in futures
or options on futures if, immediately thereafter, the sum of initial margin
deposits on existing positions and premiums paid for options on futures would
exceed 5% of the Fund&#146;s total assets.</FONT></P>
<P align=left><B><FONT face=sans-serif>Dividends and<BR> distributions
</FONT></B></P>
<P align=left><FONT face=serif color=#292526>During the period ended June 30,
2006, dividends from net investment income totaling $0.6775 per share were paid
to shareholders. The dates of payments and the amounts per share are as
follows:</FONT></P>
<TABLE cellSpacing=1 cellPadding=0 width="80%" border=0>

  <TR vAlign=bottom>
    <TD noWrap align=left width="61%">&nbsp; </TD>
    <TD noWrap align=left width="38%"><FONT face=sans-serif color=#292526>INCOME</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="61%"><FONT face=sans-serif color=#292526>PAYMENT
      DATE</FONT>&nbsp; </TD>
    <TD noWrap align=left width="38%"><FONT face=sans-serif color=#292526>DIVIDEND</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=2>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="61%"><FONT face=sans-serif color=#292526>March 31,
      2006</FONT>&nbsp; </TD>
    <TD noWrap align=left width="38%"><FONT face=sans-serif color=#292526>$0.3425</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="61%"><FONT face=sans-serif color=#292526>June 30,
      2006</FONT>&nbsp; </TD>
    <TD noWrap align=left width="38%"><FONT face=sans-serif color=#292526>0.3350</FONT>&nbsp; </TD></TR></TABLE><BR>
<P align=left><B><FONT face=sans-serif>Dividend <BR>reinvestment
plan</FONT></B></P>
<P align=left><FONT face=serif color=#292526>The Fund offers its common
shareholders a Dividend Reinvestment Plan (the &#147;Plan&#148;), which offers the
opportunity to earn compounded yields. Any holder of common shares of record of
the Fund may elect to participate in the Plan and receive the Fund&#146;s common
shares in lieu of all or a portion of the cash dividends. The Plan is available
to all common shareholders without charge. Mellon Investor Services (the &#147;Plan
Agent&#148;) will act as agent for participating shareholders.</FONT></P>
<P align=left><FONT face=serif color=#292526>Shareholders may join the Plan by
notifying the Plan Agent by telephone, in writing or by visiting the Plan
Agent&#146;s Web site at </FONT><FONT face=serif color=#292526>www.melloninvestor.com, showing an election to reinvest all or a
portion of dividend payments. If received in proper form by the Plan Agent prior
to the record date for a dividend, the election will be effective with respect
to all dividends paid after such record date. Shareholders whose shares are held
in the name of a broker or nominee should contact the broker or nominee to
determine whether and how they may participate in the Plan.</FONT></P>
<P align=left><FONT face=serif color=#292526>The Board of Trustees of the Fund
will declare dividends from net investment income payable in cash or, in the
case of shareholders participating in the Plan, partially or entirely in the
Fund&#146;s common shares. The number of shares to be issued for the benefit of each
shareholder will be determined by dividing the amount of the cash dividend,
otherwise payable to such shareholder on shares included under the Plan, by the
per share net asset value of the common shares on the date for payment of the
dividend, unless the net asset value per share on the payment date is less than
95% of the market price per share on that date, in which event the number of
shares to be issued to a shareholder will be determined by dividing the amount
of the cash dividend payable to such shareholder, by 95% of the market price per
share of the common </FONT><FONT face=serif color=#292526>shares on the payment
date. The market price of the common shares on a particular date shall be the
mean between the highest and lowest sales price on the NYSE on that date. Net
asset value will be determined in accordance with the established procedures of
the Fund. However, if as of such payment date the market price of the common
shares is lower than such net asset value per share, the number of shares to be
issued will be determined on the basis of such market price. Fractional shares,
carried out to four decimal places, will be credited to the share holder&#146;s
account. Such fractional shares will be entitled to future dividends.</FONT></P>
<P align=left><FONT face=serif color=#292526>The shares issued to participating
shareholders, including fractional shares, will be held by the Plan Agent in the
name of the par ticipant. A confirmation will be sent to each shareholder
promptly, normally within seven days, after the payment date of the dividend.
The confirmation will show the total number of shares held by such shareholder
before and after the dividend, the amount of the most recent cash dividend that
the shareholder has elected to reinvest and the number of shares acquired with
such dividend.</FONT></P>
<P align=left><FONT face=serif color=#292526>Participation in the Plan may be
terminated at any time by contacting the Plan</FONT></P>
<P align=left><B><FONT face=sans-serif color=#292526>31</FONT></B></P>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=--><A name=page_34></A>
<P align=left><FONT face=serif color=#292526>Agent by telephone, in writing or
by visiting the Plan Agent&#146;s Web site, and such termination will be effective
immediately. However, notice of termination must be received prior to the record
date of any distribution to be effective for that distribution. Upon
termination, certificates will be issued representing the number of full shares
of common shares held by the Plan Agent. A shareholder will receive a cash
payment for any fractional share held. </FONT></P>
<P align=left><FONT face=serif color=#292526>The reinvestment of dividends will
not relieve participants of any federal, state or local income tax, which may be
due with respect to such dividend. Dividends reinvested in common shares will be
treated on your federal income tax return as though you had received a dividend
in cash in an amount equal to the fair market value of the shares received, as
determined by the prices for common shares of the Fund on the NYSE as of the
dividend payment date. Distributions from the Fund&#146;s long-term capital gains
will be processed as noted above for those electing to reinvest in common shares
and will be taxable to you as long-term capital gains. The confirmation referred
to above will contain all the information you will require for determining the
cost basis of shares acquired and should be retained for that
purpose.</FONT></P>
<P align=left><FONT face=serif color=#292526>At year end, each account will be
supplied with detailed information necessary to determine total tax liability
for the calendar year. </FONT></P>
<P align=left><FONT face=serif color=#292526>All correspondence or additional
information concerning the Plan should be directed to the Plan Agent, Mellon
Bank, N.A., c/o Mellon Investor Services, P.O. Box 3338, South Hackensack, New
Jersey 07606-1938 (Telephone: 1-800-852-0218).</FONT></P>
<P align=left><B><FONT face=sans-serif>Shareholder<BR> communication<BR> and
assistance</FONT></B></P>
<P align=left><FONT face=serif color=#292526>If you have any questions
concerning the Fund, we will be pleased to assist you. If you hold shares in
your own name and not with a brokerage firm, please address all notices,
correspondence, questions or other communications regarding the Fund to the
transfer agent at: </FONT></P>
<P align=left><FONT face=sans-serif color=#292526>Mellon Investor Services<BR>
Newport Office Center VII<BR> 480 Washington Boulevard<BR> Jersey City, NJ
07310<BR> Telephone: 1-800-852-0218</FONT></P>
<P align=left><B><FONT face=sans-serif color=#292526>32</FONT></B></P>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=--><A name=page_35></A>
<P align=left><B><FONT face=sans-serif>Shareholder meeting</FONT></B></P>
<P align=left><FONT face=serif color=#292526>On March 22, 2006, the Annual
Meeting of the Fund was held to elect nine Trustees and to ratify the actions of
the Trustees in selecting independent auditors for the Fund. </FONT></P>
<P align=left><FONT face=serif color=#292526>Proxies covering 6,950,516 shares
of beneficial interest were voted at the meeting. The common shareholders
elected the following Trustees to serve until their respective successors are
duly elected and qualified with the votes tabulated as follows:</FONT></P>
<TABLE cellSpacing=1 cellPadding=0 width="80%" border=0>

  <TR vAlign=bottom>
    <TD noWrap align=left width="40%">&nbsp; </TD>
    <TD noWrap align=left width="32%">&nbsp; </TD>
    <TD noWrap align=left width="27%"><FONT face=sans-serif color=#292526>W I T H H E L
      D</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="40%">&nbsp; </TD>
    <TD noWrap align=left width="32%"><FONT face=sans-serif color=#292526>F O R</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="27%"><FONT face=sans-serif color=#292526>A U T H O R I T
      Y</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="40%"><FONT face=serif color=#292526>James R.
      Boyle</FONT>&nbsp; </TD>
    <TD noWrap align=left width="32%"><FONT face=serif color=#292526>6,940,493</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="27%"><FONT face=serif color=#292526>10,023</FONT>&nbsp;
  </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="40%"><FONT face=serif color=#292526>James F.
      Carlin</FONT>&nbsp; </TD>
    <TD noWrap align=left width="32%"><FONT face=serif color=#292526>6,941,235</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="27%"><FONT face=serif color=#292526>9,281</FONT>&nbsp;
  </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="40%"><FONT face=serif color=#292526>Richard P. Chapman,
      Jr.</FONT>&nbsp; </TD>
    <TD noWrap align=left width="32%"><FONT face=serif color=#292526>6,940,348</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="27%"><FONT face=serif color=#292526>10,168</FONT>&nbsp;
  </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="40%"><FONT face=serif color=#292526>William H.
      Cunningham</FONT>&nbsp; </TD>
    <TD noWrap align=left width="32%"><FONT face=serif color=#292526>6,938,066</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="27%"><FONT face=serif color=#292526>12,450</FONT>&nbsp;
  </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="40%"><FONT face=serif color=#292526>Richard
      Dion</FONT>&nbsp; </TD>
    <TD noWrap align=left width="32%"><FONT face=serif color=#292526>6,937,557</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="27%"><FONT face=serif color=#292526>12,959</FONT>&nbsp;
  </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="40%"><FONT face=serif color=#292526>Charles
      Ladner</FONT>&nbsp; </TD>
    <TD noWrap align=left width="32%"><FONT face=serif color=#292526>6,943,553</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="27%"><FONT face=serif color=#292526>6,963</FONT>&nbsp;
  </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="40%"><FONT face=serif color=#292526>Stephan
      Pruchansky</FONT>&nbsp; </TD>
    <TD noWrap align=left width="32%"><FONT face=serif color=#292526>6,941,928</FONT>&nbsp;
    </TD>
    <TD noWrap align=left width="27%"><FONT face=serif color=#292526>8,588</FONT>&nbsp;
  </TD></TR></TABLE><BR>
<P align=left><FONT face=serif color=#292526>The preferred shareholders elected
Dr. John A. Moore and Patti McGill Peterson to serve as the Fund&#146;s Trustees
until their successors are duly elected and qualified, with the votes tabulated
as follows: 2,880 FOR, 0 AGAINST, 9 ABSTAINING.</FONT></P>
<P align=left><FONT face=serif color=#292526>The common and preferred
shareholders ratified the Trustees&#146; selection of </FONT><FONT face=serif color=#292526>PricewaterhouseCoopers LLP as the Fund&#146;s independent auditor for
the fiscal year ending December 31, 2006, with votes tabulated as follows:
6,946,588 FOR, 24,339 AGAINST and 63,210 ABSTAINING.</FONT></P>
<P align=left><B><FONT face=sans-serif color=#292526>33</FONT></B></P>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=--><A name=page_36></A>
<P align=left><B><FONT face=sans-serif>Board Consideration<BR> of and
Continuation<BR> of Investment <BR>Advisory Agreement<BR> and Sub-Advisory<BR>
Agreement:<BR> John Hancock<BR> Investors Trust</FONT></B></P>
<P align=left><FONT face=serif color=#292526>The Investment Company Act of 1940
(the &#147;1940 Act&#148;) requires the Board of Trustees (the &#147;Board&#148;) of John Hancock
Investors Trust (the &#147;Fund&#148;), including a majority of the Trustees who have no
direct or indirect interest in the investment advisory agreement and are not
&#147;interested persons&#148; of the Fund, as defined in the 1940 Act (the &#147;Independent
Trustees&#148;), annually to review and consider the continuation of: (i) the
investment advisory agreement (the &#147;Advisory Agreement&#148;) with John Hancock
Advisers, LLC (the &#147;Adviser&#148;) and (ii) the investment sub-advisory agreement
(the &#147;Sub-Advisory Agreement&#148;) with Sovereign Asset Management LLC (the
&#147;Sub-Adviser&#148;). The Advisory Agreement and the Sub-Advisory Agreement are
collectively referred to as the &#147;Advisory Agreements.&#148;</FONT></P>
<P align=left><FONT face=serif color=#292526>At meetings held on May 1&#150;2 and
June 5&#150;6, 2006,</FONT><SUP><FONT face=sans-serif color=#292526>1
</FONT></SUP><FONT face=serif color=#292526>the Board considered the factors and
reached the conclusions described below relating to the selection of the Adviser
and Sub-Adviser and the continuation of the Advisory Agreements. During such
meetings, the Board&#146;s Contracts/Operations </FONT><FONT face=serif color=#292526>Committee and the Independent Trustees also met in executive
sessions with their independent legal counsel.</FONT></P>
<P align=left><FONT face=serif color=#292526>In evaluating the Advisory
Agreements, the Board, including the Contracts/ Operations Committee and the
Independent Trustees, reviewed a broad range of information requested for this
purpose by the Independent Trustees, including: (i) the investment performance
of the Fund relative to a category of relevant funds (the &#147;Category&#148;) and a peer
group of comparable funds (the &#147;Peer Group&#148;) each selected by Morningstar Inc.
(&#147;Morningstar&#148;), an independent provider of investment company data, for a range
of periods ended December 31, 2005,</FONT><SUP><FONT face=sans-serif color=#292526>2 </FONT></SUP><FONT face=serif color=#292526>(ii) advisory and
other fees incurred by, and the expense ratios of, the Fund relative to a
Category and a Peer Group, (iii) the advisory fees of comparable portfolios of
other clients of the Adviser and the Sub-Adviser, (iv) the Adviser&#146;s financial
results and condition, including its and certain of its affiliates&#146;
profitability from services performed for the Fund, (v) breakpoints in the
Fund&#146;s and the Peer Group&#146;s fees, and information about economies of scale, (vi)
the Adviser&#146;s and Sub-Adviser&#146;s record of compliance with applicable laws and
regulations, with the Fund&#146;s investment policies and restrictions, and with the
</FONT><FONT face=serif color=#292526>applicable Code of Ethics, and the
structure and responsibilities of the Adviser&#146;s and Sub-Adviser&#146;s compliance
department, (vii) the background and experience of senior management and
investment professionals, and (viii) the nature, cost and character of advisory
and non-investment management services provided by the Adviser and its
affiliates and by the Sub-Adviser.</FONT></P>
<P align=left><FONT face=serif color=#292526>The Board&#146;s review and conclusions
were based on a comprehensive consideration of all information presented to the
Board and not the result of any single controlling factor. It was based on
performance and other information as of December 31, 2005; facts may have
changed between that date and the date of this shareholders report. The key
factors considered by the Board and the conclusions reached are described
below.</FONT></P>
<P align=left><B><FONT face=sans-serif color=#292526>Nature, extent and
quality<BR> of services</FONT></B></P>
<P align=left><FONT face=serif color=#292526>The Board considered the ability of
the Adviser and the Sub-Adviser, based on their resources, reputation and other
attributes, to attract and retain qualified investment professionals, including
research, advisory, and supervisory personnel. The Board further considered the
compliance programs and compliance records of the Adviser and Sub-Adviser. In
addition, the Board took into account the</FONT></P>
<P align=left><B><FONT face=sans-serif color=#292526>34</FONT></B></P>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=--><A name=page_37></A>
<P align=left><FONT face=serif color=#292526>administrative services provided to
the Fund by the Adviser and its affiliates.</FONT></P>
<P align=left><FONT face=serif color=#292526>Based on the above factors,
together with those referenced below, the Board concluded that, within the
context of its full deliberations, the nature, extent and quality of the
investment advisory services provided to the Fund by the Adviser and Sub-Adviser
were sufficient to support renewal of the Advisory Agreements.</FONT></P>
<P align=left><B><FONT face=sans-serif color=#292526>Fund
performance</FONT></B></P>
<P align=left><FONT face=serif color=#292526>The Board considered the
performance results for the Fund over various time periods ended December 31,
2005. The Board also considered these results in comparison to the performance
of the Category, as well as the Fund&#146;s Peer Group and benchmark index.
Morningstar determined the Category and Peer Group for the Fund. The Board
reviewed with a representative of Morningstar the methodology used by
Morningstar to select the funds in the Category and the Peer Group. The Board
noted the imperfect comparability of the Peer Group.</FONT></P>
<P align=left><FONT face=serif color=#292526>The Board noted the Fund&#146;s
performance was lower than the performance of the Category and Peer Group
medians and its benchmark index, the Lehman Brothers Aggregate Bond Index, over
the 1-year period. The Board also noted that the Fund&#146;s performance for the 3-
and 5-year periods was lower </FONT><FONT face=serif color=#292526>than the
median performance of its Category and Peer Group, but higher than its benchmark
index. The Board noted the Fund&#146;s performance was lower than the performance of
the Category median, but higher than its Peer Group median and benchmark index
over the 10-year period. The Adviser discussed with the Board factors
contributing to the Fund&#146;s performance results. The Adviser noted that, in its
view, the Fund&#146;s Peer Group was not comparable, and that the Fund&#146;s performance
was consistent with other similarly leveraged closed-end funds. The Board
indicated its intent to continue to monitor the Fund&#146;s performance
trends.</FONT></P>
<P align=left><B><FONT face=sans-serif color=#292526>Investment advisory fee<BR>
and sub-advisory fee rates<BR> and expenses</FONT></B></P>
<P align=left><FONT face=serif color=#292526>The Board reviewed and considered
the contractual investment advisory fee rate payable by the Fund to the Adviser
for investment advisory services (the &#147;Advisory Agreement Rate&#148;). The Board
received and considered information comparing the Advisory Agreement Rate with
the advisory fees for the Category and Peer Group. The Board noted that the
Advisory Agreement Rate was higher than the median rate of the Peer Group and
equal to the median rate of the Category.</FONT></P>
<P align=left><FONT face=serif color=#292526>The Board received and considered
expense information regarding the Fund&#146;s various </FONT><FONT face=serif color=#292526>components, including advisory fees, and other non-advisory fees,
including transfer agent fees, custodian fees, and other miscellaneous fees
(e.g., fees for accounting and legal services). The Board considered comparisons
of these expenses to the Peer Group median. The Board also received and
considered expense information regarding the Fund&#146;s total operating expense
ratio (&#147;Expense Ratio&#148;). The Board received and considered information comparing
the Expense Ratio of the Fund to that of the Category and Peer Group medians.
The Board noted that the Fund&#146;s Expense Ratio was higher than the Category and
Peer Group medians.</FONT></P>
<P align=left><FONT face=serif color=#292526>The Adviser also discussed the
Morningstar data and rankings, and other relevant information, for the Fund.
Based on the above-referenced considerations and other factors, the Board
concluded that the Fund&#146;s overall expense results and performance supported the
re-approval of the Advisory Agreements.</FONT></P>
<P align=left><FONT face=serif color=#292526>The Board also received information
about the investment sub-advisory fee rate (the &#147;Sub-Advisory Agreement Rate&#148;)
payable by the Adviser to the Sub-Adviser for investment sub-advisory services.
The Board concluded that the Sub-Advisory Agreement Rate was fair and equitable,
based on its consideration of the factors described here.</FONT></P>
<P align=left><B><FONT face=sans-serif color=#292526>35</FONT></B></P>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=--><A name=page_38></A>
<P align=left><B><FONT face=sans-serif color=#292526>Profitability</FONT></B></P>
<P align=left><FONT face=serif color=#292526>The Board received and considered a
detailed profitability analysis of the Adviser based on the Advisory Agreements,
as well as on other relationships between the Fund and the Adviser and its
affiliates, including the Sub-Adviser. The Board concluded that, in light of the
costs of providing investment management and other services to the Fund, the
profits and other ancillary benefits reported by the Adviser were not
unreasonable.</FONT></P>
<P align=left><B><FONT face=sans-serif color=#292526>Economies of
scale</FONT></B></P>
<P align=left><FONT face=serif color=#292526>The Board received and considered
general information regarding economies of scale with respect to the management
of the Fund, including the Fund&#146;s ability to appropriately benefit from
economies of scale under the Fund&#146;s fee structure. The Board recognized the
inherent limitations of any analysis of economies of scale, stemming largely
from the Board&#146;s understanding that most of the Adviser&#146;s and Sub-Adviser&#146;s
costs are not specific to individual Funds, but rather are incurred across a
variety of products and services.</FONT></P>
<P align=left><FONT face=serif color=#292526>The Board noted that the Advisory
Agreements offered breakpoints. However, the Board considered the limited
relevance of economies of scale in the context of a </FONT><FONT face=serif color=#292526>closed-end fund that, unlike an open-end fund, does not
continuously offer its shares. The Board noted that the Fund, as a closed-end
investment company, was not expected to increase materially in size and that its
assets would grow (if at all) through the investment performance of the Fund.
Therefore, the Board did not consider potential economies of scale as a
principal factor in assessing the fees payable under the Agreements, but
concluded that the fees were fair and equitable based on relevant
factors.</FONT></P>
<P align=left><B><FONT face=sans-serif color=#292526>Other benefits to<BR> the
Adviser</FONT></B></P>
<P align=left><FONT face=serif color=#292526>The Board received information
regarding potential &#147;fall-out&#148; or ancillary bene-fits received by the Adviser
and its affiliates as a result of the Adviser&#146;s relationship with the Fund. Such
benefits could include, among others, benefits directly attributable to the
relationship of the Adviser with the Fund and benefits potentially derived from
an increase in the business of the Adviser as a result of its relationship with
the Fund (such as the ability to market to shareholders other finan-cial
products offered by the Adviser and its affiliates).</FONT></P>
<P align=left><FONT face=serif color=#292526>The Board also considered the
effectiveness of the Adviser&#146;s, Sub-Adviser&#146;s and Fund&#146;s policies and procedures
for complying </FONT><FONT face=serif color=#292526>with the requirements of the
federal securities laws, including those relating to best execution of portfolio
transactions and brokerage allocation.</FONT></P>
<P align=left><B><FONT face=sans-serif color=#292526>Other factors and<BR>
broader review</FONT></B></P>
<P align=left><FONT face=serif color=#292526>As discussed above, the Board
reviewed detailed materials received from the Adviser and Sub-Adviser as part of
the annual re-approval process. The Board also regularly reviews and assesses
the quality of the services that the Fund receives throughout the year. In this
regard, the Board reviews reports of the Adviser and Sub-Adviser at least
quarterly, which include, among other things, fund performance reports and
compliance reports. In addition, the Board meets with portfolio managers and
senior investment officers at various times throughout the year.</FONT></P>
<P align=left><FONT face=serif color=#292526>After considering the
above-described factors and based on its deliberations and its evaluation of the
information described above, the Board concluded that approval of the
continuation of the Advisory Agreements for the Fund was in the best interest of
the Fund and its shareholders. Accordingly, the Board unanimously approved the
continuation of the Advisory Agreements.</FONT></P>
<P align=left><SUP><FONT face=sans-serif color=#292526>1 </FONT></SUP><FONT face=sans-serif color=#292526>The Board previously considered information about
the Sub-Advisory Agreement at the September and December 2005 Board meetings in
connection with the Adviser&#146;s reorganization.</FONT></P>
<P align=left><B><FONT face=sans-serif color=#292526>36</FONT></B></P>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=--><A name=page_39></A>
<P align=left><FONT face=serif>For more information</FONT></P>
<P align=left><B><FONT face=sans-serif color=#292526>The Fund&#146;s proxy voting
policies, procedures and records are available without charge, upon
request:</FONT></B></P>
<TABLE cellSpacing=1 cellPadding=0 width="80%" border=0>

  <TR vAlign=bottom>
    <TD noWrap align=left width="32%"><B><FONT face=sans-serif>By phone</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="34%"><B><FONT face=sans-serif>On the Fund&#146;s Web site</FONT></B>&nbsp;
    </TD>
    <TD noWrap align=left width="33%"><B><FONT face=sans-serif>On the SEC&#146;s Web site</FONT></B>&nbsp;
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="32%"><FONT face=serif color=#292526>1-800-225-5291</FONT>&nbsp; </TD>
    <TD noWrap align=left width="34%"><FONT face=serif color=#292526>www.jhfunds.com/proxy</FONT>&nbsp;
</TD>
    <TD noWrap align=left width="33%"><FONT face=serif color=#292526>www.sec.gov</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="32%"><B><FONT face=sans-serif>Trustees</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="34%"><FONT face=serif color=#292526>John G. Vrysen</FONT>&nbsp; </TD>
    <TD noWrap align=left width="33%"><B><FONT face=sans-serif>Transfer agent for</FONT></B>&nbsp;
  </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="32%"><FONT face=serif color=#292526>Ronald R. Dion, </FONT><I><FONT face=serif color=#292526>Chairman</FONT></I>&nbsp; </TD>
    <TD noWrap align=left width="34%"><I><FONT face=serif color=#292526>Executive Vice
      President and</FONT></I>&nbsp; </TD>
    <TD noWrap align=left width="33%"><B><FONT face=sans-serif>preferred shareholders</FONT></B>&nbsp;
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="32%"><FONT face=serif color=#292526>James R. Boyle&#134;</FONT>&nbsp; </TD>
    <TD noWrap align=left width="34%"><I><FONT face=serif color=#292526>Chief Financial
      Officer</FONT></I>&nbsp; </TD>
    <TD noWrap align=left width="33%"><FONT face=serif color=#292526>Deutsche Bank Trust</FONT>&nbsp;
  </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="32%"><FONT face=serif color=#292526>James F. Carlin</FONT>&nbsp; </TD>
    <TD noWrap align=left width="34%">&nbsp; </TD>
    <TD noWrap align=left width="33%"><FONT face=serif color=#292526>Company Americas</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="32%"><FONT color=#292526>Richard P. Chapman,
      Jr.*</FONT>&nbsp;&nbsp;&nbsp; </TD>
    <TD noWrap align=left width="34%"><B><FONT face=sans-serif>Investment adviser</FONT></B>&nbsp; </TD>
    <TD noWrap align=left width="33%"><FONT color=#292526>280 Park
      Avenue</FONT>&nbsp;&nbsp;&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="32%"><FONT color=#292526>William H.
      Cunningham</FONT>&nbsp; </TD>
    <TD noWrap align=left width="34%"><FONT color=#292526>John Hancock
      Advisers, LLC</FONT>&nbsp; </TD>
    <TD noWrap align=left width="33%"><FONT color=#292526>New York, NY
      10017</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="32%"><FONT color=#292526>Charles L.
      Ladner*</FONT>&nbsp;&nbsp;&nbsp; </TD>
    <TD noWrap align=left width="34%"><FONT color=#292526>601 Congress
      Street</FONT>&nbsp; </TD>
    <TD noWrap align=left width="33%"></TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="32%"><FONT color=#292526>Dr. John A.
      Moore*</FONT>&nbsp; </TD>
    <TD noWrap align=left width="34%"><FONT color=#292526>Boston, MA
      02210-2805</FONT>&nbsp; </TD>
    <TD noWrap align=left width="33%"><STRONG><FONT face=Arial>Legal
      counsel</FONT></STRONG>&nbsp;&nbsp;&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="32%"><FONT color=#292526>Patti McGill
      Peterson*</FONT>&nbsp; </TD>
    <TD noWrap align=left width="34%"></TD>
    <TD noWrap align=left width="33%"><FONT color=#292526>Wilmer Cutler
      Pickering</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="32%"><FONT color=#292526>Steven R.
      Pruchansky</FONT>&nbsp; </TD>
    <TD noWrap align=left width="34%"><STRONG><FONT face=Arial>Subadviser</FONT></STRONG>&nbsp; </TD>
    <TD noWrap align=left width="33%"><FONT color=#292526>Hale and Dorr
      LLP</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="32%"></TD>
    <TD noWrap align=left width="34%"><FONT color=#292526>Sovereign
      Asset</FONT>&nbsp; </TD>
    <TD noWrap align=left width="33%"><FONT color=#292526>60 State
      Street</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="32%"><FONT color=#292526>*<FONT face=sans-serif>Members of the
      Audit Committee</FONT></FONT>&nbsp;&nbsp;&nbsp; </TD>
    <TD noWrap align=left width="34%"><FONT color=#292526>Management
      LLC</FONT>&nbsp; </TD>
    <TD noWrap align=left width="33%"><FONT color=#292526>Boston, MA
      02109-1803</FONT>&nbsp;&nbsp;&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="32%"><FONT color=#292526>&#134;<FONT face=sans-serif>Non-Independent
      Trustee</FONT></FONT>&nbsp; </TD>
    <TD noWrap align=left width="34%"><FONT color=#292526>101 Huntington
      Avenue</FONT>&nbsp;&nbsp;&nbsp; </TD>
    <TD noWrap align=left width="33%"></TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="32%">&nbsp; </TD>
    <TD noWrap align=left width="34%"><FONT color=#292526>Boston, MA
      02199</FONT>&nbsp; </TD>
    <TD noWrap align=left width="33%"><STRONG><FONT face=Arial>Stock
      symbol</FONT></STRONG>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="32%"></TD>
    <TD noWrap align=left width="34%"></TD>
    <TD noWrap align=left width="33%"><FONT color=#292526>Listed New York
      Stock</FONT>&nbsp;&nbsp;&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="32%"><STRONG><FONT face=Arial>Officers</FONT></STRONG>&nbsp; </TD>
    <TD noWrap align=left width="34%"><STRONG><FONT face=Arial>Custodian</FONT></STRONG>&nbsp; </TD>
    <TD noWrap align=left width="33%"><FONT color=#292526>Exchange:</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="32%"><FONT color=#292526>Keith F.
      Hartstein</FONT>&nbsp;&nbsp;&nbsp; </TD>
    <TD noWrap align=left width="34%"><FONT color=#292526>The Bank of New
      York</FONT>&nbsp;&nbsp;&nbsp; </TD>
    <TD noWrap align=left width="33%"><FONT color=#292526>JHI</FONT>&nbsp;
  </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="32%"><EM><FONT color=#292526>President
      and</FONT></EM>&nbsp; </TD>
    <TD noWrap align=left width="34%"><FONT color=#292526>One Wall
      Street</FONT>&nbsp; </TD>
    <TD noWrap align=left width="33%"></TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="32%"><EM><FONT color=#292526>Chief Executive
      Officer</FONT></EM>&nbsp; </TD>
    <TD noWrap align=left width="34%"><FONT color=#292526>New York, NY
      10286</FONT>&nbsp; </TD>
    <TD noWrap align=left width="33%"><STRONG><FONT face=Arial>For shareholder
      assistance</FONT></STRONG>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="32%"></TD>
    <TD noWrap align=left width="34%"></TD>
    <TD noWrap align=left width="33%"><STRONG><FONT face=Arial>refer to page
      32</FONT></STRONG>&nbsp;&nbsp;&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="32%"><FONT color=#292526>William H.
      King</FONT>&nbsp; </TD>
    <TD noWrap align=left width="34%"><STRONG><FONT face=Arial>Transfer agent
      for</FONT></STRONG>&nbsp; </TD>
    <TD noWrap align=left width="33%"></TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="32%"><EM><FONT color=#292526>Vice President
      and Treasurer</FONT></EM>&nbsp; </TD>
    <TD noWrap align=left width="34%"><STRONG><FONT face=Arial>common
      shareholders</FONT></STRONG>&nbsp;&nbsp;&nbsp; </TD>
    <TD noWrap align=left width="33%"></TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="32%"></TD>
    <TD noWrap align=left width="34%"><FONT color=#292526>Mellon Investor
      Services</FONT>&nbsp; </TD>
    <TD noWrap align=left width="33%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="32%"><FONT color=#292526>Francis V. Knox,
      Jr.</FONT>&nbsp;&nbsp;&nbsp; </TD>
    <TD noWrap align=left width="34%"><FONT color=#292526>Newport Office Center
      VII</FONT>&nbsp; </TD>
    <TD noWrap align=left width="33%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="32%"><EM><FONT color=#292526>Vice President
      and</FONT></EM>&nbsp; </TD>
    <TD noWrap align=left width="34%"><FONT color=#292526>480 Washington
      Boulevard</FONT>&nbsp; </TD>
    <TD noWrap align=left width="33%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="32%"><EM><FONT color=#292526>Chief Compliance
      Officer</FONT></EM>&nbsp; </TD>
    <TD noWrap align=left width="34%"><FONT color=#292526>Jersey City, NJ
      07310</FONT>&nbsp; </TD>
    <TD noWrap align=left width="33%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="32%"></TD>
    <TD noWrap align=left width="34%"></TD>
    <TD noWrap align=left width="33%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="32%">&nbsp; </TD>
    <TD noWrap align=left width="34%"></TD>
    <TD noWrap align=left width="33%">&nbsp; </TD></TR></TABLE><BR><IMG src="investorstrustx39x1.jpg" border=0> <BR>
<P align=left><FONT face=sans-serif color=#292526>A listing of month-end
portfolio holdings is available on our Web site, www.jhfunds.com. A more
detailed portfolio holdings summary is available on a quarterly basis 60 days
after the fiscal quarter on our Web site or upon request by calling
1-800-225-5291, or on the Securities and Exchange Commission&#146;s Web site,
www.sec.gov.</FONT></P>
<P align=left><B><FONT face=sans-serif color=#292526>37</FONT></B></P>
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<P align=left>
<TABLE>

  <TR>
    <TD noWrap><FONT face=sans-serif color=#292526>1-800-852-0218</FONT><BR><FONT face=sans-serif color=#292526>1-800-843-0090 EASI-Line</FONT><BR><FONT face=sans-serif color=#292526>1-800-231-5469 (TDD)</FONT><BR></TD></TR></TABLE></P>
<P align=left>
<TABLE>

  <TR>
    <TD noWrap><FONT face=sans-serif color=#292526>www.</FONT><FONT face=sans-serif color=#292526>jhfunds.</FONT><FONT face=sans-serif color=#292526>com</FONT></FONT><FONT face=sans-serif color=#292526></FONT><BR></TD></TR></TABLE></P>
<P align=left>
<TABLE>

  <TR>
    <TD noWrap><FONT face=sans-serif color=#292526>PRESORTED</FONT><BR><FONT face=sans-serif color=#292526>STANDARD</FONT><BR><FONT face=sans-serif color=#292526>U. S. </FONT><FONT face=sans-serif color=#292526>POSTAGE</FONT><BR><FONT face=sans-serif color=#292526>PAID</FONT><BR><FONT face=sans-serif color=#292526>MIS</FONT><BR></TD></TR></TABLE></P>
<P align=left>
<TABLE>

  <TR>
    <TD noWrap><FONT face=sans-serif color=#292526>P50SA 6/06</FONT><BR><FONT face=sans-serif color=#292526>8/06</FONT><BR></TD></TR></TABLE></P>
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<P align=left><FONT face=sans-serif size=2>ITEM 2. CODE OF
ETHICS.</FONT><BR></P>
<P align=left><FONT face=sans-serif size=2>As of the end of the period, June 30,
2006, the registrant has adopted a code of ethics, as defined in Item 2 of Form
N-CSR, that applies to its Chief Executive Officer, Chief Financial Officer and
Treasurer (respectively, the principal executive officer, the principal
financial officer and the principal accounting officer, the &#147;Senior Financial
Officers&#148;). A copy of the code of ethics is filed as an exhibit to this Form
N-CSR.</FONT></P>
<P align=left><FONT face=sans-serif size=2>ITEM 3. AUDIT COMMITTEE FINANCIAL
EXPERT. </FONT></P>
<P align=left><FONT face=sans-serif size=2>Not applicable at this
time.</FONT><BR></P>
<P align=left><FONT face=sans-serif size=2>ITEM 4. PRINCIPAL ACCOUNTANT FEES AND
SERVICES.</FONT></P>
<P align=left><FONT face=sans-serif size=2>Not applicable at this
time.</FONT><BR></P>
<P align=left><FONT face=sans-serif size=2>ITEM 5. AUDIT COMMITTEE OF LISTED
REGISTRANTS.</FONT></P>
<P align=left><FONT face=sans-serif size=2>Not applicable at this time.
</FONT><BR><FONT face=sans-serif size=2><BR>ITEM 6. SCHEDULE OF
INVESTMENTS.</FONT><BR></P>
<P align=left><FONT face=sans-serif size=2>Not applicable.</FONT><BR></P>
<P align=left><FONT face=sans-serif size=2>ITEM 7. DISCLOSURE OF PROXY VOTING
POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
</FONT></P>
<P align=left><FONT face=sans-serif size=2>Not applicable.</FONT><BR></P>
<P align=left><FONT face=sans-serif size=2>ITEM 8. PORTFOLIO MANAGERS OF
CLOSED-END MANAGEMENT INVESTMENT COMPANIES. </FONT></P>
<P align=left><FONT face=sans-serif size=2>Not applicable.</FONT><BR></P>
<P align=left><FONT face=sans-serif size=2>ITEM 9. PURCHASES OF EQUITY
SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED
PURCHASERS. </FONT></P>
<P align=left><FONT face=sans-serif size=2>Not applicable.</FONT><BR></P>
<P align=left><FONT face=sans-serif size=2>ITEM 10. SUBMISSION OF MATTERS TO A
VOTE OF SECURITY HOLDERS. </FONT></P>
<P align=left><FONT face=sans-serif size=2>The registrant has adopted procedures
by which shareholders may recommend nominees to the registrant's Board of
Trustees. A copy of the procedures is filed as an exhibit to this Form N-CSR.
See attached &#147;John Hancock Funds &#150; Governance Committee Charter&#148;. </FONT></P>
<P align=left><FONT face=sans-serif size=2>ITEM 11. CONTROLS AND
PROCEDURES.</FONT><BR></P>
<P align=left><FONT face=sans-serif size=2>(a) Based upon their evaluation of
the registrant's disclosure controls and procedures as conducted within 90 days
of the filing date of this Form N-CSR, the registrant's principal
executive</FONT></P>
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<P align="left">
<FONT size=2 face="sans-serif">officer and principal financial officer have concluded that those disclosure controls and procedures provide reasonable assurance that the material information required to be disclosed by the registrant on this report
is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission's rules and forms. </FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">(b) There were no changes in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal half-year (the registrant's second fiscal half-year in the case of an
annual report) that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting. </FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">ITEM 12. EXHIBITS.</FONT><BR>
</P>
<P align="left">
<FONT size=2 face="sans-serif">(a)(1) Code of Ethics for Senior Financial Officers is attached. </FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">(a)(2) Separate certifications for the registrant's principal executive officer and principal financial officer, as required by Section 302 of the Sarbanes-Oxley Act of 2002 and Rule 30a-2(a) under the Investment
Company Act of 1940, are attached. </FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">(b) Separate certifications for the registrant's principal executive officer and principal financial officer, as required by 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002,
and Rule 30a-2(b) under the Investment Company Act of 1940, are attached. The certifications furnished pursuant to this paragraph are not deemed to be "filed" for purposes of Section 18 of the Securities Exchange Act of 1934, or otherwise subject to
the liability of that section. Such certifications are not deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Securities Exchange Act of 1934, except to the extent that the Registrant specifically
incorporates them by reference. </FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">(c)(1) Submission of Matters to a Vote of Security Holders is attached. See attached &#147;John Hancock Funds &#150; Governance Committee Charter&#148;. </FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">(c)(2) Contact person at the registrant.</FONT><BR>
</P>

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<P align=left><FONT face=sans-serif size=2>SIGNATURES</FONT><BR></P>
<P align=left><FONT face=sans-serif size=2>Pursuant to the requirements of the
Securities Exchange Act of 1934 and the Investment Company Act of 1940, the
registrant has duly caused this report to be signed on its behalf by the
undersigned, thereunto duly authorized. </FONT></P>
<P align=left><FONT face=sans-serif size=2>John Hancock Investors
Trust</FONT><BR></P>
<P align=left><FONT face=sans-serif size=2>By: /s/ Keith F. Hartstein
</FONT><BR><FONT face=sans-serif size=2>-------------------------------------
</FONT><BR><FONT face=sans-serif size=2>Keith F. Hartstein </FONT><BR><FONT
face=sans-serif size=2>President and Chief Executive Officer</FONT><BR><FONT
face=sans-serif size=2><BR>Date: August 29, 2006 </FONT><BR></P>
<P align=left><FONT face=sans-serif size=2>Pursuant to the requirements of the
Securities Exchange Act of 1934 and the Investment Company Act of 1940, this
report has been signed below by the following persons on behalf of the
registrant and in the capacities and on the dates indicated. </FONT></P>
<P align=left><FONT face=sans-serif size=2>By: /s/ Keith F. Hartstein
</FONT><BR><FONT face=sans-serif size=2>-------------------------------------
</FONT><BR><FONT face=sans-serif size=2>Keith F. Hartstein </FONT><BR><FONT
face=sans-serif size=2>President and Chief Executive Officer</FONT><BR><FONT
face=sans-serif size=2><BR>Date: August 29, 2006 </FONT><BR></P>
<P align=left><FONT face=sans-serif size=2>By: /s/ John G. Vrysen
<BR>-------------------------------------<BR>John G. Vrysen <BR></FONT><FONT
face=sans-serif size=2>Executive Vice President and Chief Financial
Officer</FONT></P>
<P align=left><FONT face=sans-serif size=2>Date: August 29, 2006</FONT><BR></P>
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<DESCRIPTION>CERTIFICATION
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<B><U><FONT size=2 face="sans-serif">CERTIFICATION</FONT></U></B><BR>
<FONT size=2 face="sans-serif">I, Keith F. Hartstein, certify that:</FONT><BR>
</P>
<P align="left">
<FONT size=2 face="sans-serif">1. I have reviewed this report on Form N-CSR of the John Hancock Investors Trust (the &#147;registrant&#148;);</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">2. Based on my knowledge, this report does not contain any untrue statement 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 this report;</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net
assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal
control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including
its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of
financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; </FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">(c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within
90 days prior to the filing date of this report based on such evaluation; and</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">(d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal half-year (the registrant's second fiscal half-year in the
case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">5. The registrant's other certifying officer and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record,
process, summarize, and report financial information; and</FONT></P>

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<P align=left><FONT face=sans-serif size=2>(b) Any fraud, whether or not
material, that involves management or other employees who have a significant
role in the registrant's internal control over financial reporting.</FONT></P>
<P align=left><FONT face=sans-serif size=2>By: /s/ Keith F. Hartstein
</FONT><BR><FONT face=sans-serif size=2>-------------------------------------
</FONT><BR><FONT face=sans-serif size=2>Keith F. Hartstein </FONT><BR><FONT
face=sans-serif size=2>President and Chief Executive Officer</FONT><BR><FONT
face=sans-serif size=2><BR>Date: August 29, 2006 </FONT><BR></P>
<P align=left><B><U><FONT face=sans-serif
size=2>CERTIFICATION</FONT></U></B><BR><FONT face=sans-serif size=2>I, John G.
Vrysen, certify that:</FONT><BR></P>
<P align=left><FONT face=sans-serif size=2>1. I have reviewed this report on
Form N-CSR of the John Hancock Investors Trust (the &#147;registrant&#148;);</FONT></P>
<P align=left><FONT face=sans-serif size=2>2. Based on my knowledge, this report
does not contain any untrue statement 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 this report;</FONT></P>
<P align=left><FONT face=sans-serif size=2>3. Based on my knowledge, the
financial statements, and other financial information included in this report,
fairly present in all material respects the financial condition, results of
operations, changes in net assets, and cash flows (if the financial statements
are required to include a statement of cash flows) of the registrant as of, and
for, the periods presented in this report;</FONT></P>
<P align=left><FONT face=sans-serif size=2>4. The registrant's other certifying
officer and I are responsible for establishing and maintaining disclosure
controls and procedures (as defined in Rule 30a-3(c) under the Investment
Company Act of 1940) and internal control over financial reporting (as defined
in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant
and have:</FONT></P>
<P align=left><FONT face=sans-serif size=2>(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 this
report is being prepared;</FONT></P>
<P align=left><FONT face=sans-serif size=2>(b) Designed such internal control
over financial reporting, or caused such internal control over financial
reporting to be designed under our supervision, to provide reasonable assurance
regarding the reliability of financial reporting and the preparation of
financial statements for external purposes in accordance with generally accepted
accounting principles; </FONT></P>
<P align=left><FONT face=sans-serif size=2>(c) Evaluated the effectiveness of
the registrant's disclosure controls and procedures and presented in this report
our conclusions about the effectiveness of the disclosure controls and
procedures, as of a date within 90 days prior to the filing date of this report
based on such evaluation; and</FONT></P>
<P align=left><FONT face=sans-serif size=2>(d) Disclosed in this report any
change in the registrant's internal control over financial reporting that
occurred during the registrant's most recent fiscal half-year (the registrant's
second fiscal half-year in the case of an annual report) that has materially
affected, or is </FONT></P>
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<P align=left><FONT face=sans-serif size=2>reasonably likely to materially
affect, the registrant's internal control over financial reporting;
and</FONT></P>
<P align=left><FONT face=sans-serif size=2>5. The registrant's other certifying
officer and I have disclosed to the registrant's auditors and the audit
committee of the registrant's board of directors (or persons performing the
equivalent functions):</FONT></P>
<P align=left><FONT face=sans-serif size=2>(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 the
registrant's ability to record, process, summarize, and report financial
information; and</FONT></P>
<P align=left><FONT face=sans-serif size=2>(b) Any fraud, whether or not
material, that involves management or other employees who have a significant
role in the registrant's internal control over financial reporting.</FONT></P>
<P align=left><FONT face=sans-serif size=2>By: /s/ John G. Vrysen
<BR>-------------------------------------<BR>John G. Vrysen <BR></FONT><FONT
face=sans-serif size=2>Executive Vice President and Chief Financial
Officer</FONT></P>
<P align=left><FONT face=sans-serif size=2>Date: August 29, 2006</FONT><BR></P>
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<DESCRIPTION>CERTIFICATION 906
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<P align=left><B><FONT face=sans-serif size=2>Certification Pursuant to 18
U.S.C. Section 1350, as Adopted Pursuant to Section 906 of
</FONT></B><BR><B><FONT face=sans-serif size=2>the Sarbanes-Oxley Act of 2002
</FONT></B><BR></P>
<P align=left><FONT face=sans-serif size=2>In connection with the attached
Report of John Hancock Investors Trust (the &#147;registrant&#148;) on Form N-CSR to be
filed with the Securities and Exchange Commission (the "Report"), each of the
undersigned officers of the registrant does hereby certify that, to the best of
such officer's knowledge:</FONT></P>
<P align=left><FONT face=sans-serif size=2>1. The Report fully complies with the
requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934;
and</FONT></P>
<P align=left><FONT face=sans-serif size=2>2. The information contained in the
Report fairly presents, in all material respects, the financial condition and
results of operations of the registrant as of, and for, the periods presented in
the Report.</FONT></P>
<P align=left><FONT face=sans-serif size=2>/s/ Keith F. Hartstein
</FONT><BR><FONT face=sans-serif size=2>-------------------------------------
</FONT><BR><FONT face=sans-serif size=2>Keith F. Hartstein </FONT><BR><FONT
face=sans-serif size=2>President and Chief Executive Officer </FONT><BR><FONT
face=sans-serif size=2><BR>Dated: August 29, 2006 </FONT><BR></P>
<P align=left><FONT face=sans-serif size=2>/s/ John G. Vrysen </FONT><BR><FONT
face=sans-serif size=2>------------------------------------- </FONT><BR><FONT
face=sans-serif size=2>John G. Vrysen </FONT><BR><FONT face=sans-serif
size=2>Executive Vice President and Chief Financial Officer </FONT><BR><FONT
face=sans-serif size=2><BR>Dated: August 29, 2006 </FONT><BR></P>
<P align=left><FONT face=sans-serif size=2>A signed original of this written
statement, required by Section 906, has been provided to the registrant and will
be retained by the registrant and furnished to the Securities and Exchange
Commission or its staff upon request.</FONT></P>
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<DOCUMENT>
<TYPE>EX-99.CODE ETH
<SEQUENCE>4
<FILENAME>d_codeofethics.htm
<DESCRIPTION>CODE OF ETHICS
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<P align=left><B><FONT face=sans-serif size=2>JOHN HANCOCK FUNDS</FONT></B></P>
<P align=left><B><FONT face=sans-serif size=2>CODE OF ETHICS</FONT></B></P>
<P align=left><B><FONT face=sans-serif size=2>July 1, 2006</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>This is the code of ethics
of:</FONT></P>
<P align=left>
<TABLE>

  <TR>
    <TD noWrap><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149; </FONT>John Hancock Advisers, LLC</FONT><BR><BR><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149;
      </FONT>Sovereign Asset Management LLC</FONT><BR><BR><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149; </FONT>each open-end and
      closed-end fund advised by John Hancock Advisers, LLC</FONT><BR><BR><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149; </FONT>John
      Hancock Funds, LLC </FONT><BR></TD></TR></TABLE></P>
<P align=left><FONT face=sans-serif size=2>(together, called "John Hancock
Funds" or "JHF")</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>1. General
Principles</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>Each person within the John Hancock
Funds organization is responsible for maintaining the very highest ethical
standards when conducting our business.</FONT></P>
<P align=left><FONT face=sans-serif size=2>This means that:</FONT></P>
<P align=left><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149;
</FONT>You have a fiduciary duty at all times to place the interests of our
clients and fund investors first.</FONT></P>
<P align=left><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149;
</FONT>All of your personal securities transactions must be conducted consistent
with the provisions of this code of ethics that apply to you and in such a
manner as to avoid any actual or potential conflict of interest or other abuse
of your position of trust and responsibility.</FONT></P>
<P align=left><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149;
</FONT>You should not take inappropriate advantage of your position or engage in
any fraudulent or manipulative practice (such as front-running or manipulative
market timing) with respect to our clients' accounts or fund
investors.</FONT></P>
<P align=left><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149;
</FONT>You must treat as confidential any information concerning the identity of
security holdings and financial circumstances of clients or fund
investors.</FONT></P>
<P align=left><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149;
</FONT>You must comply with all applicable federal securities laws.</FONT></P>
<P align=left><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149;
</FONT>You must promptly report any violation of this code of ethics that comes
to your attention to the Chief Compliance Officer of your company -see Appendix
F.</FONT></P>
<P align=left><FONT face=sans-serif size=2>The General Principles discussed
above govern all conduct, whether or not</FONT></P>
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<P align=left><FONT face=sans-serif size=2>The General Principles discussed
above govern all conduct, whether or not the conduct is also covered by more
specific standards and procedures in this code of ethics. As described below
under the heading "Interpretation and Enforcement", failure to comply with the
code of ethics may result in disciplinary action, including termination of
employment.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>2. To Whom Does This Code
Apply?</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>This code of ethics applies to you if
you are a director, officer or employee of John Hancock Advisers, LLC, Sovereign
Asset Management LLC, John Hancock Funds, LLC or a John Hancock open-end or
closed-end fund registered under the Investment Company Act of 1940 (the "'40
Act") and advised by John Hancock Advisers, LLC ("John Hancock funds"). It also
applies to you if you are trustee of the John Hancock Financial Trends Fund,
Inc. or an employee of Manulife Financial Corporation or its subsidiaries who
participates in making recommendations for, or receives information about,
portfolio trades or holdings of the John Hancock funds or accounts. However,
notwithstanding anything herein to the contrary, it does not apply to any
trustees/directors of any open-end or closed-end funds advised by John Hancock
Advisers, LLC who are not "interested persons" of such funds as defined in
Section 2(a)(19) of the '40 Act, so long as they are subject to a separate Code
of Ethics (each, an "Excluded Independent Director"). Also, in some cases only a
limited number of provisions will apply to you, based on your access category.
For example, only a limited number of provisions apply to directors of the John
Hancock open-end funds and closed-end funds who are not Excluded Independent
Directors-- see Appendix C for more information.</FONT></P>
<P align=left><FONT face=sans-serif size=2>Please note that if a policy
described below applies to you, it also applies to all accounts over which you
have a beneficial interest. </FONT><FONT face=sans-serif size=2>Normally, you
will be deemed to have a beneficial interest in your personal accounts, those of
a spouse, "significant other," minor children or family members sharing a
household, as well as all accounts over which you have discretion or give advice
or information. "Significant others" are defined for these purposes as two
people who (1) share the same primary residence; (2) share living expenses; and
(3) are in a committed relationship and intend to remain in the relationship
indefinitely.</FONT></P>
<P align=left><FONT face=sans-serif size=2>There are three main categories for
persons covered by this code of ethics, taking into account their positions,
duties and access to information regarding fund portfolio trades. You have been
notified about which of these categories applies to you, based on the JHF
Investment Compliance Department's understanding of your current role. If you
have a level of investment access beyond your assigned category, or if you are
promoted or change duties and as a result should more appropriately be included
in a different category, it is your responsibility to notify the Chief
Compliance Officer of your company.</FONT></P>
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<P align=left><FONT face=sans-serif size=2>The basic definitions of the three
main categories, with examples, are provided below. The more detailed
definitions of each category are attached as Appendix A.</FONT></P>
<TABLE cellSpacing=1 cellPadding=0 width="80%" border=0>

  <TR vAlign=bottom>
    <TD noWrap align=left width="28%" colSpan=3><B><FONT face=sans-serif size=2>&#147;Investment Access&#148;
      person</FONT></B>&nbsp; </TD>
    <TD width="4%">&nbsp; </TD>
    <TD noWrap align=left width="35%" colSpan=3><B><FONT face=sans-serif size=2>&#147;Regular Access&#148;
      person</FONT></B>&nbsp; </TD>
    <TD width="3%">&nbsp; </TD>
    <TD noWrap align=left width="29%" colSpan=3><B><FONT face=sans-serif size=2>&#147;Non-Access&#148;
      person</FONT></B>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="1%">&nbsp; </TD>
    <TD width="2%">&nbsp;</TD>
    <TD noWrap align=left width="25%">&nbsp; </TD>
    <TD width="4%">&nbsp; </TD>
    <TD noWrap align=left width="35%" colSpan=3><FONT face=sans-serif size=2>A person who regularly has access</FONT>&nbsp; </TD>
    <TD width="3%">&nbsp; </TD>
    <TD noWrap align=left width="4%">&nbsp; </TD>
    <TD width="1%">&nbsp;</TD>
    <TD noWrap align=left width="24%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="1%">&nbsp; </TD>
    <TD width="2%">&nbsp;</TD>
    <TD noWrap align=left width="25%">&nbsp; </TD>
    <TD width="4%">&nbsp; </TD>
    <TD noWrap align=left width="35%" colSpan=3><FONT face=sans-serif size=2>to (1) fund portfolio trades or (2)</FONT>&nbsp; </TD>
    <TD width="3%">&nbsp; </TD>
    <TD noWrap align=left width="29%" colSpan=3><FONT face=sans-serif size=2>A person who does not regularly</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="28%" colSpan=3><FONT face=sans-serif size=2>A person who regularly participates</FONT>&nbsp; </TD>
    <TD width="4%">&nbsp; </TD>
    <TD noWrap align=left width="35%" colSpan=3><FONT face=sans-serif size=2>non-public information regarding</FONT>&nbsp; </TD>
    <TD width="3%">&nbsp; </TD>
    <TD noWrap align=left width="29%" colSpan=3><FONT face=sans-serif size=2>participate in a fund&#146;s investment</FONT>&nbsp;
  </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="28%" colSpan=3><FONT face=sans-serif size=2>in a fund&#146;s investment process or</FONT>&nbsp; </TD>
    <TD width="4%">&nbsp; </TD>
    <TD align=left width="35%" colSpan=3><FONT face=Arial size=2>holdings or
      securities</FONT>&nbsp;&nbsp;&nbsp; </TD>
    <TD width="3%">&nbsp; </TD>
    <TD noWrap align=left width="29%" colSpan=3><FONT face=sans-serif size=2>process or obtain information</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="28%" colSpan=3><FONT face=sans-serif size=2>makes securities recommendations</FONT>&nbsp; </TD>
    <TD width="4%">&nbsp; </TD>
    <TD noWrap align=left width="35%" colSpan=3><FONT face=sans-serif size=2>recommendations to clients.</FONT>&nbsp; </TD>
    <TD width="3%">&nbsp; </TD>
    <TD noWrap align=left width="29%" colSpan=3><FONT face=sans-serif size=2>regarding fund portfolio trades</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD align=left width="28%" colSpan=3><FONT face=sans-serif size=2>to clients.</FONT>&nbsp; </TD>
    <TD width="4%">&nbsp; </TD>
    <TD align=left width="35%" colSpan=3></TD>
    <TD width="3%">&nbsp; </TD>
    <TD align=left width="29%" colSpan=3></TD></TR>
  <TR>
    <TD width="1%">&nbsp; </TD>
    <TD width="2%"></TD>
    <TD width="25%" background="">&nbsp;</TD>
    <TD width="4%"></TD>
    <TD width="3%" background="">&nbsp;</TD>
    <TD width="2%"></TD>
    <TD width="30%" background=""><EM><U><FONT face=Arial size=2>examples:</FONT></U></EM>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</TD>
    <TD width="3%"></TD>
    <TD width="4%" background="">&nbsp;</TD>
    <TD width="1%"></TD>
    <TD width="24%" background=""><EM><U><FONT face=Arial size=2>examples:</FONT></U></EM>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</TD></TR>
  <TR>
    <TD noWrap align=left width="1%" background=""></TD>
    <TD width="2%" background=""></TD>
    <TD noWrap align=left width="25%" background=""><EM><U><FONT face=Arial size=2>examples:</FONT></U></EM>&nbsp; </TD>
    <TD width="4%" background=""></TD>
    <TD noWrap align=right width="3%" background=""></TD>
    <TD width="2%" background=""></TD>
    <TD noWrap align=left width="30%" background=""></TD>
    <TD width="3%" background=""></TD>
    <TD noWrap align=right width="4%" background=""></TD>
    <TD width="1%" background=""></TD>
    <TD noWrap align=left width="24%" background=""></TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="1%">&nbsp; </TD>
    <TD width="2%">&nbsp;</TD>
    <TD noWrap align=left width="25%">&nbsp; </TD>
    <TD width="4%">&nbsp; </TD>
    <TD noWrap align=right width="3%"><FONT face=serif>&#149;</FONT></TD>
    <TD width="2%">&nbsp;</TD>
    <TD noWrap align=left width="30%"><I><FONT face=sans-serif size=2>personnel in
      Investment</FONT></I>&nbsp; </TD>
    <TD width="3%">&nbsp; </TD>
    <TD noWrap align=right width="4%"><FONT face=serif>&#149;</FONT></TD>
    <TD width="1%">&nbsp;</TD>
    <TD noWrap align=left width="24%"><I><FONT face=sans-serif size=2>wholesalers</FONT></I>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="1%">&nbsp; &#149;</TD>
    <TD width="2%">&nbsp;</TD>
    <TD noWrap align=left width="25%"><EM><FONT face=Arial size=2>portfolio
      managers</FONT></EM>&nbsp; </TD>
    <TD width="4%">&nbsp; </TD>
    <TD noWrap align=right width="3%">&nbsp; </TD>
    <TD width="2%">&nbsp;</TD>
    <TD noWrap align=left width="30%"><I><FONT face=sans-serif size=2>Operations or
      Compliance</FONT></I>&nbsp; </TD>
    <TD width="3%">&nbsp; </TD>
    <TD noWrap align=right width="4%"></TD>
    <TD width="1%">&nbsp;</TD>
    <TD noWrap align=left width="24%"></TD></TR>
  <TR>
    <TD noWrap align=right width="1%" background=""></TD>
    <TD width="2%" background=""></TD>
    <TD noWrap align=left width="25%" background=""></TD>
    <TD width="4%" background=""></TD>
    <TD noWrap align=right width="3%" background=""></TD>
    <TD width="2%" background=""></TD>
    <TD noWrap align=left width="30%" background=""></TD>
    <TD width="3%" background=""></TD>
    <TD noWrap align=right width="4%" background="">&#149;</TD>
    <TD width="1%" background=""></TD>
    <TD noWrap align=left width="24%" background=""><EM><FONT face=Arial size=2>inside wholesalers who</FONT></EM>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=right width="1%"><FONT face=serif>&#149;</FONT></TD>
    <TD width="2%">&nbsp;</TD>
    <TD noWrap align=left width="25%"><EM><FONT face=Arial size=2>analysts</FONT></EM>&nbsp; </TD>
    <TD width="4%">&nbsp; </TD>
    <TD noWrap align=right width="3%"><FONT face=serif>&#149;</FONT></TD>
    <TD width="2%">&nbsp;</TD>
    <TD noWrap align=left width="30%"><I><FONT face=sans-serif size=2>most FFM
      personnel</FONT></I>&nbsp; </TD>
    <TD width="3%">&nbsp; </TD>
    <TD noWrap align=right width="4%"></TD>
    <TD width="1%">&nbsp;</TD>
    <TD noWrap align=left width="24%"><I><FONT face=sans-serif size=2>don&#146;t attend
      investment</FONT></I>&nbsp; </TD></TR>
  <TR>
    <TD noWrap align=right width="1%" background=""></TD>
    <TD width="2%" background=""></TD>
    <TD noWrap align=left width="25%" background=""></TD>
    <TD width="4%" background=""></TD>
    <TD noWrap align=right width="3%" background=""></TD>
    <TD width="2%" background=""></TD>
    <TD noWrap align=left width="30%" background=""></TD>
    <TD width="3%" background=""></TD>
    <TD noWrap align=right width="4%" background=""></TD>
    <TD width="1%" background=""></TD>
    <TD noWrap align=left width="24%" background=""><EM><FONT face=Arial size=2>&#147;morning meetings&#148;</FONT></EM>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=right width="1%"><FONT face=serif>&#149;</FONT></TD>
    <TD width="2%">&nbsp;</TD>
    <TD noWrap align=left width="25%"><EM><FONT face=Arial size=2>traders</FONT></EM>&nbsp; </TD>
    <TD width="4%">&nbsp; </TD>
    <TD noWrap align=right width="3%"><FONT face=serif>&#149;</FONT></TD>
    <TD width="2%">&nbsp;</TD>
    <TD noWrap align=left width="30%"><I><FONT face=sans-serif size=2>Technology personnel
      with</FONT></I>&nbsp; </TD>
    <TD width="3%">&nbsp; </TD>
    <TD noWrap align=right width="4%">&nbsp; </TD>
    <TD width="1%">&nbsp;</TD>
    <TD noWrap align=left width="24%"></TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=right width="1%">&nbsp; </TD>
    <TD width="2%">&nbsp;</TD>
    <TD noWrap align=left width="25%">&nbsp; </TD>
    <TD width="4%">&nbsp; </TD>
    <TD noWrap align=right width="3%">&nbsp; </TD>
    <TD width="2%">&nbsp;</TD>
    <TD noWrap align=left width="30%"><I><FONT face=sans-serif size=2>access to
      investment</FONT></I>&nbsp; </TD>
    <TD width="3%">&nbsp; </TD>
    <TD noWrap align=right width="4%"><FONT face=serif>&#149;</FONT></TD>
    <TD width="1%">&nbsp;</TD>
    <TD noWrap align=left width="24%"><I><FONT face=sans-serif size=2>certain
      administrative</FONT></I>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=right width="1%"></TD>
    <TD width="2%">&nbsp;</TD>
    <TD noWrap align=left width="25%"></TD>
    <TD width="4%">&nbsp; </TD>
    <TD noWrap align=right width="3%">&nbsp; </TD>
    <TD width="2%">&nbsp;</TD>
    <TD noWrap align=left width="30%"><I><FONT face=sans-serif size=2>systems</FONT></I>&nbsp;
    </TD>
    <TD width="3%">&nbsp; </TD>
    <TD noWrap align=right width="4%">&nbsp; </TD>
    <TD width="1%">&nbsp;</TD>
    <TD noWrap align=left width="24%"><I><FONT face=sans-serif size=2>personnel</FONT></I>&nbsp; </TD></TR>
  <TR>
    <TD noWrap align=left width="1%" background=""></TD>
    <TD width="2%" background=""></TD>
    <TD noWrap align=left width="25%" background=""></TD>
    <TD width="4%" background=""></TD>
    <TD noWrap align=right width="3%" background=""></TD>
    <TD width="2%" background=""></TD>
    <TD noWrap align=left width="30%" background="">&nbsp;&nbsp; </TD>
    <TD width="3%" background=""></TD>
    <TD noWrap align=right width="4%" background=""></TD>
    <TD width="1%" background=""></TD>
    <TD noWrap align=left width="24%" background=""></TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="1%">&nbsp; </TD>
    <TD width="2%">&nbsp;</TD>
    <TD noWrap align=left width="25%">&nbsp; </TD>
    <TD width="4%">&nbsp; </TD>
    <TD noWrap align=right width="3%"><FONT face=serif>&#149;</FONT></TD>
    <TD width="2%">&nbsp;</TD>
    <TD noWrap align=left width="30%"><I><FONT face=sans-serif size=2>attorneys and some
      legal</FONT></I>&nbsp; </TD>
    <TD width="3%">&nbsp; </TD>
    <TD noWrap align=right width="4%">&nbsp; </TD>
    <TD width="1%">&nbsp;</TD>
    <TD noWrap align=left width="24%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="1%">&nbsp; </TD>
    <TD width="2%">&nbsp;</TD>
    <TD noWrap align=left width="25%">&nbsp; </TD>
    <TD width="4%">&nbsp; </TD>
    <TD noWrap align=right width="3%">&nbsp; </TD>
    <TD width="2%">&nbsp;</TD>
    <TD noWrap align=left width="30%"><I><FONT face=sans-serif size=2>administration
      personnel</FONT></I>&nbsp; </TD>
    <TD width="3%">&nbsp; </TD>
    <TD noWrap align=right width="4%">&nbsp; </TD>
    <TD width="1%">&nbsp;</TD>
    <TD noWrap align=left width="24%">&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=11>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="1%">&nbsp; </TD>
    <TD width="2%">&nbsp;</TD>
    <TD noWrap align=left width="25%">&nbsp; </TD>
    <TD width="4%">&nbsp; </TD>
    <TD noWrap align=right width="3%"><FONT face=serif>&#149;</FONT></TD>
    <TD width="2%">&nbsp;</TD>
    <TD noWrap align=left width="30%"><I><FONT face=sans-serif size=2>investment
      admin.</FONT></I>&nbsp; </TD>
    <TD width="3%">&nbsp; </TD>
    <TD noWrap align=right width="4%">&nbsp; </TD>
    <TD width="1%">&nbsp;</TD>
    <TD noWrap align=left width="24%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="1%">&nbsp; </TD>
    <TD width="2%">&nbsp;</TD>
    <TD noWrap align=left width="25%">&nbsp; </TD>
    <TD width="4%">&nbsp; </TD>
    <TD noWrap align=right width="3%">&nbsp; </TD>
    <TD width="2%">&nbsp;</TD>
    <TD noWrap align=left width="30%"><I><FONT face=sans-serif size=2>personnel</FONT></I>&nbsp; </TD>
    <TD width="3%">&nbsp; </TD>
    <TD noWrap align=right width="4%">&nbsp; </TD>
    <TD width="1%">&nbsp;</TD>
    <TD noWrap align=left width="24%">&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=11>
      <HR noShade SIZE=1>
    </TD></TR></TABLE><BR>
<P align=left><B><FONT face=sans-serif size=2>3. Which Accounts and Securities
are Subject to the Code's Personal Trading Restrictions?</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>If this code of ethics describes
"Personal Trading Requirements" (i.e. John Hancock Mutual Fund reporting
requirement and holding period, the preclearance requirement, the ban on
short-term profits, the ban on IPOs, the disclosure of private placement
conflicts and the reporting requirements) that apply to your access category as
described above, then the requirements apply to trades for any account in which
you have a beneficial interest. Normally, this includes your personal accounts,
those of a spouse, "significant other," minor children or family members sharing
your household, as well as all accounts over which you have discretion or give
advice or information. This includes all brokerage accounts that contain
securities (including brokerage accounts that only contain securities exempt
from reporting). Accounts over which you have no direct or indirect influence or
control are exempt. To prevent potential violations of this code of ethics, you
are strongly encouraged to request clarification for any accounts that are in
question.</FONT></P>
<P align=left><FONT face=sans-serif size=2>These personal trading requirements
do not apply to the following securities:</FONT></P>
<P align=left><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149;</FONT> Direct obligations of the U.S. government (e.g., treasury
securities);</FONT></P>
<P align=left><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149;</FONT> Bankers' acceptances, bank certificates of deposit, commercial
paper, and high quality short-term debt obligations, including repurchase
agreements;</FONT></P>
<P align=left><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149;</FONT> Shares of open-end mutual funds registered under the '40 Act
that are not advised or sub-advised by John Hancock Advisers, John Hancock
Investment Management Services or another Manulife entity;</FONT></P>
<P align=left><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149;</FONT> Shares issued by money market funds; and</FONT></P>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=--><A name=page_4></A>
<P align=left><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149;
</FONT>Securities in accounts over which you have no direct or indirect
influence or control.</FONT></P>
<P align=left><FONT face=sans-serif size=2>Except as noted above, the Personal
Trading Requirements apply to all securities, including:</FONT></P>
<P align=left><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149;
</FONT>Stocks;</FONT></P>
<P align=left><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149;
</FONT>Bonds;</FONT></P>
<P align=left><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149;
</FONT>Government securities that are not direct obligations of the U.S.
government, such as Fannie Mae or municipal securities;</FONT></P>
<P align=left><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149;
</FONT>Closed-end funds;</FONT></P>
<P align=left><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149;
</FONT>Options on securities, on indexes, and on currencies;</FONT></P>
<P align=left><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149;
</FONT>Limited partnerships;</FONT></P>
<P align=left><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149;
</FONT>Domestic unit investment trusts;</FONT></P>
<P align=left><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149;
</FONT>Exchange traded funds;</FONT></P>
<P align=left><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149;
</FONT>Non-US unit investment trusts and Non-US mutual funds;</FONT></P>
<P align=left><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149;
</FONT>Private investment funds and hedge funds; and</FONT></P>
<P align=left><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149;
</FONT>Futures, investment contracts or any other instrument that is considered
a "security" under the Investment Advisers Act.</FONT></P>
<P align=left><FONT face=sans-serif size=2>Different requirements apply to
shares of open-end mutual funds that are advised or sub-advised by John Hancock
Advisers, LLC or another Manulife entity--see the section below titled "John
Hancock Mutual Funds Reporting Requirement and Holding Period".</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>4. Overview of
Policies</FONT></B></P>
<TABLE cellSpacing=1 cellPadding=0 width="80%" border=0>

  <TR vAlign=bottom>
    <TD noWrap align=left width="42%">&nbsp; </TD>
    <TD width="1%">&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>Investment Access</FONT>&nbsp;
    </TD>
    <TD width="5%">&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif size=2>Regular Access </FONT></TD>
    <TD width="9%"></TD>
    <TD noWrap align=left width="18%" background=""><FONT face=Arial size=2>Non-Access Person</FONT>&nbsp;&nbsp;&nbsp;</TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%">&nbsp; </TD>
    <TD width="1%">&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>Person</FONT>&nbsp; </TD>
    <TD width="5%">&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif size=2>Person</FONT>&nbsp; </TD>
    <TD width="9%">&nbsp; </TD>
    <TD noWrap align=left width="18%">&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=7>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif size=2>General principles</FONT>&nbsp;
    </TD>
    <TD width="1%">&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>yes</FONT>&nbsp; </TD>
    <TD width="5%">&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif size=2>yes</FONT>&nbsp; </TD>
    <TD width="9%">&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>yes</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=7>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif size=2>Policies outside the
      code</FONT>&nbsp; </TD>
    <TD width="1%">&nbsp; </TD>
    <TD noWrap align=left width="18%">&nbsp; </TD>
    <TD width="5%">&nbsp; </TD>
    <TD noWrap align=left width="6%">&nbsp; </TD>
    <TD width="9%">&nbsp; </TD>
    <TD noWrap align=left width="18%">&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=7>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif size=2>Conflict of interest
      policy</FONT>&nbsp; </TD>
    <TD width="1%">&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>yes</FONT>&nbsp; </TD>
    <TD width="5%">&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif size=2>yes</FONT>&nbsp; </TD>
    <TD width="9%">&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>yes</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=7>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif size=2>Inside information
      policy</FONT>&nbsp; </TD>
    <TD width="1%">&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>yes</FONT>&nbsp; </TD>
    <TD width="5%">&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif size=2>yes</FONT>&nbsp; </TD>
    <TD width="9%">&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>yes</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=7>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif size=2>Policy regarding dissemination
      of mutual fund</FONT>&nbsp; </TD>
    <TD width="1%">&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>yes</FONT>&nbsp; </TD>
    <TD width="5%">&nbsp; </TD>
    <TD noWrap align=left width="6%"><FONT face=sans-serif size=2>yes</FONT>&nbsp; </TD>
    <TD width="9%">&nbsp; </TD>
    <TD noWrap align=left width="18%"><FONT face=sans-serif size=2>yes</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="42%"><FONT face=sans-serif size=2>portfolio
      information</FONT>&nbsp; </TD>
    <TD width="1%">&nbsp; </TD>
    <TD noWrap align=left width="18%">&nbsp; </TD>
    <TD width="5%">&nbsp; </TD>
    <TD noWrap align=left width="6%">&nbsp; </TD>
    <TD width="9%">&nbsp; </TD>
    <TD noWrap align=left width="18%">&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=7>
      <HR noShade SIZE=1>
    </TD></TR></TABLE><BR>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=--><A name=page_5></A>
<TABLE cellSpacing=1 cellPadding=0 width="80%" border=0>

  <TR vAlign=bottom>
    <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>Policies in the
      code</FONT>&nbsp; </TD>
    <TD width="1%">&nbsp; </TD>
    <TD noWrap align=left width="3%">&nbsp; </TD>
    <TD width="22%">&nbsp; </TD>
    <TD noWrap align=left width="4%">&nbsp; </TD>
    <TD width="12%">&nbsp; </TD>
    <TD noWrap align=left width="7%">&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=7>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>Restriction on
      gifts</FONT>&nbsp; </TD>
    <TD width="1%">&nbsp; </TD>
    <TD noWrap align=left width="3%"><FONT face=sans-serif size=2>yes</FONT>&nbsp; </TD>
    <TD width="22%">&nbsp; </TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif size=2>yes</FONT>&nbsp; </TD>
    <TD width="12%">&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif size=2>yes</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=7>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>John Hancock mutual funds
      reporting</FONT>&nbsp; </TD>
    <TD width="1%">&nbsp; </TD>
    <TD noWrap align=left width="3%"><FONT face=sans-serif size=2>yes</FONT>&nbsp; </TD>
    <TD width="22%">&nbsp; </TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif size=2>yes</FONT>&nbsp; </TD>
    <TD width="12%">&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif size=2>yes</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>requirement and holding
      period</FONT>&nbsp; </TD>
    <TD width="1%">&nbsp; </TD>
    <TD noWrap align=left width="3%">&nbsp; </TD>
    <TD width="22%">&nbsp; </TD>
    <TD noWrap align=left width="4%">&nbsp; </TD>
    <TD width="12%">&nbsp; </TD>
    <TD noWrap align=left width="7%">&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=7>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>Pre-clearance
      requirement</FONT>&nbsp; </TD>
    <TD width="1%">&nbsp; </TD>
    <TD noWrap align=left width="3%"><FONT face=sans-serif size=2>yes</FONT>&nbsp; </TD>
    <TD width="22%">&nbsp; </TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif size=2>yes</FONT>&nbsp; </TD>
    <TD width="12%">&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif size=2>Limited</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=7>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>Heightened preclearance of
      securities</FONT>&nbsp; </TD>
    <TD width="1%">&nbsp; </TD>
    <TD noWrap align=left width="3%"><FONT face=sans-serif size=2>yes</FONT>&nbsp; </TD>
    <TD width="22%">&nbsp; </TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif size=2>yes</FONT>&nbsp; </TD>
    <TD width="12%">&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif size=2>no</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>transactions for &#147;Significant
      Personal</FONT>&nbsp; </TD>
    <TD width="1%">&nbsp; </TD>
    <TD noWrap align=left width="3%">&nbsp; </TD>
    <TD width="22%">&nbsp; </TD>
    <TD noWrap align=left width="4%">&nbsp; </TD>
    <TD width="12%">&nbsp; </TD>
    <TD noWrap align=left width="7%">&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>Positions&#148;</FONT>&nbsp; </TD>
    <TD width="1%">&nbsp; </TD>
    <TD noWrap align=left width="3%">&nbsp; </TD>
    <TD width="22%">&nbsp; </TD>
    <TD noWrap align=left width="4%">&nbsp; </TD>
    <TD width="12%">&nbsp; </TD>
    <TD noWrap align=left width="7%">&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=7>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>Ban on short-term
      profits</FONT>&nbsp; </TD>
    <TD width="1%">&nbsp; </TD>
    <TD noWrap align=left width="3%"><FONT face=sans-serif size=2>yes</FONT>&nbsp; </TD>
    <TD width="22%">&nbsp; </TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif size=2>no</FONT>&nbsp; </TD>
    <TD width="12%">&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif size=2>no</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=7>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>Ban on IPOs</FONT>&nbsp; </TD>
    <TD width="1%">&nbsp; </TD>
    <TD noWrap align=left width="3%"><FONT face=sans-serif size=2>yes</FONT>&nbsp; </TD>
    <TD width="22%">&nbsp; </TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif size=2>no</FONT>&nbsp; </TD>
    <TD width="12%">&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif size=2>no</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=7>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>Disclosure of private placement
      conflicts</FONT>&nbsp; </TD>
    <TD width="1%">&nbsp; </TD>
    <TD noWrap align=left width="3%"><FONT face=sans-serif size=2>yes</FONT>&nbsp; </TD>
    <TD width="22%">&nbsp; </TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif size=2>no</FONT>&nbsp; </TD>
    <TD width="12%">&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif size=2>no</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=7>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>Seven day blackout
      period</FONT>&nbsp; </TD>
    <TD width="1%">&nbsp; </TD>
    <TD noWrap align=left width="3%"><FONT face=sans-serif size=2>yes</FONT>&nbsp; </TD>
    <TD width="22%">&nbsp; </TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif size=2>no</FONT>&nbsp; </TD>
    <TD width="12%">&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif size=2>no</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=7>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>Reports and other disclosures
      outside the code</FONT>&nbsp; </TD>
    <TD width="1%">&nbsp; </TD>
    <TD noWrap align=left width="3%">&nbsp; </TD>
    <TD width="22%">&nbsp; </TD>
    <TD noWrap align=left width="4%">&nbsp; </TD>
    <TD width="12%">&nbsp; </TD>
    <TD noWrap align=left width="7%">&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=7>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>Broker letter/duplicate
      confirms</FONT>&nbsp; </TD>
    <TD width="1%">&nbsp; </TD>
    <TD noWrap align=left width="3%"><FONT face=sans-serif size=2>yes</FONT>&nbsp; </TD>
    <TD width="22%">&nbsp; </TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif size=2>yes</FONT>&nbsp; </TD>
    <TD width="12%">&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif size=2>yes</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=7>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>Reports and other disclosures in
      the code</FONT>&nbsp; </TD>
    <TD width="1%">&nbsp; </TD>
    <TD noWrap align=left width="3%">&nbsp; </TD>
    <TD width="22%">&nbsp; </TD>
    <TD noWrap align=left width="4%">&nbsp; </TD>
    <TD width="12%">&nbsp; </TD>
    <TD noWrap align=left width="7%">&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=7>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>Annual recertification
      form</FONT>&nbsp; </TD>
    <TD width="1%">&nbsp; </TD>
    <TD noWrap align=left width="3%"><FONT face=sans-serif size=2>yes</FONT>&nbsp; </TD>
    <TD width="22%">&nbsp; </TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif size=2>yes</FONT>&nbsp; </TD>
    <TD width="12%">&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif size=2>yes</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=7>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>Initial/annual holdings
      reports</FONT>&nbsp; </TD>
    <TD width="1%">&nbsp; </TD>
    <TD noWrap align=left width="3%"><FONT face=sans-serif size=2>yes</FONT>&nbsp; </TD>
    <TD width="22%">&nbsp; </TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif size=2>yes</FONT>&nbsp; </TD>
    <TD width="12%">&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif size=2>no</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=7>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="50%"><FONT face=sans-serif size=2>Quarterly transaction
      reports</FONT>&nbsp; </TD>
    <TD width="1%">&nbsp; </TD>
    <TD noWrap align=left width="3%"><FONT face=sans-serif size=2>yes</FONT>&nbsp; </TD>
    <TD width="22%">&nbsp; </TD>
    <TD noWrap align=left width="4%"><FONT face=sans-serif size=2>yes</FONT>&nbsp; </TD>
    <TD width="12%">&nbsp; </TD>
    <TD noWrap align=left width="7%"><FONT face=sans-serif size=2>no</FONT>&nbsp; </TD></TR>
  <TR>
    <TD align=left width="99%" background="" colSpan=7>
      <HR noShade SIZE=1>
    </TD></TR></TABLE><BR>
<P align=left><B><FONT face=sans-serif size=2>5. Policies Outside of the Code of
Ethics</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>John Hancock Funds have certain
policies that are not part of the code of ethics, but are equally important. The
two most important of these policies are (1) the Company Conflict and Business
Practice Policy; and (2) the Inside Information Policy.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>&gt;&gt; Company Conflict &amp;
Business Practice Policy</FONT></B></P>
<P align=left>
<TABLE>

  <TR>
    <TD noWrap><FONT face=sans-serif size=2>--------------------------------------------------------------------------------</FONT><BR><FONT face=sans-serif size=2>Applies to: Investment Access
      Persons</FONT><BR><FONT face=sans-serif size=2>Regular Access
      Persons</FONT><BR><FONT face=sans-serif size=2>Non-Access
      Persons</FONT><BR><FONT face=sans-serif size=2>--------------------------------------------------------------------------------</FONT><BR></TD></TR></TABLE><FONT face=sans-serif size=2>A conflict of interest occurs when your private interests
interfere or could potentially interfere with your responsibilities at work. You
must not place yourself or the company in a position of actual or potential
conflict.</FONT></P>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=--><A name=page_6></A>
<P align=left><FONT face=sans-serif size=2>This Policy covers a number of
important issues for officers and employees of John Hancock Funds. For example,
you cannot serve as a director of any company without first obtaining the
required written executive approval.</FONT></P>
<P align=left><FONT face=sans-serif size=2>This Policy includes significant
requirements to be followed if your personal securities holdings overlap with
John Hancock funds investment activity. For example, if you or a member of your
family own:</FONT></P>
<P align=left><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149;
</FONT>a 5% or greater interest in a company, John Hancock Funds and its
affiliates may not make any investment in that company;</FONT></P>
<P align=left><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149;
</FONT>a 1% or greater interest in a company, you cannot participate in any
decision by John Hancock Funds and its affiliates to buy or sell that company's
securities;</FONT></P>
<P align=left><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149;
</FONT>ANY interest in a company, you cannot recommend or participate in a
decision by John Hancock Funds and its affiliates to buy or sell that company's
securities unless your personal interest is fully disclosed at all stages of the
investment decision.</FONT></P>
<P align=left><FONT face=sans-serif size=2>(This is just a summary of these
requirements--please read Section IV of the Company Conflict and Business
Practices Policy for more detailed information.)</FONT></P>
<P align=left><FONT face=sans-serif size=2>Other important issues in this Policy
include:</FONT></P>
<P align=left><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149;
</FONT>personal investments or business relationships</FONT></P>
<P align=left><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149;
</FONT>misuse of inside information </FONT></P>
<P align=left><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149;
</FONT>receiving or giving of gifts, entertainment or favors </FONT></P>
<P align=left><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149;
</FONT>misuse or misrepresentation of your corporate position </FONT></P>
<P align=left><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149;
</FONT>disclosure of confidential or proprietary information </FONT></P>
<P align=left><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149;
</FONT>antitrust activities</FONT></P>
<P align=left><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149;
</FONT>political campaign contributions and expenditures on public
officials</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>&gt;&gt; Inside Information Policy
and Procedures</FONT></B></P>
<P align=left>
<TABLE>

  <TR>
    <TD noWrap><FONT face=sans-serif size=2>--------------------------------------------------------------------------------</FONT><BR><FONT face=sans-serif size=2>Applies to: Investment Access
      Persons</FONT><BR><FONT face=sans-serif size=2>Regular Access
      Persons</FONT><BR><FONT face=sans-serif size=2>Non-Access
      Persons</FONT><BR><FONT face=sans-serif size=2>--------------------------------------------------------------------------------</FONT><BR></TD></TR></TABLE></P>
<HR align=center width="100%" noShade SIZE=2>
<!--$$/page=--><A name=page_7></A><FONT face=sans-serif size=2>
<P align=left><FONT face=sans-serif size=2>The antifraud provisions of the
federal securities laws generally prohibit persons with material non-public
information from trading on or </FONT>communicating the information to others.
Sanctions for violations can include civil injunctions, permanent bars from the
securities industry, civil penalties up to three times the profits made or
losses avoided, criminal fines and jail sentences. While Investment Access
persons are most likely to come in contact with material non-public information,
the rules (and sanctions) in this area apply to all John Hancock Funds personnel
and extend to activities both related and unrelated to your job
duties.</FONT></P>
<P align=left><FONT face=sans-serif size=2>The Inside Information Policy and
Procedures covers a number of important issues, such as:</FONT></P>
<P align=left><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149;
</FONT>The misuse of material non-public information</FONT></P>
<P align=left><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149;
</FONT>The information barrier procedure</FONT></P>
<P align=left><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149;
</FONT>The "restricted list" and the "watch list"</FONT></P>
<P align=left><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149;
</FONT>broker letters and duplicate confirmation statements (see section 7 of
this code of ethics)</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>&gt;&gt; Policy Regarding
Dissemination of Mutual Fund Portfolio Information</FONT></B></P>
<P align=left>
<TABLE>

  <TR>
    <TD noWrap><FONT face=sans-serif size=2>--------------------------------------------------------------------------------</FONT><BR><FONT face=sans-serif size=2>Applies to: Investment Access
      Persons</FONT><BR><FONT face=sans-serif size=2>Regular Access
      Persons</FONT><BR><FONT face=sans-serif size=2>Non-Access
      Persons</FONT><BR><FONT face=sans-serif size=2>--------------------------------------------------------------------------------</FONT><BR></TD></TR></TABLE></P>
<P align=left><FONT face=sans-serif size=2>Information about securities held in
a mutual fund cannot be disclosed except in accordance with this Policy, which
generally requires time delays of approximately one month and public posting of
the information to ensure that it uniformly enters the public domain.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>6. Policies in the Code of
Ethics</FONT></B></P>
<P align=left><B><FONT face=sans-serif size=2>&gt;&gt; Restriction on
Gifts</FONT></B></P>
<P align=left>
<TABLE>

  <TR>
    <TD noWrap><FONT face=sans-serif size=2>--------------------------------------------------------------------------------</FONT><BR><FONT face=sans-serif size=2>Applies to: Investment Access
      Persons</FONT><BR><FONT face=sans-serif size=2>Regular Access
      Persons</FONT><BR><FONT face=sans-serif size=2>Non-Access
      Persons</FONT><BR><FONT face=sans-serif size=2>--------------------------------------------------------------------------------</FONT><BR></TD></TR></TABLE></P>
<P align=left><FONT face=sans-serif size=2>You and your family cannot accept
preferential treatment or favors (for example, gifts) from securities brokers or
dealers or other organizations with which John Hancock Funds might transact
business, except in accordance with the Company Conflict and Business Practice
Policy. For the protection of both you and John Hancock Funds, the appearance of
a possible conflict of interest must be avoided. You should exercise caution in
any</FONT></P>
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<P align=left><FONT face=sans-serif size=2>instance in which business travel and
lodging are paid for by someone other than John Hancock Funds. The purpose of
this policy is to minimize the basis for any charge that you used your John
Hancock Funds position to obtain for yourself opportunities which otherwise
would not be offered to you. Please see the Company Conflict and Business
Practice Policy's "Compensation and Gifts" section for additional details
regarding restrictions on gifts and exceptions for "nominal value"
gifts.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>&gt;&gt; John Hancock Mutual Funds
Reporting Requirement and Holding Period</FONT></B></P>
<P align=left>
<TABLE>

  <TR>
    <TD noWrap><FONT face=sans-serif size=2>--------------------------------------------------------------------------------</FONT><BR><FONT face=sans-serif size=2>Applies to: Investment Access
      Persons</FONT><BR><FONT face=sans-serif size=2>Regular Access
      Persons</FONT><BR><FONT face=sans-serif size=2>Non-Access
      Persons</FONT><BR><FONT face=sans-serif size=2>--------------------------------------------------------------------------------</FONT><BR></TD></TR></TABLE></P>
<P align=left><FONT face=sans-serif size=2>You must follow the reporting
requirement and the holding period requirement specified below if you purchase
either:</FONT></P>
<P align=left><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149;
</FONT>a "John Hancock Mutual Fund" (i.e. a '40 Act mutual fund that is advised
by </FONT><FONT face=sans-serif size=2>John Hancock Advisers, LLC, John Hancock
Investment Management Services LLC or by another Manulife entity); or</FONT></P>
<P align=left><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149;
</FONT>a "John Hancock Variable Product" (i.e. contracts funded by insurance
company separate accounts that use one or more portfolios of John Hancock
Trust). </FONT><FONT face=sans-serif size=2>The John Hancock Mutual Funds
reporting requirement and the holding period requirement are excluded for the
money market funds and any dividend reinvestment, payroll deduction, systematic
investment/withdrawal and/or other program trades.</FONT></P>
<P align=left><FONT face=sans-serif size=2>Reporting Requirement: You must
report your holdings and your trades in a John Hancock Mutual Fund or a John
Hancock Variable Product. This is not a preclearance requirement--you can report
your holdings after you trade by submitting duplicate confirmation statements to
the JHF Investment Compliance Department. If you are an Investment Access Person
or a Regular Access Person, you must also make sure that your holdings in a John
Hancock fund or a John Hancock variable product are included in your Initial
Holdings Report (upon hire) and Annual Holdings Report (each year
end).</FONT></P>
<P align=left><FONT face=sans-serif size=2>If you purchase a John Hancock
Variable Product, you must notify the JHF Investment Compliance Department. The
JHF Investment Compliance Department will then obtain directly from the contract
administrators the personal trade and holdings information regarding the
portfolios underlying the Manulife or John Hancock variable insurance
contracts.</FONT></P>
<P align=left><FONT face=sans-serif size=2>The JHF Investment Compliance
Department will obtain personal securities trades and holdings information in
the 401(k) plan for John Hancock funds directly from the plan
administrators.</FONT></P>
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<A name="page_9"></A>

<P align="left">
<FONT size=2 face="sans-serif">Holding Requirement: You cannot profit from the purchase and sale of a John Hancock Mutual Fund within 30 calendar days. The purpose of this policy is to address the risk, real or perceived, of manipulative market
timing or other abusive practices involving short-term personal trading in the John Hancock Mutual Funds. Any profits realized on short-term trades must be surrendered by check payable to John Hancock Advisers, LLC and will be contributed by John
Hancock Advisers, LLC to a charity, upon determination by the Compliance and Business Practices Committee. If you donate or gift a security, it is considered a sale. You may request an exemption from this policy for involuntary sales due to
unforeseen corporate activity (such as a merger), or for sales due to hardship reasons (such as unexpected medical expenses) by sending an e-mail to the Chief Compliance Officer of your company.</FONT></P>
<P align="left">
<B><FONT size=2 face="sans-serif">&gt;&gt; Preclearance of Securities Transactions</FONT></B></P>
<P align="left">
<TABLE><TR><TD nowrap>
<FONT size=2 face="sans-serif">--------------------------------------------------------------------------------</FONT><BR>
<FONT size=2 face="sans-serif">Applies to: Investment Access Persons</FONT><BR>
<FONT size=2 face="sans-serif">Regular Access Persons</FONT><BR>
<BR>
<FONT size=2 face="sans-serif">Also, for a limited category of trades:</FONT><BR>
<FONT size=2 face="sans-serif">------------------------------------</FONT><BR>
<FONT size=2 face="sans-serif">Non-Access Persons</FONT><BR>
<FONT size=2 face="sans-serif">--------------------------------------------------------------------------------</FONT><BR>
</TD></TR></TABLE>
</P>
<P align="left">
<FONT size=2 face="sans-serif">Limited Category of Trades for Non-Access Persons: If you are a Non-Access person, you must preclear transactions in securities of any closed-end funds advised by John Hancock Advisers, LLC. A Non-Access person is not
required to preclear other trades. However, please keep in mind that a Non-Access person is required to report securities transactions after every trade (even those that are not required to be precleared) by requiring your broker to submit duplicate
confirmation statements, as described in section 7 of this code of ethics.</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">Investment Access persons and Regular Access persons: If you are an Investment Access person or Regular Access person, you must "preclear" (i.e.: receive advance approval of) any personal securities transactions in the
categories described above in the section "Which Accounts and Securities are Subject to the Code's Personal Trading Restrictions". Due to this preclearance requirement, participation in investment clubs is prohibited.</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">Preclearance of private placements requires some special considerations--the decision will take into account whether, for example: (1) the investment opportunity should be reserved for John Hancock Funds clients; and
(2) it is being offered to you because of your position with John Hancock Funds.</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">How to preclear: You preclear a trade by following the steps outlined in the preclearance procedures, which are attached as Appendix B. Please note that:</FONT></P>

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

<!--$$/page=--><A name=page_10></A>
<P align=left><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149;
</FONT>You may not trade until clearance is received.</FONT></P>
<P align=left><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149;
</FONT>Clearance approval is valid only for the date granted (i.e. the
preclearance date and the trade date should be the same).</FONT></P>
<P align=left><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149;
</FONT>A separate procedure should be followed for requesting preclearance of a
private placement or a derivative, as detailed in Appendix B. The JHF Investment
Compliance Department must maintain a five-year record of all clearances of
private placement purchases by Investment Access persons, and the reasons
supporting the clearances.</FONT></P>
<P align=left><FONT face=sans-serif size=2>The preclearance policy is designed
to proactively identify potential "problem trades" that raise front-running,
manipulative market timing or other conflict of interest concerns (example: when
an Investment Access person trades a security on the same day as a John Hancock
fund).</FONT></P>
<P align=left><FONT face=sans-serif size=2>Certain transactions in securities
that would normally require pre-clearance are exempt from the pre-clearance
requirement in the following situations; (1) shares are being purchased as part
of an automatic investment plan; (2) shares are being purchased as part of a
dividend reinvestment plan; or (3) transactions are being made in an account
over which you have designated a third party as having discretion to trade (you
must have approval from the Chief Compliance Officer to establish a
discretionary account).</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>&gt;&gt; Heightened Preclearance
of Securities Transactions for "Significant Personal Positions"</FONT></B></P>
<P align=left>
<TABLE>

  <TR>
    <TD noWrap><FONT face=sans-serif size=2>--------------------------------------------------------------------------------</FONT><BR><FONT face=sans-serif size=2>Applies to: Investment Access
      Persons</FONT><BR><FONT face=sans-serif size=2>Regular Access
      Persons</FONT><BR><FONT face=sans-serif size=2>--------------------------------------------------------------------------------</FONT><BR></TD></TR></TABLE></P>
<P align=left><FONT face=sans-serif size=2>If you are an Investment Access
person or Regular Access person with a personal securities position that is
worth $100,000 or more, this is deemed to be a "Significant Personal Position".
This applies to any personal securities positions in the categories described
above in the section "Which Accounts and Securities are Subject to the Code's
Personal Trading Restrictions". Before you make personal trades to establish,
increase or decrease a Significant Personal Position, you must notify either the
Chief Fixed Income Officer or the Chief Equity Officer that (1) you intend to
trade in a Significant Personal Position and (2) confirm that you are not aware
of any clients for whom related trades should be completed first. You must
receive their pre-approval to proceed--their approval will be based on their
conclusion that your personal trade in a Significant Personal Position will not
"front-run" any action that John Hancock Funds should take for a client. This
Heightened Preclearance requirement is in addition to, not in place of, the
regular preclearance requirement described above--you must also receive the
regular preclearance before you trade.</FONT></P>
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<A name="page_11"></A>

<P align="left">
<TABLE><TR><TD nowrap>
<B><FONT size=2 face="sans-serif">&gt;&gt; Ban on Short-Term Profits</FONT></B><BR>
</TD></TR></TABLE>
</P>
<P align="left">
<FONT size=2 face="sans-serif">--------------------------------------------------------------------------------<BR>Applies to: Investment Access Persons <BR>--------------------------------------------------------------------------------</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">If you are an Investment Access person, you cannot profit from the purchase and sale (or sale and purchase) of the same (or equivalent) securities within 60 calendar days. This applies to any personal securities trades
in the categories described above in the section "Which Accounts and Securities are Subject to the Code's Personal Trading Restrictions".</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">You may invest in derivatives or sell short provided the transaction period exceeds the 60-day holding period (30 days for '40 Act mutual funds advised by John Hancock Advisers, LLC, John Hancock Investment Management
Services LLC or another Manulife entity). If you donate or gift a security, it is considered a sale.</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">The purpose of this policy is to address the risk, real or perceived, of front-running, manipulative market timing or other abusive practices involving short-term personal trading. Any profits realized on short-term
trades must be surrendered by check payable to John Hancock Advisers, LLC and will be contributed by John Hancock Advisers, LLC to a charity, upon determination by the Compliance and Business Practices Committee.</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">You may request an exemption from this policy for involuntary sales due to unforeseen corporate activity (such as a merger), or for sales due to hardship reasons (such as unexpected medical expenses) from the JHF
Investment Compliance Department.</FONT></P>
<P align="left">
<TABLE><TR><TD nowrap>
<B><FONT size=2 face="sans-serif">&gt;&gt; Ban on IPOs</FONT></B><BR>
</TD></TR></TABLE>
</P>
<P align="left">
<FONT size=2 face="sans-serif">--------------------------------------------------------------------------------<BR>Applies to: Investment Access Persons <BR>--------------------------------------------------------------------------------</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">If you are an Investment Access person, you may not acquire securities in an initial public offering (IPO). You may not purchase any newly-issued securities until the next business (trading) day after the offering
date. This applies to any personal securities trades in the categories described above in the section "Which Accounts and Securities are Subject to the Code's Personal Trading Restrictions".</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">There are two main reasons for this prohibition: (1) these purchases may suggest that persons have taken inappropriate advantage of their positions for personal profit; and (2) these purchases may create at least the
appearance that an investment opportunity that should have been available to the John Hancock funds was diverted to the personal benefit of an individual employee.</FONT></P>

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

<!--$$/page=--><A name=page_12></A>
<P align=left><FONT face=sans-serif size=2>You may request an exemption for
certain investments that do not create a potential conflict of interest, such
as: (1) securities of a mutual bank or mutual insurance company received as
compensation in a demutualization and other similar non-voluntary stock
acquisitions; (2) fixed rights offerings; or (3) a family member's participation
as a form of employment compensation in their employer's IPO.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>&gt;&gt; Disclosure of Private
Placement Conflicts</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>--------------------------------------------------------------------------------<BR>Applies
to: Investment Access Persons
<BR>--------------------------------------------------------------------------------</FONT></P>
<P align=left><FONT face=sans-serif size=2>If you are an Investment Access
person and you own securities purchased in a private placement, you must
disclose that holding when you participate in a decision to purchase or sell
that same issuer's securities for a John Hancock fund. This applies to any
private placement holdings in the categories described above in the section
"Which Accounts and Securities are Subject to the Code's Personal Trading
Restrictions". Private placements are securities exempt from SEC registration
under section 4(2), section 4(6) or rules 504 -506 of the Securities Act of
1933.</FONT></P>
<P align=left><FONT face=sans-serif size=2>The investment decision must be
subject to an independent review by investment personnel with no personal
interest in the issuer.</FONT></P>
<P align=left><FONT face=sans-serif size=2>The purpose of this policy is to
provide appropriate scrutiny in situations in which there is a potential
conflict of interest.</FONT></P>
<P align=left>
<TABLE>

  <TR>
    <TD noWrap><B><FONT face=sans-serif size=2>&gt;&gt; Seven Day Blackout
      Period</FONT></B><BR></TD></TR></TABLE></P>
<P align=left><FONT face=sans-serif size=2>--------------------------------------------------------------------------------<BR>Applies
to: Investment Access Persons
<BR>--------------------------------------------------------------------------------</FONT></P>
<P align=left><FONT face=sans-serif size=2>If you are a portfolio manager (or
were identified to the JHF Investment Compliance Department as part of a
portfolio management team) you are prohibited from buying or selling a security
within seven calendar days before and after that security is traded for a fund
that you manage unless no conflict of interest exists in relation to that
security (as determined by the Compliance and Ethics Committee).</FONT></P>
<P align=left><FONT face=sans-serif size=2>In addition, all investment access
persons are prohibited from knowingly buying or selling a security within seven
calendar days before and after that security is traded for a John Hancock fund
unless no conflict of interest exists in relation to that security. This applies
to any personal securities trades in the categories described above in the
section "Which Accounts and Securities are Subject to the Code's Personal
Trading Restrictions". If a John Hancock fund trades in a security within seven
calendar days before or after you trade in that security, you may be required to
demonstrate that you did not know that the trade was being <FONT face=sans-serif size=2>considered for that John Hancock fund.</FONT></P></FONT>
<HR align=center width="100%" noShade SIZE=2>
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<P align=left><FONT face=sans-serif size=2>You will be required to sell any
security purchased in violation of this policy unless it is determined that no
conflict of interest exists in relation to that security (as determined by the
Compliance and Ethics Committee). Any profits realized on trades determined by
the Compliance and Ethics Committee to be in violation of this policy must be
surrendered by check payable to John Hancock Advisers, LLC and will be
contributed by John Hancock Advisers, LLC to a charity.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>7. Reports and Other Disclosures
Outside the Code of Ethics </FONT></B></P>
<P align=left><B><FONT face=sans-serif size=2>&gt;&gt; Broker Letter/Duplicate
Confirm Statements</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>--------------------------------------------------------------------------------<BR>Applies
to: Investment Access Persons<BR>Regular Access Persons <BR>Non-Access Persons
<BR>--------------------------------------------------------------------------------</FONT></P>
<P align=left><FONT face=sans-serif size=2>As required by the Inside Information
Policy, you must inform your stockbroker that you are employed by an investment
adviser or broker. Your broker is subject to certain rules designed to prevent
favoritism toward your accounts. You may not accept negotiated commission rates
that you believe may be more favorable than the broker grants to accounts with
similar characteristics.</FONT></P>
<P align=left><FONT face=sans-serif size=2>When a brokerage account is opened
for which you have a beneficial interest, before any trades are made, you
must:</FONT></P>
<P align=left><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149;
</FONT>Notify the broker-dealer with which you are opening an account that you
are a registered associate of John Hancock Funds;</FONT></P>
<P align=left><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149;
</FONT>Ask the firm in writing to have duplicate written confirmations of any
trade, as well as statements or other information concerning the account, sent
to the John Hancock Funds Investment Compliance Department (contact: Fred
Spring), 8th Floor, 101 Huntington Avenue, Boston, MA 02199; and</FONT></P>
<P align=left><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149;
</FONT>Notify the JHF Investment Compliance Department, in writing, that you
have an account before you place any trades.</FONT></P>
<P align=left><FONT face=sans-serif size=2>This applies to any personal
securities trades in the categories described above in the section "Which
Accounts and Securities are Subject to the Code's Personal Trading Restrictions"
as well as trades in John Hancock Mutual Funds and John Hancock Variable
Products. The JHF Investment Compliance Department may rely on information
submitted by your broker as part of your reporting requirements under this code
of ethics.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>8. Reports and Other Disclosures
In the Code of Ethics</FONT></B></P>
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<P align=left><B><FONT face=sans-serif size=2>&gt;&gt; Initial Holdings Report
and Annual Holdings Report</FONT></B></P>
<P align=left>
<TABLE>

  <TR>
    <TD noWrap><FONT face=sans-serif size=2>--------------------------------------------------------------------------------</FONT><BR><FONT face=sans-serif size=2>Applies to: Investment Access
      Persons</FONT><BR><FONT face=sans-serif size=2>Regular Access
      Persons</FONT><BR><FONT face=sans-serif size=2>--------------------------------------------------------------------------------</FONT><BR></TD></TR></TABLE></P>
<P align=left><FONT face=sans-serif size=2>You must file an initial holdings
report within 10 calendar days after becoming an Investment Access person or a
Regular Access person. The information must be current as of a date no more than
45 days prior to your becoming an Investment Access person or a Regular Access
person.</FONT></P>
<P align=left><FONT face=sans-serif size=2>You must also file an annual holdings
report (as of December 31st) within 45 calendar days after the calendar year
end. This applies to any personal securities holdings in the categories
described above in the section "Which Accounts and Securities are Subject to the
Code's Personal Trading Restrictions" as well as holdings in John Hancock Mutual
Funds and John Hancock Variable Products.</FONT></P>
<P align=left><FONT face=sans-serif size=2>Your reports must include:</FONT></P>
<P align=left><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149;
</FONT>the title and type of security, and as applicable the exchange ticker
symbol or CUSIP number, number of shares, and principal amount of each
reportable security;</FONT></P>
<P align=left><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149;
</FONT>the name of any broker, dealer or bank with which you maintain an
account; and</FONT></P>
<P align=left><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149;
</FONT>the date that you submit the report.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>&gt;&gt; Quarterly Transaction
Certification</FONT></B></P>
<P align=left>
<TABLE>

  <TR>
    <TD noWrap><FONT face=sans-serif size=2>--------------------------------------------------------------------------------</FONT><BR><FONT face=sans-serif size=2>Applies to: Investment Access
      Persons</FONT><BR><FONT face=sans-serif size=2>Regular Access
      Persons</FONT><BR><FONT face=sans-serif size=2>--------------------------------------------------------------------------------</FONT><BR></TD></TR></TABLE></P>
<P align=left><FONT face=sans-serif size=2>On a quarterly basis, Investment
Access Persons and Regular Access persons are required to certify transactions
in their brokerage accounts and the John Hancock Funds 401(k) Plan. Within 30
calendar days after the end of each calendar quarter you will be asked to log
into the John Hancock Personal Trading and Reporting System to verify that the
system has captured accurately all transactions for the preceding calendar
quarter for accounts and trades which are required to be reported pursuant to
the above noted section entitled "Which Accounts and Securities are Subject to
the Code's Personal Trading Restrictions". Even if you have no transactions to
report you will be asked to complete the certification.</FONT></P>
<P align=left><FONT face=sans-serif size=2>For each transaction you must report
the following information:</FONT></P>
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<!--$$/page=--><A name=page_15></A><FONT face=sans-serif size=2>
<P align=left><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149;
</FONT>the date of the transaction, the title, and as applicable the exchange
</FONT>ticker symbol or CUSIP number, interest rate and maturity date, number of
shares, and principal amount of each reportable security involved;</FONT></P>
<P align=left><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149;</FONT> the nature of the transaction (i.e. purchase, sale or any other
type of acquisition or disposition);</FONT></P>
<P align=left><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149;</FONT> the price at which the transaction was effected;</FONT></P>
<P align=left><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149;</FONT> the name of the broker, dealer or bank with or through which the
transaction was effected; and</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>&gt;&gt; Quarterly Brokerage
Account Certification</FONT></B></P>
<P align=left>
<TABLE>

  <TR>
    <TD noWrap><FONT face=sans-serif size=2>--------------------------------------------------------------------------------</FONT><BR><FONT face=sans-serif size=2>Applies to: Investment Access
      Persons</FONT><BR><FONT face=sans-serif size=2>Regular Access
      Persons</FONT><BR><FONT face=sans-serif size=2>Non-Access
      Persons</FONT><BR><FONT face=sans-serif size=2>--------------------------------------------------------------------------------</FONT><BR></TD></TR></TABLE></P>
<P align=left><FONT face=sans-serif size=2>Each quarter, all Investment Access
Persons, Regular Access Persons and Non-Access Persons will be required to
provide a complete list of all brokerage accounts as described above in the
section entitled "Which Accounts and Securities are Subject to the Code's
Personal Trading Restrictions". This includes all brokerage accounts, including
brokerage accounts that only contain securities exempt from
reporting.</FONT></P>
<P align=left><FONT face=sans-serif size=2>You will be asked to log into the
John Hancock Personal Trading and Reporting System and verify that all brokerage
accounts are listed and the following information is accurate:</FONT></P>
<P align=left>
<TABLE>

  <TR>
    <TD noWrap><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149;</FONT> Account number;</FONT><BR><BR><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149;</FONT> Account
      registration;</FONT><BR><BR><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149;</FONT> Brokerage
  firm</FONT><BR></TD></TR></TABLE></P>
<P align=left><B><FONT face=sans-serif size=2>&gt;&gt; Annual
Certification</FONT></B></P>
<P align=left>
<TABLE>

  <TR>
    <TD noWrap><FONT face=sans-serif size=2>--------------------------------------------------------------------------------</FONT><BR><FONT face=sans-serif size=2>Applies to: Investment Access
      Persons</FONT><BR><FONT face=sans-serif size=2>Regular Access
      Persons</FONT><BR><FONT face=sans-serif size=2>Non-Access
      Persons</FONT><BR><FONT face=sans-serif size=2>Limited Access
      Persons</FONT><BR><FONT face=sans-serif size=2>--------------------------------------------------------------------------------</FONT><BR></TD></TR></TABLE></P>
<P align=left><FONT face=sans-serif size=2>At least annually (or additionally
when the code of ethics has been significantly changed), you must provide a
certification at a date designated by the Investment Compliance Department
that:</FONT></P>
<P align=left><FONT face=sans-serif size=2>(1) you have read and understood this
code of ethics;</FONT></P>
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<P align="left">
<FONT size=2 face="sans-serif">(2) you recognize that you are subject to its policies; and</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">(3) you have complied with its requirements.</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">You are required to make this certification to demonstrate that you understand the importance of these policies and your responsibilities under the code of ethics.</FONT></P>
<P align="left">
<B><FONT size=2 face="sans-serif">9. Limited Access Persons</FONT></B></P>
<P align="left">
<FONT size=2 face="sans-serif">There is an additional category of persons called "Limited Access" persons. This category consists only of directors of John Hancock Advisers, LLC, trustees of the John Hancock Financial Trends Fund, Inc. or an
"interested person" of the John Hancock funds who:</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">(a) are not also officers of John Hancock Advisers, LLC; and</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">(b) do not ordinarily obtain information about fund portfolio trades</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">An "interested person" of the John Hancock funds has the meaning given to the term in Section 2(a)(19) of the '40 Act.</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">A more detailed definition of Limited Access persons, and a list of the policies that apply to them, is attached as Appendix C.</FONT></P>
<P align="left">
<B><FONT size=2 face="sans-serif">10. Subadvisers</FONT></B></P>
<P align="left">
<FONT size=2 face="sans-serif">A subadviser to a John Hancock fund has a number of code of ethics responsibilities, as described in Appendix D.</FONT></P>
<P align="left">
<B><FONT size=2 face="sans-serif">11. Reporting Violations</FONT></B></P>
<P align="left">
<FONT size=2 face="sans-serif">If you know of any violation of our code of ethics, you have a responsibility to promptly report it to the Chief Compliance Officer of your company. You should also report any deviations from the controls and
procedures that safeguard John Hancock Funds and the assets of our clients. You can request confidential treatment of your reporting action.</FONT></P>
<P align="left">
<B><FONT size=2 face="sans-serif">12. Interpretation and Enforcement</FONT></B></P>
<P align="left">
<FONT size=2 face="sans-serif">This code of ethics cannot anticipate every situation in which personal interests may be in conflict with the interests of our clients and fund investors. You should be responsive to the spirit and intent of this code
of ethics as well as its specific provisions.</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">When any doubt exists regarding any code of ethics provision or whether a conflict of interest with clients or fund investors might exist, you should</FONT></P>

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<P align=left><FONT face=sans-serif size=2>discuss the situation in advance with
the Chief Compliance Officer of your company. The code of ethics is designed to
detect and prevent fraud against clients and fund investors, and to avoid the
appearance of impropriety. If you feel inequitably burdened by any policy, you
should feel free to contact your Chief Compliance Officer or the Compliance and
Business Practices Committee. Exceptions may be granted where warranted by
applicable facts and circumstances. For example, exemption from some Personal
Trading Requirements may be granted for transactions effected pursuant to an
automatic investment plan.</FONT></P>
<P align=left><FONT face=sans-serif size=2>To provide assurance that policies
are effective, the JHF Investment Compliance Department will monitor and check
personal securities transaction reports and certifications against fund
portfolio transactions. Additional administration and recordkeeping procedures
are described in Appendix E.</FONT></P>
<P align=left><FONT face=sans-serif size=2>The Chief Compliance Officer of your
company has general administrative responsibility for this code of ethics as it
applies to the access persons of your company; an appropriate Compliance
Department will administer procedures to review personal trading reports. The
Compliance and Business Practices Committee of John Hancock Funds approves
amendments to the code of ethics and dispenses employee/officer sanctions for
violations of the code of ethics. The Boards of Trustees/Directors of the
open-end mutual funds and closed-end funds also approve amendments to the code
of ethics and dispenses sanctions for access persons of the Funds who are not
employees/officers. Accordingly, the Investment Compliance Department will refer
violations to the Compliance and Business Practices Committee and/or the Boards
of Trustees/Directors of the John Hancock '40 Act funds, respectively, for
review and appropriate action. The following factors will be considered when
determining a fine or other disciplinary action:</FONT></P>
<P align=left><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149;
</FONT>the person's position and function (senior personnel may be held to a
higher standard);</FONT></P>
<P align=left><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149;
</FONT>the amount of the trade;</FONT></P>
<P align=left><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149;
</FONT>whether the funds or accounts hold the security and were trading the same
day;</FONT></P>
<P align=left><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149;
</FONT>whether the violation was by a family member.</FONT></P>
<P align=left><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149;
</FONT>whether the person has had a prior violation and which policy was
involved.</FONT></P>
<P align=left><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149;
</FONT>whether the employee self-reported the violation.</FONT></P>
<P align=left><FONT face=sans-serif size=2>You can request reconsideration of
any disciplinary action by submitting a written request.</FONT></P>
<P align=left><FONT face=sans-serif size=2>No less frequently than annually, a
written report of all material violations and sanctions, significant conflicts
of interest and other related issues will be submitted to the boards of
directors of the John</FONT></P>
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<P align=left><FONT face=sans-serif size=2>Hancock funds for their review.
Sanctions for violations could include (but are not limited to) fines,
limitation of personal trading activity, suspension or termination of the
violator's position with John Hancock Funds and/or a report to the appropriate
regulatory authority.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>13. Education of
Employees</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>The JHF Investment Compliance
Department will provide a paper copy or electronic version of the Code of Ethics
(and any amendments) to each person subject to this Code of Ethics. The JHF
Investment Compliance Department will also administer training of employees on
the principles and procedures of the code of ethics.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Appendix A: Categories of
Personnel</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>You have been notified about which of
these categories applies to you, based on the JHF Investment Compliance
Department's understanding of your current role. If you have a level of
investment access beyond that category, or if you are promoted or change duties
and as a result should more appropriately be included in a different category,
it is your responsibility to immediately notify the Chief Compliance Officer of
your company.</FONT></P>
<P align=left><FONT face=sans-serif size=2>1) Investment Access person: You are
an Investment Access person if you are an employee of John Hancock Advisers,
LLC, Sovereign Asset Management LLC, a John Hancock fund, or Manulife Financial
Corporation or its subsidiaries who, in connection with your regular functions
or duties, makes or participates in making recommendations regarding the
purchase or sale of securities by a John Hancock fund.</FONT></P>
<P align=left><FONT face=sans-serif size=2>(examples: portfolio managers,
analysts, traders)</FONT></P>
<P align=left><FONT face=sans-serif size=2>2) Regular Access person: You are a
Regular Access person if you do not fit the definition of Investment Access
Person, but you do fit one of the following two sub-categories:</FONT></P>
<P align=left><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149;
</FONT>You are an officer (vice president and higher) or director of John
Hancock Advisers, LLC, Sovereign Asset Management LLC or a John Hancock fund,
unless you qualify as a Limited Access person--please see Appendix C for this
definition.)</FONT></P>
<P align=left><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149;
</FONT>You are an employee of John Hancock Advisers, LLC, Sovereign Asset
Management LLC, a John Hancock fund or Manulife Financial Corporation or its
subsidiaries , or a director, officer (vice president and higher) or employee of
John Hancock Funds, LLC who has access to nonpublic information regarding any
clients' purchase or sale of securities, or nonpublic information regarding the
portfolio holdings of any reportable fund or who is involved in making
securities recommendations to clients, or who has access to such recommendations
that are nonpublic.</FONT></P>
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<P align=left><FONT face=sans-serif size=2>(examples: Investment Operations
personnel, Investment Compliance </FONT><FONT face=sans-serif size=2>Department
personnel, most Fund Financial Management personnel, investment administrative
personnel, Technology Resources personnel with access to investment systems,
attorneys and some legal administration personnel)</FONT></P>
<P align=left><FONT face=sans-serif size=2>3) Non-Access person: You are a
non-access person if you are an employee of John Hancock Advisers, LLC,
Sovereign Asset Management LLC, John Hancock Funds, LLC or a John Hancock fund
who does not fit the definitions of any of the other three categories
(Investment Access Person, Regular Access Person or Limited Access Person). To
be a non-access person, you must not have access to information regarding the
purchase or sale of securities by a John Hancock fund or nonpublic information
regarding the portfolio holdings in connection with your regular functions or
duties.</FONT></P>
<P align=left><FONT face=sans-serif size=2>(examples: wholesalers, inside
wholesalers, certain administrative staff)</FONT></P>
<P align=left><FONT face=sans-serif size=2>4) Limited Access Person: Please see
Appendix C for this definition.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Appendix B: Preclearance
Procedures</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>You should read the Code of Ethics to
determine whether you must obtain a preclearance before you enter into a
securities transaction. If you are required to obtain a preclearance, you should
follow the procedures detailed below.</FONT></P>
<P align=left><FONT face=sans-serif size=2>1. Pre-clearance for Public
Securities including Derivatives, Futures, Options and Selling Short:</FONT></P>
<P align=left><FONT face=sans-serif size=2>A request to pre-clear should be
entered into the John Hancock Personal Trading &amp; Reporting
System.</FONT></P>
<P align=left><FONT face=sans-serif size=2>The John Hancock Personal Trading
&amp; Reporting System is located under your Start Menu on your Desktop. It can
be accessed by going to Programs/Personal Trading &amp; Reporting/ Personal
Trading &amp; Reporting and by entering your Web Security Services user id and
password.</FONT></P>
<P align=left><FONT face=sans-serif size=2>If the John Hancock Personal Trading
&amp; Reporting System is not on your Desktop, please contact the HELP Desk at
(617) 572-6950 for assistance.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>The Trade Request
Screen:</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>At times you may receive a message
like "System is currently unavailable". The system is scheduled to be offline
from 8:00 PM until 7:00 AM each night.</FONT></P>
<P align=left><FONT face=sans-serif size=2>[GRAPHIC: Trade Request
Screen]</FONT></P>
<P align=left><FONT face=sans-serif size=2>Ticker/Security Cusip: Fill in either
the ticker, cusip or security name with the proper information of the security
you want to buy or sell. Then</FONT></P>
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<P align="left">
<FONT size=2 face="sans-serif">click the [Lookup] button. Select one of the hyperlinks for the desired security, and the system will populate the proper fields Ticker, Security Cusip, Security Name and Security Type automatically on the Trade
Request Screen.</FONT></P>
<P align="left">
<B><FONT size=2 face="sans-serif">If You Don't Know the Ticker, Cusip, or Security Name:</FONT></B></P>
<P align="left">
<FONT size=2 face="sans-serif">If you do not know the full ticker, you may type in the first few letters followed by an asterisk * and click the [Lookup] button. For example, let's say you want to buy some shares of Intel, but all you can remember
of the ticker is that it begins with int, so you enter int* for Ticker. If any tickers beginning with int are found, they are displayed on a new screen. Select the hyperlink of the one you want, and the system will populate Security Cusip, Security
Name and Security Type automatically on the Trade Request Screen. If you do not know the full cusip, you may type in the first few numbers followed by an asterisk * and click the [Lookup] button. For example, let's say you want to buy some shares of
Microsoft, but all you can remember of the cusip is that it begins with 594918, so you enter 594918* for Ticker. If any cusips beginning with 594918 are found, they are displayed on a new screen. Select the hyperlink of the one you want, and the
system will fill in Ticker, Security Name and Security Type automatically on the Trade Request Screen. If you do not know the Ticker but have an idea of what the Security Name is, you may type in an asterisk, a few letters of the name and an
asterisk * and click the [Lookup] button. For example, let's say you want to buy some shares of American Brands, so you enter *amer* for Security Name. Any securities whose names have amer in them are displayed on a new screen, where you are asked
to select the hyperlink of the one you want, and the system will fill in Ticker, Cusip and Security Type automatically on the Trade Request Screen.</FONT></P>
<P align="left">
<B><FONT size=2 face="sans-serif">Other Items on the Trade Request Screen:</FONT></B></P>
<P align="left">
<FONT size=2 face="sans-serif">Brokerage Account: Click on the dropdown arrow to the right of the Brokerage Account field to choose the account to be used for the trade.</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">Transaction Type: Choose one of the values displayed when you click the dropdown arrow to the right of this field.</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">Trade Date: You may only submit trade requests for the current date.</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">Note: One or more of these fields may not appear on the Request Entry screen if the information is not required. Required fields are determined by the Investment Compliance Department.</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">Click the [Submit Request] button to send the trade request to your Investment Compliance department.</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">Once you click the [Submit Request] button, you will be asked to confirm the values you have entered. Review the information and click the [Confirm] button if all the information is correct. After which, you will
receive</FONT></P>

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<P align="left">
<FONT size=2 face="sans-serif">immediate feedback in your web browser. (Note: We suggest that you print out this confirmation and keep it as a record of the trade you have made). After this, you can either submit another trade request or
logout.</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">Attention Investment Access Persons: If the system identifies a potential violation of the Ban on Short Term Profits Rule, your request will be sent to the Investment Compliance Department for review and you will
receive feedback via the e-mail system.</FONT></P>
<P align="left">
<B><FONT size=2 face="sans-serif">Starting Over:</FONT></B></P>
<P align="left">
<FONT size=2 face="sans-serif">To clear everything on the screen and start over, click the [Clear Screen] button.</FONT></P>
<P align="left">
<B><FONT size=2 face="sans-serif">Exiting Without Submitting the Trade Request:</FONT></B></P>
<P align="left">
<FONT size=2 face="sans-serif">If you decide not to submit the trade request before clicking the [Submit Request] button, simply exit from the browser by clicking the [X] button on the upper right or by pressing [Alt+F4], or by clicking the Logout
hyperlink on the lower left side of the screen.</FONT></P>
<P align="left">
<B><FONT size=2 face="sans-serif">Ticker/Security Name Lookup Screen:</FONT></B></P>
<P align="left">
<FONT size=2 face="sans-serif">You arrive at this screen from the Trade Request Screen, where you've clicked the [Lookup] button (see above, "If You Don't Know the Ticker, Cusip, or Security Name"). If you see the security you want to trade, you
simply select its corresponding hyperlink, and you will automatically return to the Trade Request Screen, where you finish making your trade request. If the security you want to trade is not shown, that means that it is not recognized by the system
under the criteria you used to look it up. Keep searching under other names (click the [Return to Request] button) until you are sure that the security is not in the system. If you determine that the desired security is not in the system, please
contact a member of the Investment Compliance department to add the security for you. Contacts are listed below:</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">Fred Spring (617) 375-4987</FONT></P>
<P align="left">
<B><FONT size=2 face="sans-serif">Adding Brokerage Accounts:</FONT></B></P>
<P align="left">
<FONT size=2 face="sans-serif">To access this functionality, click on the Add Brokerage Account hyperlink on the left frame of your browser screen. You will be prompted to enter the Brokerage Account Number, Brokerage Account Name, Date Opened, and
Broker. When you click the [Create New Brokerage Account] button, you will receive a message that informs you whether the account was successfully created.</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">[GRAPHIC: Add Brokerage Account screen]</FONT></P>

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<P align="left">
<B><FONT size=2 face="sans-serif">3. Pre-clearance for Private Placements and Initial Public Offerings:</FONT></B></P>
<P align="left">
<FONT size=2 face="sans-serif">You may request a preclearance of private placement securities or an Initial Public Offering by contacting Fred Spring via email (please "cc." Frank Knox on all such requests). Please keep in mind that the code of
ethics prohibits Investment Access persons from purchasing securities in an initial public offering.</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">The request must include:</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">|_| the associate's name;</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">|_| the associate's John Hancock Funds' company;</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">|_| the complete name of the security;</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">|_| the seller (i.e the selling party if identified and/or the broker-dealer or placement agent) and whether or not the associate does business with those individuals or entities on a regular basis;</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">|_| the basis upon which the associate is being offered this investment opportunity;</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">|_| any potential conflict, present or future, with fund trading activity and whether the security might be offered as inducement to later recommend publicly traded securities for any fund or to trade through a
particular broker-dealer or placement agent; and</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">|_| the date of the request.</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">Clearance of private placements or initial public offerings may be denied for any appropriate reason, such as if the transaction could create the appearance of impropriety. Clearance of initial public offerings will
also be denied if the transaction is prohibited for a person due to his or her access category under the code of ethics.</FONT></P>
<P align="left">
<B><FONT size=2 face="sans-serif">Appendix C: Limited Access Persons</FONT></B></P>
<P align="left">
<FONT size=2 face="sans-serif">There are three types of Limited Access Persons--(1) Certain directors of the Adviser and (2) the trustees of the John Hancock Financial Trends Fund, Inc. and (3) the directors of the John Hancock open-end funds and
closed-end funds who are not Excluded Independent Directors</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">(1) Certain Directors of the Adviser:</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">You are a Limited Access person if you are a director of John Hancock Advisers, LLC or Sovereign Asset Management Co. and you meet the three following criteria:</FONT></P>

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<P align=left><FONT face=sans-serif size=2>(a) you are not also an officer of
John Hancock Advisers, LLC, Sovereign Asset Management Co. or a John Hancock
fund;</FONT></P>
<P align=left><FONT face=sans-serif size=2>(b) you do not have access to
nonpublic information regarding any clients' purchase or sale of securities, or
nonpublic information regarding the portfolio holdings of any John Hancock fund
or account; and</FONT></P>
<P align=left><FONT face=sans-serif size=2>(c) you are not involved in making
securities recommendations to clients and do not have access to such
recommendations that are nonpublic.</FONT></P>
<P align=left><FONT face=sans-serif size=2>(examples: directors of John Hancock
Advisers, LLC or Sovereign Asset Management LLC who are not involved in the
daily operations of the adviser)</FONT></P>
<P align=left><FONT face=sans-serif size=2>If you are a Limited Access Person
who fits this definition, the following policies apply to your category. These
policies are described in detail in the code of ethics.</FONT></P>
<P align=left><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149;
</FONT>General principles</FONT></P>
<P align=left><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149;
</FONT>Inside information policy and procedures</FONT></P>
<P align=left><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149;
</FONT>Broker letter/Duplicate Confirms*</FONT></P>
<P align=left><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149;
</FONT>Initial/annual holdings reports*</FONT></P>
<P align=left><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149;
</FONT>Quarterly transaction reports*</FONT></P>
<P align=left><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149;
</FONT>Annual recertification</FONT></P>
<P align=left><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149;
</FONT>Preclearance requirement LIMITED: You only need to preclear any direct or
indirect acquisition of beneficial ownership in any security in an initial
public offering (an IPO) or in a limited offering (i.e. a private placement). To
request preclearance of these securities, contact </FONT></P>
<P align=left><FONT face=sans-serif size=2>Fredrick Spring at
fspring@jhancock.com and/or Frank Knox at Frank_Knox@manulifeusa.com.</FONT></P>
<P align=left><FONT face=sans-serif size=2>--------------------------------------------------------------------------------</FONT></P>
<P align=left><FONT face=sans-serif size=2>*A Limited Access Person may complete
this requirement under the code of<BR> ethics of another Manulife/John Hancock
adviser or fund by the applicable<BR> regulatory deadlines and arrange for
copies of the required information to<BR> be sent to the John Hancock Funds
Compliance Department.</FONT></P>
<P align=left><FONT face=sans-serif size=2>--------------------------------------------------------------------------------</FONT></P>
<P align=left><FONT face=sans-serif size=2>(2) The Independent Directors of the
Funds: If you are a trustee of the John Hancock Financial Trends Fund, Inc. or a
director to a John Hancock fund and an "interested person" of the fund within
the meaning of the Investment Company Act of 1940, the following policies apply
to your category. These policies are described in detail in the code of
ethics.</FONT></P>
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<P align=left><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149;
</FONT>General principles</FONT></P>
<P align=left><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149;
</FONT>Annual recertification</FONT></P>
<P align=left><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149;
</FONT>Quarterly transaction report, but only if you knew (or should have known)
that during the 15 calendar days before or after you trade a security,
either:</FONT></P>
<P align=left><FONT face=sans-serif size=2>(i) a John Hancock fund purchased or
sold the same security, or</FONT></P>
<P align=left><FONT face=sans-serif size=2>(ii) a John Hancock fund or John
Hancock Advisers, LLC considered purchasing or selling the same
security.</FONT></P>
<P align=left><FONT face=sans-serif size=2>This policy applies to holdings in
your personal accounts, those of a spouse, "significant other" or family members
sharing your household, as well as all accounts over which you have discretion
or give advice or information. If this situation occurs, it is your
responsibility to contact the Chief Compliance Officer of your company and he
will assist you with the requirements of the quarterly transaction
report.</FONT></P>
<P align=left><FONT face=sans-serif size=2>This means that the independent
directors of the funds will not usually be required to file a quarterly
transaction report--they are only required to file in the situation described
above and only if they are not Excluded Independent Directors.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Appendix D:
Subadvisers</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>Each subadviser to a John Hancock
fund is subject to its own code of ethics, which must meet the requirements of
Rule 17j-1 and Rule 204A-1.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Approval of Code of
Ethics</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>Each subadviser to a John Hancock
fund must provide a copy of its code of ethics to the trustees of the relevant
John Hancock funds for approval initially and within 60 calendar days of any
material amendment. The trustees will give their approval if they determine that
the code:</FONT></P>
<P align=left><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149;
</FONT>contains provisions reasonably necessary to prevent the subadviser's
Access Persons (as defined in Rule 17j-1) from engaging in any conduct
prohibited by Rule 17j-1;</FONT></P>
<P align=left><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149;
</FONT>requires the subadviser's Access Persons to make reports to at least the
extent required in Rule 17j-1(d);</FONT></P>
<P align=left><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149;
</FONT>requires the subadviser to institute appropriate procedures for review of
these reports by management or compliance personnel (as contemplated by Rule
17j-1(d)(3));</FONT></P>
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<P align=left><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149;
</FONT>provides for notification of the subadviser's Access Persons in
accordance with Rule 17j-1(d)(4); and</FONT></P>
<P align=left><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149;
</FONT>requires the subadviser's Access Persons who are Investment Personnel to
obtain the pre-clearances required by Rule 17j-1(e);</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Reports and
Certifications</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>Each subadviser must provide an
annual report and certification to John Hancock Advisers, LLC and the fund's
trustees in accordance with Rule 17j-1(c)(2)(ii). The subadviser must also
provide other reports or information that John Hancock Advisers, LLC may
reasonably request.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Recordkeeping
Requirements</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>The subadviser must maintain all
records for its Access Persons as required by Rule 17j-1(f).</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Appendix E: Administration and
Recordkeeping</FONT></B></P>
<P align=left><B><FONT face=sans-serif size=2>Adoption and
Approval</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>The trustees of a John Hancock fund
must approve the code of ethics of an adviser, subadviser or affiliated
principal underwriter before initially retaining its services.</FONT></P>
<P align=left><FONT face=sans-serif size=2>Any material change to a code of
ethics of a John Hancock fund, John Hancock Funds, LLC, John Hancock Advisers,
LLC or a subadviser to a fund must be approved by the trustees of the John
Hancock funds, including a majority of trustees who are not interested persons,
no later than six months after adoption of the material change.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Administration</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>No less frequently than annually,
John Hancock Funds, LLC, John Hancock Advisers, LLC, each subadviser and each
John Hancock fund will furnish to the trustees of each John Hancock fund a
written report that:</FONT></P>
<P align=left><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149;
</FONT>describes issues that arose during the previous year under the code of
ethics or the related procedures, including, but not limited to, information
about material code or procedure violations, and</FONT></P>
<P align=left><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149;
</FONT>certifies that each entity has adopted procedures reasonably necessary to
prevent its access persons from violating its code of ethics.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Recordkeeping</FONT></B></P>
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<P align=left><FONT face=sans-serif size=2>The Investment Compliance Department
will maintain:</FONT></P>
<P align=left><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149;
</FONT>a copy of the current code of ethics for John Hancock Funds, LLC, John
Hancock Advisers, LLC, Sovereign Asset Management LLC, and each John Hancock
fund, and a copy of each code of ethics in effect at any time within the past
five years.</FONT></P>
<P align=left><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149;
</FONT>a record of any violation of the code of ethics, and of any action taken
as a result of the violation, for six years.</FONT></P>
<P align=left><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149;
</FONT>a copy of each report made by an Access person under the code of ethics,
for six years (the first two years in a readily accessible place).</FONT></P>
<P align=left><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149;
</FONT>a record of all persons, currently or within the past five years, who are
or were required to make reports under the code of ethics. This record will also
indicate who was responsible for reviewing these reports.</FONT></P>
<P align=left><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149;
</FONT>a copy of each code of ethics report to the trustees, for six years (the
first two years in a readily accessible place).</FONT></P>
<P align=left><FONT face=sans-serif size=2><FONT face="Times New Roman" size=3>&#149;
</FONT>a record of any decision, and the reasons supporting the decision, to
approve the acquisition by an Investment Access person of initial public
offering securities or private placement securities, for six years.</FONT></P>
<P align=left><B><FONT face=sans-serif size=2>Appendix F: Chief Compliance
Officers</FONT></B></P>
<TABLE cellSpacing=1 cellPadding=0 width="80%" border=0>

  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><B><FONT face=sans-serif size=2>Entity</FONT></B>&nbsp; </TD>
    <TD width="6%">&nbsp; </TD>
    <TD noWrap align=left width="35%"><B><FONT face=sans-serif size=2>Chief Compliance Officer</FONT></B>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>John Hancock Advisers,
      LLC</FONT>&nbsp; </TD>
    <TD width="6%">&nbsp; </TD>
    <TD noWrap align=left width="35%"><FONT face=sans-serif size=2>Frank Knox</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>Sovereign Asset Management
      LLC</FONT>&nbsp; </TD>
    <TD width="6%">&nbsp; </TD>
    <TD noWrap align=left width="35%"><FONT face=sans-serif size=2>Frank Knox</FONT>&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>Each open-end and closed-end
      fund advised</FONT>&nbsp; </TD>
    <TD width="6%">&nbsp; </TD>
    <TD noWrap align=left width="35%"><FONT face=sans-serif size=2>Frank Knox</FONT>&nbsp; </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>by John Hancock Advisers,
      LLC</FONT>&nbsp; </TD>
    <TD width="6%">&nbsp; </TD>
    <TD noWrap align=left width="35%">&nbsp; </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>
      <HR noShade SIZE=1>
    </TD></TR>
  <TR vAlign=bottom>
    <TD noWrap align=left width="58%"><FONT face=sans-serif size=2>John Hancock Funds,
      LLC</FONT>&nbsp; </TD>
    <TD width="6%">&nbsp; </TD>
    <TD noWrap align=left width="35%"><FONT face=sans-serif size=2>Michael Mahoney</FONT>&nbsp;
  </TD></TR>
  <TR>
    <TD width="99%" colSpan=3>
      <HR noShade SIZE=1>
    </TD></TR></TABLE><BR>
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<DOCUMENT>
<TYPE>EX-99
<SEQUENCE>5
<FILENAME>e_governcommcharter.htm
<DESCRIPTION>GOVERNANCE COMMITTEE CHARTER
<TEXT>

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<P align=left>
<TABLE>

  <TR>
    <TD noWrap><B><FONT face=sans-serif size=2>JOHN HANCOCK
      FUNDS</FONT></B><BR></TD></TR></TABLE></P>
<P align=left><B><FONT face=sans-serif size=2>GOVERNANCE COMMITTEE
CHARTER</FONT></B></P>
<P align=left><FONT face=sans-serif size=2>A. Composition. The Governance
Committee shall be composed entirely of Trustees who are "independent" as
defined in the rules of the New York Stock Exchange ("NYSE") and the NASDAQ
Stock Market, Inc. ("NASDAQ") or any other exchange, as applicable, and are not
"interested persons" as defined in the Investment Company Act of 1940 of any of
the funds, or of any fund's investment adviser or principal underwriter (the
"Independent Trustees") who are designated for membership from time to time by
the Board of Trustees. The Chairman of the Board shall be a member of the
Governance Committee.</FONT></P>
<P align=left><FONT face=sans-serif size=2>B. Overview. The overall charter of
the Governance Committee is to make recommendations to the Board on issues
related to corporate governance applicable to the Independent Trustees and to
the composition and operation of the Board, and to assume duties,
responsibilities and functions to recommend nominees to the Board, together with
such additional duties, responsibilities and functions as are delegated to it
from time to time.</FONT></P>
<P align=left><FONT face=sans-serif size=2>C. Specific Responsibilities. The
Governance Committee shall have the following duties and powers, to be exercised
at such times and in such manner as the Committee shall deem necessary or
appropriate:</FONT></P>
<P align=left><FONT face=sans-serif size=2>1. Except where the funds are legally
required to nominate individuals recommended by others, to recommend to the
Board of Trustees individuals for nomination to serve as Trustees.</FONT></P>
<P align=left><FONT face=sans-serif size=2>2. To consider, as it deems necessary
or appropriate, the criteria for persons to fill existing or newly created
Trustee vacancies. The Governance Committee shall use the criteria and
principles set forth in Annex A to guide its Trustee selection
process.</FONT></P>
<P align=left><FONT face=sans-serif size=2>3. To consider and recommend the
amount of compensation to be paid by the funds to the Independent Trustees,
including incremental amounts, if any, payable to Committee Chairmen, and to
address compensation-related matters.</FONT></P>
<P align=left><FONT face=sans-serif size=2>4. To consider and recommend the
duties and compensation of the Chairman of the Board.</FONT></P>
<P align=left><FONT face=sans-serif size=2>5. To consider and recommend changes
to the Board regarding the size, structure, and composition of the
Board.</FONT></P>
<P align=left><FONT face=sans-serif size=2>6. To evaluate, from time to time,
the retirement policies for the Independent Trustees.</FONT></P>
<P align=left><FONT face=sans-serif size=2>7. To develop and recommend to the
Board guidelines for corporate governance ("Corporate Governance Guidelines")
for the funds that take into account the rules of the NYSE and any applicable
law or regulation, and to periodically review and assess the Corporate
Governance Guidelines and recommend any proposed changes to the Board for
approval.</FONT></P>
<P align=left><FONT face=sans-serif size=2>8. To monitor all expenditures of the
Board or the Committees or the Independent Trustees not otherwise incurred
and/or monitored by a particular Committee, including, but not limited to:
legal, consulting, and D&amp;O insurance costs; association dues, including
Investment Company Institute membership dues; meeting expenditures and policies
relating to</FONT></P>
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<P align="left">
<FONT size=2 face="sans-serif">reimbursement of travel expenses and expenses associated with offsite meetings; expenses associated with Trustee attendance at educational or informational conferences; and publication expenses.</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">9. To consider, evaluate and make recommendations and necessary findings regarding independent legal counsel and any other advisers, experts or consultants, that may be engaged by the Board of Trustees, by the Trustees
who are not "interested persons" as defined in the Investment Company Act of 1940 of any of the funds or any fund's investment adviser or principal underwriter, or by the Governance Committee, from time to time, other than as may be engaged directly
by another Committee.</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">10. To periodically review the Board's committee structure and the charters of the Board's committees, and recommend to the Board of Trustees changes to the committee structure and charters as it deems
appropriate.</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">11. To coordinate and administer an annual self-evaluation of the Board, which will include, at a minimum, a review of its effectiveness in overseeing the number of funds in the fund complex and the effectiveness of
its committee structure.</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">12. To report its activities to Board of Trustees and to make such recommendations with respect to the matters described above and other matters as the Governance Committee may deem necessary or appropriate.</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">D. Additional Responsibilities. The Committee will also perform other tasks assigned to it from time to time by the Chairman of the Board or by the Board of Trustees, and will report findings and recommendations to the
Board of Trustees, as appropriate.</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">E. Governance. One member of the Committee shall be appointed as chair. The chair shall be responsible for leadership of the Committee, including scheduling meetings or reviewing and approving the schedule for them,
preparing agendas or reviewing and approving them before meetings, and making reports to the Board of Trustees, as appropriate.</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">F. Miscellaneous. The Committee shall meet as often as it deems appropriate, with or without management, as circumstances require. The Committee shall have the resources and authority appropriate to discharge its
responsibilities, including the authority to retain special counsel and other advisers, experts or consultants, at the funds' expense, as it determines necessary to carry out its duties. The Committee shall have direct access to such officers of and
service providers to the funds as it deems desirable.</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">G. Review. The Committee shall review this Charter periodically and recommend such changes to the Board of Trustees as it deems desirable.</FONT></P>
<P align="left">
<TABLE><TR><TD nowrap>
<B><FONT size=2 face="sans-serif">ANNEX A</FONT></B><BR>
<BR>
<B><FONT size=2 face="sans-serif">General Criteria</FONT></B><BR>
</TD></TR></TABLE>
</P>
<P align="left">
<FONT size=2 face="sans-serif">1. Nominees should have a reputation for integrity, honesty and adherence to high ethical standards.</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">2. Nominees should have demonstrated business acumen, experience and ability to exercise sound judgments in matters that relate to the current and long-term objectives of the funds and should be willing and able to
contribute positively to the decision-making process of the funds.</FONT></P>

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<P align="left">
<FONT size=2 face="sans-serif">3. Nominees should have a commitment to understand the funds, and the responsibilities of a trustee/director of an investment company and to regularly attend and participate in meetings of the Board and its
committees.</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">4. Nominees should have the ability to understand the sometimes conflicting interests of the various constituencies of the funds, including shareholders and the management company, and to act in the interests of all
shareholders.</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">5. Nominees should not have, nor appear to have, a conflict of interest that would impair their ability to represent the interests of all the shareholders and to fulfill the responsibilities of a
director/trustee.</FONT></P>
<P align="left">
<B><FONT size=2 face="sans-serif">Application of Criteria to Existing Trustees</FONT></B></P>
<P align="left">
<FONT size=2 face="sans-serif">The renomination of existing Trustees should not be viewed as automatic, but should be based on continuing qualification under the criteria set forth above. In addition, the Governance Committee shall consider the
existing Trustee's performance on the Board and any committee.</FONT></P>
<P align="left">
<TABLE><TR><TD nowrap>
<B><FONT size=2 face="sans-serif">Review of Shareholder Nominations</FONT></B><BR>
</TD></TR></TABLE>
</P>
<P align="left">
<FONT size=2 face="sans-serif">Any shareholder nomination must be submitted in compliance with all of the pertinent provisions of Rule 14a-8 under the Securities Exchange Act of 1934 in order to be considered by the Governance Committee. In
evaluating a nominee recommended by a shareholder, the Governance Committee, in addition to the criteria discussed above, may consider the objectives of the shareholder in submitting that nomination and whether such objectives are consistent with
the interests of all shareholders. If the Board determines to include a shareholder's candidate among the slate of its designated nominees, the candidate's name will be placed on the funds' proxy card. If the Board determines not to include such
candidate among its designated nominees, and the shareholder has satisfied the requirements of Rule 14a-8, the shareholder's candidate will be treated as a nominee of the shareholder who originally nominated the candidate. In that case, the
candidate will not be named on the proxy card distributed with the funds' proxy statement.</FONT></P>
<P align="left">
<FONT size=2 face="sans-serif">As long as an existing Independent Trustee continues, in the opinion of the Governance Committee, to satisfy the criteria listed above, the Committee generally would favor the re-nomination of an existing Trustee
rather than a new candidate. Consequently, while the Governance Committee will consider nominees recommended by shareholders to serve as trustees, the Governance Committee may only act upon such recommendations if there is a vacancy on the Board, or
the Governance Committee determines that the selection of a new or additional Trustee is in the best interests of the fund. In the event that a vacancy arises or a change in Board membership is determined to be advisable, the Governance Committee
will, in addition to any shareholder recommendations, consider candidates identified by other means, including candidates proposed by members of the Governance Committee. The Governance Committee may retain a consultant to assist the Committee in a
search for a qualified candidate.</FONT></P>

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end
</TEXT>
</DOCUMENT>
</SEC-DOCUMENT>
-----END PRIVACY-ENHANCED MESSAGE-----
